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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7736
Janus Aspen Series
(Exact name of registrant as specified in charter)
151 Detroit Street, Denver, Colorado 80206
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Stephanie Grauerholz, 151 Detroit Street, Denver, Colorado 80206
(Name and address of agent for service)
(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: 6/30/15
Table of Contents
Item 1 - | Reports to Shareholders |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Balanced Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
Table of Contents
Janus Aspen Balanced Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe a dynamic approach to asset allocation that leverages our bottom-up, fundamental equity and fixed income research will allow us to outperform our peers over time. Our integrated equity and fixed income research team seeks an optimal balance of asset class opportunities across market cycles. | Marc Pinto co-portfolio manager | Gibson Smith co-portfolio manager |
PERFORMANCE SUMMARY
Janus Aspen Balanced Portfolio’s Institutional Shares and Service Shares returned 0.67% and 0.58%, respectively, for the six-month period ended June 30, 2015. That compares with 1.23% for the Portfolio’s primary benchmark, the S&P 500 Index, and -0.10% for the Portfolio’s secondary benchmark, the 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 Barclays U.S. Aggregate Bond Index, returned 0.73%.
INVESTMENT ENVIRONMENT
Equities finished the six-month period decidedly mixed. Major U.S. indices reached record levels late winter, only to pull back on concerns that yet another strong jobs report would entice the Federal Reserve (Fed) to raise interest rates sooner than expected. Those concerns were later allayed by the Fed dovish statement and downwardly revised growth expectations. Additional highs were reached in the spring, but they did so in an understated fashion as both volume and volatility remained muted. The first quarter earnings season mostly exceeded expectations, but enthusiasm was tempered as valuations were considered stretched compared to long-term averages. U.S. stock gains were also aided by favorable economic data that indicated the factors contributing to the winter slowdown were indeed transitory.
After experiencing increased volatility during the first part of the period amid persistent uncertainty of the timing of the Federal Reserve’s (Fed) expected rate hike, fixed income markets largely retreated over the rest of the period, influenced by a combination of improving U.S. data and uncertainty about the path of global monetary policy. The volatility that characterized fixed income markets during the winter initially subsided in early spring, only to flare up as the period closed. Data indicated that the economy had slowed during the year’s first three months. First quarter gross domestic product was negative and the March employment report disappointed. Over the ensuing two months, the employment picture rebounded with monthly payroll gains resuming their recent pace of just under 250,000, and hourly wage gains reached the highest level since 2013. Improving manufacturing data and retail sales also suggested that the winter slowdown had been transient. In June, the Fed stated that it would be appropriate to raise rates during the latter part of 2015. Yet, it reiterated that any move would be data dependent and gradual. Overall, the Fed reinforced its bias of ensuring that sustained growth takes hold.
The U.S. Treasury curve steepened during the second half of the period, with yields on the 10- and 30-year reaching levels not visited since last autumn. After dipping to 1.85% in early April, the 10-year yield nearly hit 2.50% in June. However, Treasury yields were partly capped by the March launch of the European Central Bank’s (ECB) quantitative easing (QE) program. The ECB’s QE drove eurozone sovereign yields into negative territory and encouraged foreign investors to purchase relatively higher-yielding Treasurys. However, Germany’s 10-year bund aggressively sold off in the spring, with its yield rising almost 1% from near 0%. Prior to the late-quarter tumult fueled by Greece, improving data caused some to wonder whether it would be necessary for the ECB to carry out the entirety of its planned asset purchases. U.S. investment-grade spreads were flat for much of the period as that market absorbed a flood of new issuance before widening in June. High-yield spreads initially narrowed amid a search for yield, reaching year-to-date lows, prior to ending the period essentially unchanged. Similar to corporate credits, mortgage-backed securities (MBS) spreads initially narrowed before closing the quarter wider.
PERFORMANCE DISCUSSION
During the period we lowered our equity allocation from roughly 60% of the portfolio to approximately 57%, and as a consequence, our fixed income portion increased about three percentage points, reaching approximately 43%. This shift toward a defensive positioning reflects that, at current valuations, we see fewer attractive
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Janus Aspen Balanced Portfolio (unaudited)
opportunities within equities. This defensive stance is further illustrated by repositioning within the Portfolio’s fixed income sleeve. We reduced the Portfolio’s credit allocation, particularly within high-yield, and took steps to lower our interest-rate risk by increasing our positioning in shorter-duration securities. Given the coalescence of risks we see within fixed income markets, this lowering of duration, in our view, should aid us in our key objective of capital preservation even as we slightly raised our fixed income allocation over the period.
Our equities sleeve underperformed its benchmark, the S&P 500 Index, for the six-month period. Detracting most from relative results were our industrials and consumer discretionary holdings. On an individual basis, the leading detractor was railroad operator Union Pacific. Similar to other railroad companies, Union Pacific has suffered year-to-date volume declines from the slowdown in the oil market and related lower transportation needs. Coal and agriculture industry demands have also been softer. We remain positive on the stock. The company continues to benefit from its large, profitable intermodal freight business. Fundamentals remain attractive, and the company continues to demonstrate a firm commitment to returning capital to shareholders with a healthy dividend yield and stock buybacks.
DuPont was another detractor. The diversified materials company successfully defeated activist investor Nelson Peltz’s proxy fight to win seats on its board. Shares sold off on concerns that there is now less pressure for aggressive cost reductions or to break up the company to unlock unrealized potential value. The company has introduced new board members that we expect will maintain a sharp focus on capturing current untapped gains from its businesses. The company also has been affected by softness in the agriculture cycle, a sector where we see a number of interesting developments, such as ongoing consolidation, which could highly value DuPont’s Pioneer business, a leading developer and supplier of plant genetics to farmers. Its dividend yield also remains attractive.
The period was not kind to airlines, which led to United Continental Holdings becoming one of the period’s largest detractors. The company reporting consensus-beating first quarter earnings was not enough to outweigh the industry-wide concerns over capacity. During the period, a leading competitor announced that it was slightly raising capacity, igniting fear that the recent discipline exercised by the industry leaders may possibly fray. While the U.S. airline fleet is roughly 5% below its 2007 peak, available seat miles (ASM) – a measure combining total seats and miles flown – has crept up in recent quarters. Perspective is needed here as, in our view, this increase is very meager when compared to previous cycles when the industry subjected itself to debilitating overcapacity.
Contributing to relative performance were our selection of financial stocks and overweight of the health care sector. Chemical producer LyondellBasell Industries was one of the largest individual contributors. Prices for many of the petrochemicals the company produces are tied to oil prices, which had weighed on the stock at the end of 2014. However, prices for the feedstock Lyondell uses to create ethylene and some of its other chemicals have also declined, leading to better profit margins than the market initially expected. The bounce back in oil prices during the period also allowed chemical producers to raise ethylene prices, which was further supportive for margins. In addition, concerns around the recent CEO transition began to dissipate, with current management continuing to demonstrate its commitment to returning shareholder capital through an increased dividend and stock buybacks.
Blackstone Group, the equity sleeve’s top performer, helped drive the financial sector’s relative outperformance. We continue to like the company, and Blackstone remains a relatively large position size in the sleeve overall. We think the company is a best-in-class alternatives manager, and also like the company for its high dividend yield.
Apple was also a top contributor. The electronic-device company benefited from positive sentiment in the aftermath of its astounding fourth quarter earnings results. In February, the company’s stock reached a new record, pushing its market capitalization above $700 billion. We think Apple still has strong opportunities as its ecosystem continues to attract new and potentially long-term subscribers onto its platform and increase its addressable market as lower price points draw new customers. We also appreciate management’s commitment to returning capital to shareholders via dividends and stock repurchases.
The Portfolio’s fixed income sleeve outperformed its benchmark, the Barclays U.S. Aggregate Bond Index, largely due to its exposure to corporate credits. A central driver was our security selection in out-of-benchmark high-yield corporates. Relative performance was especially generative in the “crossover” section of corporate credits. These are issuers comprising the lowest tier of investment-grade ratings and highest-tier of high-yield. In our view, this market segment offers some of the most attractive – and underappreciated – risk/reward profiles. Within investment-grade credit, our yield curve positioning toward the shorter-duration securities was the primary driver of outperformance given the rise in interest rates.
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(unaudited)
On a credit sector basis, outperformance was generated by banks, automotive companies and electric utilities. Individual contributors included Cimarex Energy, Ally Financial and GE Capital.
Detracting from performance were our allocations to 15-year and 30-year conventional MBS. Rate volatility early in the period impacted MBS performance as mixed economic data and lack of clarity on the timing of the Fed’s initial rate hike made it difficult for investors to gauge prepayment risks on these securities. Within corporates, independent energy along with chemical companies weighed on relative performance. Chesapeake Energy, DCP Midstream and California Resources Corp. all weighed on relative results.
Our U.S. Treasurys allocation aided relative performance as our duration, which was lower than that of the benchmark for much of the period, proved beneficial given the steepening yield curve. We use Treasurys as a liquid and cost-effective tool to adjust the duration of the entire portfolio.
Please see “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
Many of the reasons that we remain cautious in our approach to fixed income are the same that cause us to favor equities. The Fed has reiterated its commitment to growth. As a consequence, the initiation of rate hikes would infer an expanding economy conducive for stocks. High-yield spreads, which are still tight by historical standards, limit the upside of those securities, which further supports the rationale for favoring those companies’ stocks at present.
We believe stock valuations remain relatively attractive in the context of the current market environment. Global economic growth continues to strengthen, with steady, if slow, gains in the U.S. and positive signals finally emerging from Europe, issues in Greece notwithstanding. China also seems to be navigating its economic slowdown reasonably well, without any recent material deterioration.
The U.S. labor market continues to gain on the employment front with indications that companies are beginning to increase wages as well. The housing market is improving, and consumer spending continues to increase with strong demand for automobiles and other big-ticket items – all further evidence that the economy is on more stable footing. Against this backdrop, it seems likely the Fed will begin raising interest rates later this year. This would be a positive signal that the economy is once again normalizing and should be supportive for stocks, though any dramatic, unexpected rate jump would probably prove to be disruptive short term.
Multiple factors presently have the potential to impact the fixed income environment; chief among them remains the timing and pace of the Fed’s rate hikes. Data suggest that the central bank is achieving its dual mandate. Strong gains in payrolls have resumed and wage growth has shown signs of accelerating. Rates have yet to rise as the Fed has made clear its objective of achieving sustainable growth. With economic expansion typically come jobs, and after that, wage-driven inflation. A strong jobs market, according to the Fed, should help push inflation back toward its target of 2%.
The dollar remains one of our wild cards. Deterioration in the Greece dispute or a deceleration in non-U.S. economies could send investors fleeing back toward dollar-denominated assets, forcing a resumption in the currency’s march upward and keeping a lid on inflation. In a nod to this scenario, the Fed has acknowledged that international developments are being considered as it charts its path forward.
We are mindful that we are quite possibly nearing the end of a credit cycle. Merger and acquisition activity, share buybacks, and debt issuance are up. Due to this, while still overweight versus the benchmark, our credit allocation is near the lowest it has been since the financial crisis. Utilizing our fundamental security-level approach, we are concentrating our holdings in higher quality companies whose management have maintained balance sheet discipline.
We are also concerned with the potential for sustained periods of elevated market volatility, which we consider suppressed by continued fixed income inflows. Alarmingly low levels of liquidity are a serious risk factor, in our view. Should an illiquidity event occur, we want to be a provider of liquidity. Accordingly, we have lowered the overall duration of the Portfolio, especially as a percentage of the benchmark. Treasurys are the tool we utilize to toggle duration. Shorter-dated government securities act as a cash cushion, which should allow us to better weather storms and opportunistically make attractive investments caused by market dislocations.
We remain underweight MBS relative to the benchmark as these securities would not perform well in the volatile markets such as the ones we anticipate. When the direction of rates is in question, investors cannot adequately gauge prepayment risks, which stand to increase as rates decline. While our base-case scenario is for increasing rates, a global crisis or unforeseen
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Janus Aspen Balanced Portfolio (unaudited)
slowdown in growth could again put downward pressure on the safe-haven Treasurys upon which mortgages are priced.
Over the past quarter we have sought to reduce risk in the fixed income sleeve of our portfolio and expect to maintain this defensive posture as the aforementioned risk factors play out. We have not seen such a confluence of potentially adverse forces for several years. Our binding principle of capital preservation is of utmost importance as we navigate the choppy waters ahead.
Thank you for your investment in Janus Aspen Balanced Portfolio.
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(unaudited)
Janus Aspen Balanced Portfolio At A Glance
5 Top Performers – Equity Holdings
Contribution | ||||
Blackstone Group LP | 0.81% | |||
LyondellBasell Industries NV – Class A | 0.80% | |||
Aetna, Inc. | 0.73% | |||
Apple, Inc. | 0.41% | |||
NIKE, Inc. – Class B | 0.38% |
5 Bottom Performers – Equity Holdings
Contribution | ||||
Union Pacific Corp. | –0.60% | |||
El du Pont de Nemours & Co. | –0.44% | |||
United Continental Holdings, Inc. | –0.42% | |||
Enterprise Product Partners LP | –0.39% | |||
Precision Castparts Corp. | –0.36% |
5 Top Performers – Sectors*
Portfolio | Portfolio Weighting | S&P 500® | ||||||||||
Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Financials | 0.91% | 13.41% | 16.25% | |||||||||
Health Care | 0.41% | 19.08% | 14.88% | |||||||||
Utilities | 0.39% | 0.00% | 3.05% | |||||||||
Materials | 0.33% | 6.10% | 3.20% | |||||||||
Consumer Staples | 0.04% | 4.85% | 9.67% |
5 Bottom Performers – Sectors*
Portfolio | Portfolio Weighting | S&P 500® | ||||||||||
Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Industrials | –0.88% | 14.00% | 10.30% | |||||||||
Consumer Discretionary | –0.68% | 16.03% | 12.42% | |||||||||
Information Technology | –0.28% | 19.52% | 19.79% | |||||||||
Energy | –0.27% | 5.10% | 8.15% | |||||||||
Other** | –0.11% | 1.61% | 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 Aspen Balanced Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Apple, Inc. Technology Hardware, Storage & Peripherals | 3.1% | |||
MasterCard, Inc. – Class A Information Technology Services | 2.6% | |||
Blackstone Group LP Capital Markets | 2.2% | |||
AbbVie, Inc. Pharmaceuticals | 2.0% | |||
NIKE, Inc. – Class B Textiles, Apparel & Luxury Goods | 1.9% | |||
11.8% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (0.1)%
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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(unaudited)
Performance
Expense Ratios – per the May 1, 2015 | |||||||||||||
Average Annual Total Return – for the periods ended June 30, 2015 | prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Balanced Portfolio – Institutional Shares | 0.67% | 4.09% | 11.18% | 8.54% | 10.06% | 0.58% | |||||||
Janus Aspen Balanced Portfolio – Service Shares | 0.58% | 3.84% | 10.90% | 8.27% | 9.90% | 0.84% | |||||||
S&P 500® Index | 1.23% | 7.42% | 17.34% | 7.89% | 9.22% | ||||||||
Barclays U.S. Aggregate Bond Index | –0.10% | 1.86% | 3.35% | 4.44% | 5.51% | ||||||||
Balanced Index | 0.73% | 5.00% | 11.06% | 6.56% | 7.81% | ||||||||
Morningstar Quartile – Institutional Shares | – | 1st | 2nd | 1st | 1st | ||||||||
Morningstar Ranking – based on total returns for Moderate Allocation Funds | – | 185/937 | 233/779 | 13/626 | 11/269 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Fixed income securities are subject to interest rate, inflation, credit and default risk. The bond market is volatile. As interest rates rise, bond prices usually fall, and vice versa. The return of principal is not guaranteed, and prices may decline if an issuer fails to make timely payments or its credit strength weakens.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
See important disclosures on the next page.
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Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – September 13, 1993 |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,006.70 | $ | 2.84 | $ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,005.80 | $ | 4.08 | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82% | |||||||||||||||||
† | 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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Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 2.5% | ||||||||||
$1,595,000 | AmeriCredit Automobile Receivables Trust 2012-4 2.6800%, 10/9/18 | $ | 1,624,616 | |||||||
625,000 | AmeriCredit Automobile Receivables Trust 2012-4 3.8200%, 2/10/20 (144A) | 640,759 | ||||||||
519,000 | AmeriCredit Automobile Receivables Trust 2013-4 3.3100%, 10/8/19 | 532,560 | ||||||||
941,000 | AmeriCredit Automobile Receivables Trust 2015-2 3.0000%, 6/8/21 | 942,576 | ||||||||
5,646,000 | Applebee’s Funding LLC / IHOP Funding LLC 4.2770%, 9/5/44 (144A) | 5,722,780 | ||||||||
1,252,000 | Aventura Mall Trust 2013-AVM 3.8674%, 12/5/32 (144A),‡ | 1,223,553 | ||||||||
1,192,000 | BAMLL Commercial Mortgage Securities Trust 2015-200P 3.7157%, 4/14/33 (144A),‡ | 1,051,457 | ||||||||
420,000 | Banc of America Commercial Mortgage Trust 2006-6 5.4210%, 10/10/45 | 432,737 | ||||||||
296,000 | Banc of America Commercial Mortgage Trust 2007-5 5.7720%, 2/10/51‡ | 311,320 | ||||||||
851,000 | Boca Hotel Portfolio Trust 2013-BOCA 3.2355%, 8/15/26 (144A),‡ | 850,497 | ||||||||
425,000 | CGBAM Commercial Mortgage Trust 2014-HD 3.1855%, 2/15/31 (144A),‡ | 425,091 | ||||||||
2,675,546 | CKE Restaurant Holdings, Inc. 4.4740%, 3/20/43 (144A) | 2,716,942 | ||||||||
927,000 | COMM 2007-C9 Mortgage Trust 5.6500%, 12/10/49‡ | 968,525 | ||||||||
130,000 | COMM 2007-C9 Mortgage Trust 5.9889%, 12/10/49‡ | 134,875 | ||||||||
1,866,225 | Commercial Mortgage Trust 2007-GG11 5.8670%, 12/10/49‡ | 2,001,806 | ||||||||
1,268,000 | Core Industrial Trust 2015-TEXW 3.9770%, 2/10/34 (144A),‡ | 1,190,294 | ||||||||
913,710 | DB Master Finance LLC 2015-1 3.2620%, 2/20/45 (144A) | 917,171 | ||||||||
1,726,779 | Domino’s Pizza Master Issuer LLC 5.2160%, 1/25/42 (144A) | 1,782,417 | ||||||||
390,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.5870%, 10/25/24‡ | 391,401 | ||||||||
468,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.8370%, 10/25/24‡ | 473,126 | ||||||||
1,576,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.3870%, 3/25/25‡ | 1,564,688 | ||||||||
1,199,119 | FREMF 2010 K-SCT Mortgage Trust 2.0000%, 1/25/20§ | 1,069,139 | ||||||||
625,000 | GAHR Commercial Mortgage Trust 2015-NRF 3.4949%, 12/15/19 (144A),‡ | 612,268 | ||||||||
1,519,000 | GS Mortgage Securities Corp. II 3.5495%, 12/10/27 (144A),‡ | 1,439,471 | ||||||||
622,000 | GS Mortgage Securities Corp. Trust 2013-NYC5 3.7706%, 1/10/30 (144A),‡ | 629,629 | ||||||||
669,000 | Hilton USA Trust 2013-HLT 4.4065%, 11/5/30 (144A) | 674,805 | ||||||||
868,000 | Hilton USA Trust 2013-HLT 5.6086%, 11/5/30 (144A),‡ | 879,735 | ||||||||
432,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU 2.7860%, 12/15/28 (144A),‡ | 432,542 | ||||||||
449,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU 3.6815%, 12/15/28 (144A),‡ | 448,786 | ||||||||
850,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO 1.9855%, 1/15/32 (144A),‡ | 847,287 | ||||||||
733,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO 4.1355%, 1/15/32 (144A),‡ | 734,970 | ||||||||
1,918,000 | LB-UBS Commercial Mortgage Trust 2007-C2 5.4930%, 2/15/40‡ | 2,011,794 | ||||||||
607,000 | Santander Drive Auto Receivables Trust 2.5200%, 9/17/18 | 610,090 | ||||||||
653,000 | Santander Drive Auto Receivables Trust 2012-5 3.3000%, 9/17/18 | 667,015 | ||||||||
1,502,000 | Santander Drive Auto Receivables Trust 2013-4 4.6700%, 1/15/20 (144A) | 1,562,891 | ||||||||
1,008,000 | Santander Drive Auto Receivables Trust 2013-A 4.7100%, 1/15/21 (144A) | 1,067,239 | ||||||||
982,000 | Santander Drive Auto Receivables Trust 2015-1 3.2400%, 4/15/21 | 987,520 | ||||||||
589,000 | Starwood Retail Property Trust 2014-STAR 2.5000%, 11/15/27 (144A),‡ | 586,261 | ||||||||
1,624,000 | Starwood Retail Property Trust 2014-STAR 3.2500%, 11/15/27 (144A),‡ | 1,623,221 | ||||||||
861,000 | Starwood Retail Property Trust 2014-STAR 4.1500%, 11/15/27 (144A),‡ | 860,552 | ||||||||
1,962,065 | Wachovia Bank Commercial Mortgage Trust Series 2007-C30 5.3830%, 12/15/43 | 2,061,758 | ||||||||
1,965,597 | Wachovia Bank Commercial Mortgage Trust Series 2007-C31 5.6600%, 4/15/47‡ | 2,016,028 | ||||||||
767,000 | Wachovia Bank Commercial Mortgage Trust Series 2007-C33 6.1496%, 2/15/51‡ | 792,947 | ||||||||
502,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 2.9355%, 1/15/27 (144A),‡ | 498,411 | ||||||||
694,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 2.4355%, 2/15/27 (144A),‡ | 688,883 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Janus Aspen Balanced Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
$251,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 3.4355%, 2/15/27 (144A),‡ | $ | 248,675 | |||||||
3,453,000 | Wendy’s Funding LLC 2015-1 3.3710%, 6/15/45 (144A) | 3,447,810 | ||||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $53,575,024) | 53,398,918 | |||||||||
Bank Loans and Mezzanine Loans – 0.3% | ||||||||||
Communications – 0% | ||||||||||
815,128 | Tribune Media Co. 3.7500%, 12/27/20‡ | 814,876 | ||||||||
Consumer Cyclical – 0% | ||||||||||
644,000 | Staples, Inc. 0%, 4/7/21‡,(a) | 642,525 | ||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||
1,316,338 | IMS Health, Inc. 3.5000%, 3/17/21‡ | 1,308,110 | ||||||||
Technology – 0.2% | ||||||||||
4,785,531 | Avago Technologies Cayman, Ltd. 3.7500%, 5/6/21‡ | 4,789,791 | ||||||||
Total Bank Loans and Mezzanine Loans (cost $7,558,931) | 7,555,302 | |||||||||
Common Stocks – 56.0% | ||||||||||
Aerospace & Defense – 2.8% | ||||||||||
248,961 | Boeing Co. | 34,535,870 | ||||||||
254,863 | Honeywell International, Inc. | 25,988,380 | ||||||||
60,524,250 | ||||||||||
Airlines – 0.9% | ||||||||||
373,014 | United Continental Holdings, Inc.* | 19,773,472 | ||||||||
Automobiles – 1.0% | ||||||||||
662,371 | General Motors Co. | 22,076,825 | ||||||||
Beverages – 0.3% | ||||||||||
224,236 | Diageo PLC | 6,485,350 | ||||||||
Biotechnology – 2.3% | ||||||||||
215,423 | Amgen, Inc. | 33,071,739 | ||||||||
32,427 | Regeneron Pharmaceuticals, Inc.* | 16,541,986 | ||||||||
49,613,725 | ||||||||||
Capital Markets – 2.8% | ||||||||||
1,168,845 | Blackstone Group LP | 47,770,695 | ||||||||
381,043 | TD Ameritrade Holding Corp. | 14,030,003 | ||||||||
61,800,698 | ||||||||||
Chemicals – 3.4% | ||||||||||
574,540 | EI du Pont de Nemours & Co. | 36,741,833 | ||||||||
350,969 | LyondellBasell Industries NV – Class A | 36,332,311 | ||||||||
73,074,144 | ||||||||||
Commercial Banks – 2.4% | ||||||||||
303,682 | JPMorgan Chase & Co. | 20,577,492 | ||||||||
721,410 | US Bancorp | 31,309,194 | ||||||||
51,886,686 | ||||||||||
Consumer Finance – 0.9% | ||||||||||
246,767 | American Express Co. | 19,178,731 | ||||||||
Diversified Financial Services – 0.6% | ||||||||||
145,953 | CME Group, Inc. | 13,582,386 | ||||||||
Diversified Telecommunication Services – 0.2% | ||||||||||
78,917 | Verizon Communications, Inc. | 3,678,321 | ||||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||||
341,149 | TE Connectivity, Ltd. (U.S. Shares) | 21,935,881 | ||||||||
Food Products – 0.6% | ||||||||||
151,571 | Hershey Co. | 13,464,052 | ||||||||
Health Care Providers & Services – 1.1% | ||||||||||
181,664 | Aetna, Inc. | 23,154,893 | ||||||||
Hotels, Restaurants & Leisure – 2.2% | ||||||||||
480,053 | Las Vegas Sands Corp. | 25,236,386 | ||||||||
156,628 | Six Flags Entertainment Corp. | 7,024,766 | ||||||||
181,190 | Starwood Hotels & Resorts Worldwide, Inc. | 14,692,697 | ||||||||
46,953,849 | ||||||||||
Industrial Conglomerates – 0.7% | ||||||||||
96,646 | 3M Co. | 14,912,478 | ||||||||
Information Technology Services – 3.0% | ||||||||||
110,475 | Automatic Data Processing, Inc. | 8,863,409 | ||||||||
603,593 | MasterCard, Inc. – Class A | 56,423,874 | ||||||||
65,287,283 | ||||||||||
Insurance – 0.9% | ||||||||||
789,679 | Prudential PLC | 19,011,894 | ||||||||
Internet & Catalog Retail – 1.1% | ||||||||||
19,997 | Priceline Group, Inc.* | 23,023,946 | ||||||||
Internet Software & Services – 2.2% | ||||||||||
63,481 | Google, Inc. – Class C | 33,042,495 | ||||||||
389,095 | Yahoo!, Inc.* | 15,287,543 | ||||||||
48,330,038 | ||||||||||
Leisure Products – 0.4% | ||||||||||
375,732 | Mattel, Inc. | 9,652,555 | ||||||||
Machinery – 0.5% | ||||||||||
156,494 | Dover Corp. | 10,982,749 | ||||||||
Oil, Gas & Consumable Fuels – 2.6% | ||||||||||
207,497 | Chevron Corp. | 20,017,236 | ||||||||
882,770 | Enterprise Products Partners LP | 26,385,995 | ||||||||
394,225 | Marathon Oil Corp. | 10,462,731 | ||||||||
56,865,962 | ||||||||||
Pharmaceuticals – 8.7% | ||||||||||
631,747 | AbbVie, Inc. | 42,447,081 | ||||||||
115,862 | Allergan PLC* | 35,159,482 | ||||||||
583,657 | Bristol-Myers Squibb Co. | 38,836,537 | ||||||||
294,663 | Eli Lilly & Co. | 24,601,414 | ||||||||
328,887 | Endo International PLC* | 26,195,850 | ||||||||
372,812 | Merck & Co., Inc. | 21,224,187 | ||||||||
188,464,551 | ||||||||||
Professional Services – 0.3% | ||||||||||
58,220 | Towers Watson & Co. – Class A | 7,324,076 | ||||||||
Real Estate Investment Trusts (REITs) – 0.2% | ||||||||||
216,371 | Outfront Media, Inc. | 5,461,204 | ||||||||
Real Estate Management & Development – 0.3% | ||||||||||
6,399,631 | Colony American Homes Holdings III LP*,§ | 7,423,572 | ||||||||
Road & Rail – 1.4% | ||||||||||
325,646 | Union Pacific Corp. | 31,056,859 | ||||||||
Semiconductor & Semiconductor Equipment – 0.6% | ||||||||||
125,486 | NXP Semiconductor NV* | 12,322,725 | ||||||||
Software – 1.8% | ||||||||||
897,248 | Microsoft Corp. | 39,613,499 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Specialty Retail – 1.6% | ||||||||||
305,353 | Home Depot, Inc. | $ | 33,933,879 | |||||||
Technology Hardware, Storage & Peripherals – 3.6% | ||||||||||
539,032 | Apple, Inc. | 67,608,089 | ||||||||
220,686 | Seagate Technology PLC | 10,482,585 | ||||||||
78,090,674 | ||||||||||
Textiles, Apparel & Luxury Goods – 1.9% | ||||||||||
376,572 | NIKE, Inc. – Class B | 40,677,308 | ||||||||
Tobacco – 1.7% | ||||||||||
389,867 | Altria Group, Inc. | 19,068,395 | ||||||||
221,071 | Philip Morris International, Inc.† | 17,723,262 | ||||||||
36,791,657 | ||||||||||
Total Common Stocks (cost $995,853,378) | 1,216,410,172 | |||||||||
Corporate Bonds – 15.6% | ||||||||||
Asset-Backed Securities – 0.1% | ||||||||||
$1,862,000 | American Tower Trust I 1.5510%, 3/15/18 (144A) | 1,852,641 | ||||||||
Banking – 2.1% | ||||||||||
348,000 | Ally Financial, Inc. 8.0000%, 12/31/18 | 388,455 | ||||||||
1,978,000 | Ally Financial, Inc. 4.1250%, 3/30/20 | 1,974,281 | ||||||||
1,513,000 | Ally Financial, Inc. 4.6250%, 5/19/22 | 1,494,088 | ||||||||
2,093,000 | American Express Co. 6.8000%, 9/1/66‡ | 2,153,488 | ||||||||
800,000 | Bank of America Corp. 1.5000%, 10/9/15 | 801,836 | ||||||||
1,777,000 | Bank of America Corp. 8.0000%µ | 1,874,735 | ||||||||
1,030,000 | Citigroup, Inc. 5.8000%µ | 1,032,575 | ||||||||
701,000 | Discover Financial Services 3.9500%, 11/6/24 | 681,141 | ||||||||
1,472,000 | Discover Financial Services 3.7500%, 3/4/25 | 1,405,508 | ||||||||
3,307,000 | Goldman Sachs Capital I 6.3450%, 2/15/34 | 3,835,591 | ||||||||
719,000 | Goldman Sachs Group, Inc. 5.6250%, 1/15/17 | 761,361 | ||||||||
1,887,000 | Intesa Sanpaolo SpA 5.0170%, 6/26/24 (144A) | 1,833,304 | ||||||||
1,867,000 | Morgan Stanley 5.5500%µ | 1,853,464 | ||||||||
1,637,000 | Royal Bank of Scotland Group PLC 2.5500%, 9/18/15 | 1,641,577 | ||||||||
3,351,000 | Royal Bank of Scotland Group PLC 6.1000%, 6/10/23 | 3,562,907 | ||||||||
2,515,000 | Royal Bank of Scotland Group PLC 6.0000%, 12/19/23 | 2,663,214 | ||||||||
5,055,000 | Royal Bank of Scotland Group PLC 5.1250%, 5/28/24 | 5,048,848 | ||||||||
4,622,000 | Santander UK PLC 5.0000%, 11/7/23 (144A) | 4,729,619 | ||||||||
1,936,000 | SVB Financial Group 5.3750%, 9/15/20 | 2,157,354 | ||||||||
2,164,000 | Synchrony Financial 3.0000%, 8/15/19 | 2,179,403 | ||||||||
2,827,000 | Zions Bancorporation 5.8000%µ | 2,689,184 | ||||||||
44,761,933 | ||||||||||
Basic Industry – 0.8% | ||||||||||
2,574,000 | Albemarle Corp. 4.1500%, 12/1/24 | 2,565,689 | ||||||||
2,116,000 | Albemarle Corp. 5.4500%, 12/1/44 | 2,117,900 | ||||||||
1,034,000 | Ashland, Inc. 3.8750%, 4/15/18 | 1,062,435 | ||||||||
1,335,000 | Ashland, Inc. 6.8750%, 5/15/43 | 1,355,025 | ||||||||
3,105,000 | Georgia-Pacific LLC 3.1630%, 11/15/21 (144A) | 3,142,769 | ||||||||
1,565,000 | Georgia-Pacific LLC 3.6000%, 3/1/25 (144A) | 1,549,647 | ||||||||
2,233,000 | LyondellBasell Industries NV 4.6250%, 2/26/55 | 1,966,476 | ||||||||
1,596,000 | Reliance Steel & Aluminum Co. 4.5000%, 4/15/23 | 1,570,060 | ||||||||
1,886,000 | Rockwood Specialties Group, Inc. 4.6250%, 10/15/20 | 1,963,798 | ||||||||
17,293,799 | ||||||||||
Brokerage – 1.5% | ||||||||||
3,303,000 | Ameriprise Financial, Inc. 7.5180%, 6/1/66‡ | 3,303,000 | ||||||||
1,118,000 | Carlyle Holdings Finance LLC 3.8750%, 2/1/23 (144A) | 1,129,946 | ||||||||
1,260,000 | Charles Schwab Corp. 3.0000%, 3/10/25 | 1,235,892 | ||||||||
1,707,000 | Charles Schwab Corp. 7.0000%µ | 1,982,578 | ||||||||
2,050,000 | E*TRADE Financial Corp. 5.3750%, 11/15/22 | 2,101,250 | ||||||||
2,745,000 | E*TRADE Financial Corp. 4.6250%, 9/15/23 | 2,696,963 | ||||||||
84,000 | Lazard Group LLC 6.8500%, 6/15/17 | 91,763 | ||||||||
2,147,000 | Lazard Group LLC 4.2500%, 11/14/20 | 2,257,485 | ||||||||
1,923,000 | Neuberger Berman Group LLC / Neuberger Berman Finance Corp. 5.8750%, 3/15/22 (144A) | 2,055,206 | ||||||||
2,185,000 | Neuberger Berman Group LLC / Neuberger Berman Finance Corp. 4.8750%, 4/15/45 (144A) | 1,981,179 | ||||||||
2,540,000 | Raymond James Financial, Inc. 4.2500%, 4/15/16 | 2,603,482 | ||||||||
4,794,000 | Raymond James Financial, Inc. 5.6250%, 4/1/24 | 5,332,855 | ||||||||
1,452,000 | Stifel Financial Corp. 4.2500%, 7/18/24 | 1,434,666 | ||||||||
1,745,000 | TD Ameritrade Holding Corp. 2.9500%, 4/1/22 | 1,730,180 | ||||||||
3,641,000 | TD Ameritrade Holding Corp. 3.6250%, 4/1/25 | 3,697,607 | ||||||||
33,634,052 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Janus Aspen Balanced Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Capital Goods – 0.7% | ||||||||||
$1,100,000 | CNH Industrial Capital LLC 3.6250%, 4/15/18 | $ | 1,100,000 | |||||||
1,528,000 | Exelis, Inc. 4.2500%, 10/1/16 | 1,576,917 | ||||||||
690,000 | Exelis, Inc. 5.5500%, 10/1/21 | 759,215 | ||||||||
1,902,000 | FLIR Systems, Inc. 3.7500%, 9/1/16 | 1,949,746 | ||||||||
1,764,000 | Hanson, Ltd. 6.1250%, 8/15/16 | 1,837,206 | ||||||||
720,000 | Harris Corp. 3.8320%, 4/27/25 | 699,891 | ||||||||
1,090,000 | Harris Corp. 5.0540%, 4/27/45 | 1,038,461 | ||||||||
1,026,000 | Martin Marietta Materials, Inc. 4.2500%, 7/2/24 | 1,038,637 | ||||||||
749,000 | Owens Corning 4.2000%, 12/1/24 | 735,195 | ||||||||
1,247,000 | Vulcan Materials Co. 7.0000%, 6/15/18 | 1,409,110 | ||||||||
691,000 | Vulcan Materials Co. 7.5000%, 6/15/21 | 794,650 | ||||||||
3,174,000 | Vulcan Materials Co. 4.5000%, 4/1/25 | 3,166,065 | ||||||||
16,105,093 | ||||||||||
Communications – 0.3% | ||||||||||
831,000 | Nielsen Finance LLC / Nielsen Finance Co. 4.5000%, 10/1/20 | 826,845 | ||||||||
1,037,000 | SBA Tower Trust 2.9330%, 12/15/17 (144A) | 1,052,309 | ||||||||
1,566,000 | Sprint Corp. 7.2500%, 9/15/21 | 1,526,850 | ||||||||
2,036,000 | UBM PLC 5.7500%, 11/3/20 (144A) | 2,197,042 | ||||||||
5,603,046 | ||||||||||
Consumer Cyclical – 1.2% | ||||||||||
2,163,000 | 1011778 BC ULC / New Red Finance, Inc. 4.6250%, 1/15/22 (144A) | 2,130,555 | ||||||||
2,982,000 | Brinker International, Inc. 3.8750%, 5/15/23 | 2,907,545 | ||||||||
441,000 | Continental Rubber of America Corp. 4.5000%, 9/15/19 (144A) | 453,013 | ||||||||
664,000 | DR Horton, Inc. 4.7500%, 5/15/17 | 688,900 | ||||||||
1,435,000 | DR Horton, Inc. 3.7500%, 3/1/19 | 1,445,762 | ||||||||
1,420,000 | General Motors Co. 3.5000%, 10/2/18 | 1,466,164 | ||||||||
7,367,000 | General Motors Co. 4.8750%, 10/2/23 | 7,766,829 | ||||||||
601,000 | General Motors Co. 6.2500%, 10/2/43 | 670,449 | ||||||||
768,000 | General Motors Financial Co., Inc. 3.2500%, 5/15/18 | 785,467 | ||||||||
977,000 | Macy’s Retail Holdings, Inc. 5.9000%, 12/1/16 | 1,040,942 | ||||||||
1,638,000 | MDC Holdings, Inc. 5.5000%, 1/15/24 | 1,609,335 | ||||||||
794,000 | Schaeffler Finance BV 4.2500%, 5/15/21 (144A) | 774,150 | ||||||||
596,000 | Toll Brothers Finance Corp. 4.0000%, 12/31/18 | 607,920 | ||||||||
543,000 | Toll Brothers Finance Corp. 5.8750%, 2/15/22 | 582,368 | ||||||||
304,000 | Toll Brothers Finance Corp. 4.3750%, 4/15/23 | 297,920 | ||||||||
949,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 4.2500%, 5/30/23 (144A) | 873,080 | ||||||||
827,000 | ZF North America Capital, Inc. 4.0000%, 4/29/20 (144A) | 825,966 | ||||||||
434,000 | ZF North America Capital, Inc. 4.5000%, 4/29/22 (144A) | 425,125 | ||||||||
827,000 | ZF North America Capital, Inc. 4.7500%, 4/29/25 (144A) | 800,644 | ||||||||
26,152,134 | ||||||||||
Consumer Non-Cyclical – 2.0% | ||||||||||
181,000 | Actavis Funding SCS 2.4500%, 6/15/19 | 180,278 | ||||||||
2,651,000 | Actavis Funding SCS 3.0000%, 3/12/20 | 2,657,012 | ||||||||
535,000 | Actavis Funding SCS 3.8500%, 6/15/24 | 528,552 | ||||||||
3,063,000 | Actavis Funding SCS 3.8000%, 3/15/25 | 3,008,852 | ||||||||
1,445,000 | Actavis Funding SCS 4.5500%, 3/15/35 | 1,373,866 | ||||||||
476,000 | Actavis Funding SCS 4.8500%, 6/15/44 | 459,242 | ||||||||
1,084,000 | Actavis Funding SCS 4.7500%, 3/15/45 | 1,032,027 | ||||||||
1,764,000 | Becton Dickinson and Co. 1.8000%, 12/15/17 | 1,764,215 | ||||||||
2,517,000 | Fresenius Medical Care US Finance II, Inc. 5.8750%, 1/31/22 (144A) | 2,668,020 | ||||||||
1,041,000 | HCA, Inc. 3.7500%, 3/15/19 | 1,048,808 | ||||||||
1,281,000 | HJ Heinz Co. 2.8000%, 7/2/20 (144A) | 1,281,997 | ||||||||
1,099,000 | HJ Heinz Co. 3.5000%, 7/15/22 (144A) | 1,101,578 | ||||||||
2,000,000 | Laboratory Corp. of America Holdings 3.2000%, 2/1/22 | 1,971,788 | ||||||||
1,997,000 | Laboratory Corp. of America Holdings 3.6000%, 2/1/25 | 1,909,951 | ||||||||
1,323,000 | Life Technologies Corp. 6.0000%, 3/1/20 | 1,488,191 | ||||||||
461,000 | Life Technologies Corp. 5.0000%, 1/15/21 | 507,170 | ||||||||
809,000 | Omnicare, Inc. 4.7500%, 12/1/22 | 857,540 | ||||||||
1,070,000 | Omnicare, Inc. 5.0000%, 12/1/24 | 1,150,250 | ||||||||
295,000 | Smithfield Foods, Inc. 5.2500%, 8/1/18 (144A) | 299,425 | ||||||||
962,000 | Thermo Fisher Scientific, Inc. 3.3000%, 2/15/22 | 950,631 | ||||||||
1,394,000 | Tyson Foods, Inc. 6.6000%, 4/1/16 | 1,447,279 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Consumer Non-Cyclical – (continued) | ||||||||||
$1,095,000 | Valeant Pharmaceuticals International, Inc. 5.8750%, 5/15/23 (144A) | $ | 1,122,375 | |||||||
1,095,000 | Valeant Pharmaceuticals International, Inc. 6.1250%, 4/15/25 (144A) | 1,126,481 | ||||||||
3,197,000 | Wm Wrigley Jr Co. 2.4000%, 10/21/18 (144A) | 3,242,417 | ||||||||
3,194,000 | Wm Wrigley Jr Co. 3.3750%, 10/21/20 (144A) | 3,291,337 | ||||||||
1,989,000 | Zimmer Biomet Holdings, Inc. 2.7000%, 4/1/20 | 1,979,160 | ||||||||
2,350,000 | Zimmer Biomet Holdings, Inc. 3.1500%, 4/1/22 | 2,311,592 | ||||||||
2,708,000 | Zimmer Biomet Holdings, Inc. 3.5500%, 4/1/25 | 2,616,434 | ||||||||
43,376,468 | ||||||||||
Electric – 0.2% | ||||||||||
967,000 | IPALCO Enterprises, Inc. 5.0000%, 5/1/18 | 1,020,185 | ||||||||
1,264,000 | PPL WEM, Ltd. / Western Power Distribution, Ltd. 3.9000%, 5/1/16 (144A) | 1,289,289 | ||||||||
1,709,000 | PPL WEM, Ltd. / Western Power Distribution, Ltd. 5.3750%, 5/1/21 (144A) | 1,890,436 | ||||||||
4,199,910 | ||||||||||
Energy – 2.1% | ||||||||||
1,514,000 | Chesapeake Energy Corp. 5.3750%, 6/15/21 | 1,370,170 | ||||||||
1,985,000 | Chesapeake Energy Corp. 4.8750%, 4/15/22 | 1,721,987 | ||||||||
1,406,000 | Chevron Corp. 1.3450%, 11/15/17 | 1,411,717 | ||||||||
4,129,000 | Cimarex Energy Co. 5.8750%, 5/1/22 | 4,418,030 | ||||||||
3,945,000 | Cimarex Energy Co. 4.3750%, 6/1/24 | 3,896,398 | ||||||||
2,663,000 | DCP Midstream Operating LP 4.9500%, 4/1/22 | 2,626,203 | ||||||||
1,398,000 | DCP Midstream Operating LP 3.8750%, 3/15/23 | 1,291,637 | ||||||||
557,000 | DCP Midstream Operating LP 5.6000%, 4/1/44 | 496,786 | ||||||||
1,590,000 | Devon Energy Corp. 2.2500%, 12/15/18 | 1,594,310 | ||||||||
985,000 | Energy Transfer Partners LP 4.1500%, 10/1/20 | 1,012,344 | ||||||||
1,438,000 | EnLink Midstream Partners LP 4.4000%, 4/1/24 | 1,441,870 | ||||||||
1,111,000 | EnLink Midstream Partners LP 5.6000%, 4/1/44 | 1,079,473 | ||||||||
943,000 | Forum Energy Technologies, Inc. 6.2500%, 10/1/21 | 933,570 | ||||||||
2,759,000 | Helmerich & Payne International Drilling Co. 4.6500%, 3/15/25 (144A) | 2,848,083 | ||||||||
912,000 | Kinder Morgan Energy Partners LP 5.0000%, 10/1/21 | 965,026 | ||||||||
958,000 | Kinder Morgan Energy Partners LP 4.3000%, 5/1/24 | 945,396 | ||||||||
96,000 | Kinder Morgan, Inc. 6.5000%, 9/15/20 | 109,777 | ||||||||
1,080,000 | Kinder Morgan, Inc. 7.7500%, 1/15/32 | 1,237,736 | ||||||||
1,414,000 | Motiva Enterprises LLC 5.7500%, 1/15/20 (144A) | 1,554,727 | ||||||||
2,021,000 | NGL Energy Partners LP / NGL Energy Finance Corp. 5.1250%, 7/15/19 | 2,015,947 | ||||||||
3,820,000 | Oceaneering International, Inc. 4.6500%, 11/15/24 | 3,816,501 | ||||||||
566,000 | Phillips 66 Partners LP 3.6050%, 2/15/25 | 532,668 | ||||||||
1,904,000 | Plains All American Pipeline LP / PAA Finance Corp. 3.9500%, 9/15/15 | 1,914,780 | ||||||||
2,309,000 | Spectra Energy Partners LP 4.7500%, 3/15/24 | 2,440,230 | ||||||||
1,665,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.1250%, 11/15/19 (144A) | 1,648,350 | ||||||||
3,243,000 | Western Gas Partners LP 5.3750%, 6/1/21 | 3,500,501 | ||||||||
46,824,217 | ||||||||||
Finance Companies – 0.7% | ||||||||||
1,037,000 | AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust 4.6250%, 7/1/22 | 1,039,593 | ||||||||
4,079,000 | CIT Group, Inc. 4.2500%, 8/15/17 | 4,140,185 | ||||||||
3,221,000 | CIT Group, Inc. 5.5000%, 2/15/19 (144A) | 3,357,892 | ||||||||
1,389,000 | GE Capital Trust I 6.3750%, 11/15/67‡ | 1,483,452 | ||||||||
924,000 | General Electric Capital Corp. 6.3750%, 11/15/67‡ | 993,300 | ||||||||
2,700,000 | General Electric Capital Corp. 6.2500%µ | 2,953,125 | ||||||||
800,000 | General Electric Capital Corp. 7.1250%µ | 923,000 | ||||||||
14,890,547 | ||||||||||
Financial – 0.4% | ||||||||||
2,152,000 | Jones Lang LaSalle, Inc. 4.4000%, 11/15/22 | 2,207,280 | ||||||||
2,373,000 | Kennedy-Wilson, Inc. 5.8750%, 4/1/24 | 2,361,135 | ||||||||
3,812,000 | LeasePlan Corp. NV 2.5000%, 5/16/18 (144A) | 3,817,604 | ||||||||
8,386,019 | ||||||||||
Industrial – 0.1% | ||||||||||
874,000 | Cintas Corp. No 2 2.8500%, 6/1/16 | 885,175 | ||||||||
916,000 | Cintas Corp. No 2 4.3000%, 6/1/21 | 988,132 | ||||||||
1,873,307 | ||||||||||
Insurance – 0.3% | ||||||||||
493,000 | CNO Financial Group, Inc. 4.5000%, 5/30/20 | 500,395 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 13
Table of Contents
Janus Aspen Balanced Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Insurance – (continued) | ||||||||||
$1,405,000 | CNO Financial Group, Inc. 5.2500%, 5/30/25 | $ | 1,427,761 | |||||||
3,253,000 | Primerica, Inc. 4.7500%, 7/15/22 | 3,470,564 | ||||||||
1,324,000 | Voya Financial, Inc. 5.6500%, 5/15/53‡ | 1,352,135 | ||||||||
6,750,855 | ||||||||||
Real Estate Investment Trusts (REITs) – 0.7% | ||||||||||
1,519,000 | Alexandria Real Estate Equities, Inc. 2.7500%, 1/15/20 | 1,503,552 | ||||||||
2,664,000 | Alexandria Real Estate Equities, Inc. 4.6000%, 4/1/22 | 2,806,351 | ||||||||
1,389,000 | Alexandria Real Estate Equities, Inc. 4.5000%, 7/30/29 | 1,391,625 | ||||||||
1,239,000 | Post Apartment Homes LP 4.7500%, 10/15/17 | 1,320,195 | ||||||||
696,000 | Reckson Operating Partnership LP 6.0000%, 3/31/16 | 718,869 | ||||||||
399,000 | Retail Opportunity Investments Partnership LP 5.0000%, 12/15/23 | 418,642 | ||||||||
757,000 | Retail Opportunity Investments Partnership LP 4.0000%, 12/15/24 | 748,989 | ||||||||
609,000 | Senior Housing Properties Trust 6.7500%, 4/15/20 | 683,896 | ||||||||
673,000 | Senior Housing Properties Trust 6.7500%, 12/15/21 | 766,079 | ||||||||
1,479,000 | SL Green Realty Corp. 5.0000%, 8/15/18 | 1,583,506 | ||||||||
2,854,000 | SL Green Realty Corp. 7.7500%, 3/15/20 | 3,400,335 | ||||||||
15,342,039 | ||||||||||
Technology – 2.0% | ||||||||||
996,000 | Autodesk, Inc. 3.6000%, 12/15/22 | 990,743 | ||||||||
3,260,000 | Cadence Design Systems, Inc. 4.3750%, 10/15/24 | 3,270,452 | ||||||||
429,000 | Fidelity National Information Services, Inc. 5.0000%, 3/15/22 | 452,840 | ||||||||
1,260,000 | Fiserv, Inc. 3.1250%, 10/1/15 | 1,266,702 | ||||||||
847,000 | Molex Electronic Technologies LLC 2.8780%, 4/15/20 (144A) | 834,000 | ||||||||
3,386,000 | Molex Electronic Technologies LLC 3.9000%, 4/15/25 (144A) | 3,280,871 | ||||||||
699,000 | Seagate HDD Cayman 4.7500%, 6/1/23 | 709,952 | ||||||||
6,679,000 | Seagate HDD Cayman 4.7500%, 1/1/25 (144A) | 6,637,937 | ||||||||
1,816,000 | Seagate HDD Cayman 4.8750%, 6/1/27 (144A) | 1,765,272 | ||||||||
2,109,000 | Seagate HDD Cayman 5.7500%, 12/1/34 (144A) | 2,076,566 | ||||||||
3,593,000 | Trimble Navigation, Ltd. 4.7500%, 12/1/24 | 3,597,850 | ||||||||
5,164,000 | TSMC Global, Ltd. 1.6250%, 4/3/18 (144A) | 5,104,919 | ||||||||
1,226,000 | Verisk Analytics, Inc. 4.8750%, 1/15/19 | 1,310,593 | ||||||||
4,533,000 | Verisk Analytics, Inc. 5.8000%, 5/1/21 | 5,100,056 | ||||||||
1,187,000 | Verisk Analytics, Inc. 4.1250%, 9/12/22 | 1,208,646 | ||||||||
3,711,000 | Verisk Analytics, Inc. 4.0000%, 6/15/25 | 3,634,197 | ||||||||
2,006,000 | Verisk Analytics, Inc. 5.5000%, 6/15/45 | 1,972,897 | ||||||||
43,214,493 | ||||||||||
Transportation – 0.4% | ||||||||||
346,000 | Asciano Finance, Ltd. 3.1250%, 9/23/15 (144A) | 347,407 | ||||||||
1,918,000 | JB Hunt Transport Services, Inc. 3.3750%, 9/15/15 | 1,927,642 | ||||||||
241,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 2.5000%, 3/15/16 (144A) | 242,685 | ||||||||
2,014,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 3.3750%, 3/15/18 (144A) | 2,075,693 | ||||||||
1,346,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 2.5000%, 6/15/19 (144A) | 1,333,158 | ||||||||
205,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 4.8750%, 7/11/22 (144A) | 216,627 | ||||||||
1,104,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 4.2500%, 1/17/23 (144A) | 1,118,805 | ||||||||
1,308,000 | Southwest Airlines Co. 5.1250%, 3/1/17 | 1,387,885 | ||||||||
8,649,902 | ||||||||||
Total Corporate Bonds (cost $337,505,728) | 338,910,455 | |||||||||
Mortgage-Backed Securities – 7.6% | ||||||||||
Fannie Mae Pool: | ||||||||||
300,345 | 5.5000%, 1/1/25 | 327,875 | ||||||||
441,222 | 4.0000%, 6/1/29 | 474,411 | ||||||||
766,439 | 5.0000%, 9/1/29 | 845,706 | ||||||||
883,157 | 3.5000%, 10/1/29 | 931,001 | ||||||||
314,891 | 5.0000%, 1/1/30 | 347,658 | ||||||||
192,198 | 5.5000%, 1/1/33 | 215,920 | ||||||||
912,051 | 4.0000%, 4/1/34 | 984,230 | ||||||||
861,514 | 6.0000%, 10/1/35 | 984,895 | ||||||||
956,767 | 6.0000%, 12/1/35 | 1,094,239 | ||||||||
159,482 | 6.0000%, 2/1/37 | 184,409 | ||||||||
857,150 | 6.0000%, 9/1/37 | 943,544 | ||||||||
708,850 | 6.0000%, 10/1/38 | 806,453 | ||||||||
258,968 | 7.0000%, 2/1/39 | 312,969 | ||||||||
1,000,401 | 5.5000%, 3/1/40 | 1,142,662 | ||||||||
2,923,716 | 5.5000%, 4/1/40 | 3,297,174 | ||||||||
280,401 | 4.5000%, 10/1/40 | 305,374 | ||||||||
2,204,233 | 5.0000%, 2/1/41 | 2,454,862 | ||||||||
536,450 | 5.5000%, 2/1/41 | 612,227 | ||||||||
549,831 | 5.0000%, 4/1/41 | 612,703 | ||||||||
1,271,374 | 5.0000%, 5/1/41 | 1,408,189 | ||||||||
947,904 | 5.5000%, 5/1/41 | 1,063,963 | ||||||||
1,534,137 | 5.5000%, 6/1/41 | 1,725,303 | ||||||||
1,139,163 | 5.0000%, 7/1/41 | 1,268,457 | ||||||||
1,204,509 | 5.5000%, 7/1/41 | 1,352,836 | ||||||||
962,383 | 4.5000%, 8/1/41 | 1,047,204 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
14 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Fannie Mae Pool: (continued) | ||||||||||
$1,389,638 | 5.5000%, 12/1/41 | $ | 1,568,800 | |||||||
1,454,570 | 4.5000%, 1/1/42 | 1,584,739 | ||||||||
1,539,095 | 4.0000%, 6/1/42 | 1,642,346 | ||||||||
2,282,729 | 4.5000%, 6/1/42 | 2,472,822 | ||||||||
7,831,182 | 3.5000%, 7/1/42 | 8,106,300 | ||||||||
2,340,692 | 4.0000%, 7/1/42 | 2,497,445 | ||||||||
710,387 | 4.0000%, 8/1/42 | 758,052 | ||||||||
873,507 | 4.0000%, 9/1/42 | 932,312 | ||||||||
1,106,675 | 4.0000%, 9/1/42 | 1,180,969 | ||||||||
1,078,141 | 4.0000%, 11/1/42 | 1,150,559 | ||||||||
850,287 | 4.0000%, 12/1/42 | 909,341 | ||||||||
1,815,841 | 3.5000%, 1/1/43 | 1,874,193 | ||||||||
3,538,324 | 3.5000%, 2/1/43 | 3,651,927 | ||||||||
4,870,040 | 4.5000%, 2/1/43 | 5,308,881 | ||||||||
3,931,528 | 4.5000%, 3/1/43 | 4,319,730 | ||||||||
2,455,491 | 4.0000%, 5/1/43 | 2,620,341 | ||||||||
2,281,342 | 4.0000%, 7/1/43 | 2,434,945 | ||||||||
2,621,543 | 4.0000%, 8/1/43 | 2,798,139 | ||||||||
648,811 | 4.0000%, 9/1/43 | 691,941 | ||||||||
1,437,475 | 3.5000%, 1/1/44 | 1,490,785 | ||||||||
3,230,028 | 3.5000%, 1/1/44 | 3,351,424 | ||||||||
1,739,781 | 4.0000%, 2/1/44 | 1,857,012 | ||||||||
1,696,437 | 3.5000%, 4/1/44 | 1,756,053 | ||||||||
4,904,114 | 3.5000%, 5/1/44 | 5,085,704 | ||||||||
6,412,792 | 4.5000%, 5/1/44 | 7,069,655 | ||||||||
2,236,043 | 4.0000%, 6/1/44 | 2,386,401 | ||||||||
4,252,059 | 4.0000%, 7/1/44 | 4,557,549 | ||||||||
2,510,763 | 5.0000%, 7/1/44 | 2,834,991 | ||||||||
1,024,692 | 4.0000%, 8/1/44 | 1,098,311 | ||||||||
2,683,207 | 4.0000%, 8/1/44 | 2,875,991 | ||||||||
2,848,910 | 4.5000%, 8/1/44 | 3,138,904 | ||||||||
1,427,346 | 4.5000%, 10/1/44 | 1,571,207 | ||||||||
2,142,514 | 4.5000%, 10/1/44 | 2,360,762 | ||||||||
2,601,542 | 4.5000%, 3/1/45 | 2,863,753 | ||||||||
Freddie Mac Gold Pool: | ||||||||||
194,226 | 5.0000%, 1/1/19 | 202,796 | ||||||||
182,699 | 5.5000%, 8/1/19 | 191,608 | ||||||||
295,909 | 5.0000%, 6/1/20 | 315,442 | ||||||||
693,843 | 5.5000%, 12/1/28 | 776,602 | ||||||||
1,016,355 | 3.5000%, 7/1/29 | 1,071,822 | ||||||||
577,048 | 5.5000%, 10/1/36 | 651,019 | ||||||||
2,764,672 | 6.0000%, 4/1/40 | 3,152,744 | ||||||||
728,399 | 4.5000%, 1/1/41 | 792,309 | ||||||||
1,486,431 | 5.0000%, 5/1/41 | 1,657,958 | ||||||||
903,319 | 5.5000%, 5/1/41 | 1,012,977 | ||||||||
2,158,608 | 5.5000%, 8/1/41 | 2,478,801 | ||||||||
3,255,482 | 5.5000%, 9/1/41 | 3,649,873 | ||||||||
1,254,093 | 3.5000%, 2/1/44 | 1,294,506 | ||||||||
886,006 | 4.0000%, 8/1/44 | 946,443 | ||||||||
4,176,716 | 4.5000%, 9/1/44 | 4,600,318 | ||||||||
Ginnie Mae I Pool: | ||||||||||
937,383 | 5.1000%, 1/15/32 | 1,073,272 | ||||||||
1,027,625 | 4.9000%, 10/15/34 | 1,144,025 | ||||||||
125,214 | 5.5000%, 9/15/35 | 145,807 | ||||||||
581,074 | 5.5000%, 3/15/36 | 664,247 | ||||||||
767,121 | 5.5000%, 8/15/39 | 879,326 | ||||||||
2,360,992 | 5.5000%, 8/15/39 | 2,721,553 | ||||||||
549,397 | 5.0000%, 10/15/39 | 613,308 | ||||||||
866,935 | 5.5000%, 10/15/39 | 1,000,447 | ||||||||
883,125 | 5.0000%, 11/15/39 | 980,374 | ||||||||
276,078 | 5.0000%, 1/15/40 | 306,436 | ||||||||
96,453 | 5.0000%, 5/15/40 | 108,663 | ||||||||
319,139 | 5.0000%, 5/15/40 | 359,771 | ||||||||
233,173 | 5.0000%, 7/15/40 | 258,613 | ||||||||
945,812 | 5.0000%, 7/15/40 | 1,049,404 | ||||||||
969,455 | 5.0000%, 2/15/41 | 1,076,807 | ||||||||
393,000 | 5.0000%, 5/15/41 | 445,990 | ||||||||
267,035 | 4.5000%, 7/15/41 | 293,879 | ||||||||
2,080,534 | 4.5000%, 8/15/41 | 2,301,797 | ||||||||
227,574 | 5.0000%, 9/15/41 | 253,819 | ||||||||
Ginnie Mae II Pool: | ||||||||||
512,120 | 6.0000%, 11/20/34 | 593,961 | ||||||||
601,590 | 5.5000%, 11/20/37 | 673,697 | ||||||||
210,968 | 6.0000%, 1/20/39 | 238,995 | ||||||||
1,449,205 | 4.5000%, 10/20/41 | 1,565,328 | ||||||||
89,921 | 6.0000%, 10/20/41 | 103,416 | ||||||||
279,444 | 6.0000%, 12/20/41 | 320,298 | ||||||||
607,553 | 5.5000%, 1/20/42 | 691,030 | ||||||||
292,661 | 6.0000%, 1/20/42 | 336,160 | ||||||||
245,952 | 6.0000%, 2/20/42 | 282,556 | ||||||||
223,535 | 6.0000%, 3/20/42 | 256,868 | ||||||||
799,577 | 6.0000%, 4/20/42 | 918,734 | ||||||||
477,620 | 3.5000%, 5/20/42 | 498,429 | ||||||||
756,743 | 5.5000%, 5/20/42 | 861,938 | ||||||||
363,767 | 6.0000%, 5/20/42 | 413,037 | ||||||||
1,088,471 | 5.5000%, 7/20/42 | 1,223,349 | ||||||||
239,612 | 6.0000%, 7/20/42 | 275,212 | ||||||||
244,412 | 6.0000%, 8/20/42 | 280,632 | ||||||||
574,870 | 6.0000%, 9/20/42 | 661,453 | ||||||||
239,550 | 6.0000%, 11/20/42 | 274,421 | ||||||||
326,787 | 6.0000%, 2/20/43 | 375,603 | ||||||||
Total Mortgage-Backed Securities (cost $163,842,548) | 164,864,421 | |||||||||
Preferred Stocks – 0.6% | ||||||||||
Capital Markets – 0.2% | ||||||||||
72,000 | Morgan Stanley, 6.8750% | 1,920,960 | ||||||||
72,030 | Morgan Stanley, 7.1250% | 2,013,239 | ||||||||
11,525 | Morgan Stanley Capital Trust III, 6.2500% | 294,233 | ||||||||
2,590 | Morgan Stanley Capital Trust IV, 6.2500% | 65,890 | ||||||||
954 | Morgan Stanley Capital Trust V, 5.7500% | 24,098 | ||||||||
627 | Morgan Stanley Capital Trust VIII, 6.4500% | 15,894 | ||||||||
15,200 | State Street Corp., 5.9000% | 390,184 | ||||||||
4,724,498 | ||||||||||
Commercial Banks – 0.2% | ||||||||||
49,000 | Citigroup Capital XIII, 7.8750% | 1,272,040 | ||||||||
101,000 | Wells Fargo & Co., 6.6250% | 2,787,600 | ||||||||
4,059,640 | ||||||||||
Consumer Finance – 0.2% | ||||||||||
1,501 | Ally Financial, Inc., 7.0000% (144A) | 1,516,714 | ||||||||
92,000 | Discover Financial Services, 6.5000% | 2,343,240 | ||||||||
3,859,954 | ||||||||||
Industrial Conglomerates – 0% | ||||||||||
8,084 | General Electric Capital Corp., 4.7000% | 196,441 | ||||||||
Pharmaceuticals – 0% | ||||||||||
616 | Allergan PLC, 5.5000% | 642,229 | ||||||||
Total Preferred Stocks (cost $13,067,694) | 13,482,762 | |||||||||
U.S. Treasury Notes/Bonds – 16.8% | ||||||||||
$32,850,000 | 0.3750%, 5/31/16 | 32,873,094 | ||||||||
10,028,000 | 0.5000%, 6/30/16 | 10,044,456 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Janus Aspen Balanced Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
$22,053,000 | 0.6250%, 7/15/16 | $ | 22,113,293 | |||||||
4,753,000 | 0.6250%, 12/31/16 | 4,763,024 | ||||||||
41,376,000 | 0.5000%, 1/31/17 | 41,363,091 | ||||||||
3,737,000 | 0.5000%, 4/30/17 | 3,730,868 | ||||||||
2,187,000 | 0.6250%, 5/31/17 | 2,186,659 | ||||||||
13,315,000 | 1.0000%, 12/15/17 | 13,372,215 | ||||||||
11,866,000 | 1.3750%, 7/31/18 | 11,984,660 | ||||||||
14,058,000 | 1.5000%, 8/31/18 | 14,241,415 | ||||||||
46,868,000 | 1.3750%, 9/30/18 | 47,255,315 | ||||||||
9,233,000 | 1.2500%, 10/31/18 | 9,264,743 | ||||||||
7,996,000 | 1.6250%, 7/31/19 | 8,064,094 | ||||||||
7,135,000 | 1.7500%, 9/30/19 | 7,220,841 | ||||||||
10,594,000 | 1.5000%, 10/31/19 | 10,599,795 | ||||||||
12,933,000 | 1.5000%, 11/30/19 | 12,935,018 | ||||||||
10,968,000 | 1.6250%, 12/31/19 | 11,013,418 | ||||||||
307,000 | 1.3750%, 3/31/20 | 303,978 | ||||||||
5,744,000 | 2.1250%, 9/30/21 | 5,801,440 | ||||||||
8,061,000 | 2.1250%, 12/31/21 | 8,123,972 | ||||||||
2,452,000 | 1.7500%, 5/15/23 | 2,371,736 | ||||||||
9,087,000 | 2.5000%, 8/15/23 | 9,282,934 | ||||||||
12,617,000 | 2.7500%, 11/15/23 | 13,115,763 | ||||||||
6,538,000 | 2.5000%, 5/15/24 | 6,649,859 | ||||||||
1,669,000 | 2.3750%, 8/15/24 | 1,677,998 | ||||||||
19,719,000 | 2.2500%, 11/15/24 | 19,598,832 | ||||||||
1,151,000 | 2.0000%, 2/15/25 | 1,118,268 | ||||||||
13,484,000 | 2.1250%, 5/15/25 | 13,239,602 | ||||||||
8,452,000 | 3.7500%, 11/15/43 | 9,507,181 | ||||||||
1,893,000 | 3.6250%, 2/15/44 | 2,081,264 | ||||||||
1,799,000 | 3.3750%, 5/15/44 | 1,889,653 | ||||||||
433,000 | 3.1250%, 8/15/44 | 433,711 | ||||||||
6,935,000 | 3.0000%, 5/15/45 | 6,796,300 | ||||||||
Total U.S. Treasury Notes/Bonds (cost $362,477,006) | 365,018,490 | |||||||||
Investment Companies – 0.7% | ||||||||||
Money Markets – 0.7% | ||||||||||
14,431,141 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ (cost $14,431,141) | 14,431,141 | ||||||||
Total Investments (total cost $1,948,311,450) – 100.1% | 2,174,071,661 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | (1,976,986) | |||||||||
Net Assets – 100% | $ | 2,172,094,675 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 2,085,582,203 | 95 | .9% | ||||
United Kingdom | 41,710,832 | 1 | .9 | |||||
Netherlands | 18,532,057 | 0 | .9 | |||||
Germany | 7,784,124 | 0 | .4 | |||||
Taiwan | 5,104,919 | 0 | .2 | |||||
Singapore | 4,789,791 | 0 | .2 | |||||
Spain | 4,729,619 | 0 | .2 | |||||
Canada | 2,130,555 | 0 | .1 | |||||
Italy | 1,833,304 | 0 | .1 | |||||
Japan | 1,526,850 | 0 | .1 | |||||
Australia | 347,407 | 0 | .0 | |||||
Total | $ | 2,174,071,661 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | ||||||||||||
Currency | Currency | Appreciation/ | ||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | |||||||||
Bank of America: British Pound 7/30/15 | 2,750,000 | $ | 4,319,281 | $ | 4,888 | |||||||
Credit Suisse International: British Pound 7/16/15 | 1,666,000 | 2,616,987 | (40,718) | |||||||||
HSBC Securities (USA), Inc.: British Pound 7/23/15 | 1,905,000 | 2,992,249 | 25,252 | |||||||||
JPMorgan Chase & Co.: British Pound 7/30/15 | 1,191,000 | 1,870,641 | 4,573 | |||||||||
RBC Capital Markets Corp.: British Pound 7/16/15 | 972,000 | 1,526,838 | (37,340) | |||||||||
Total | $ | 13,325,996 | $ | (43,345) | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
16 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Balanced Index | An internally-calculated, hypothetical combination of total returns from the S&P 500® Index (55%) and the Barclays U.S. Aggregate Bond Index (45%). | |
Barclays U.S. Aggregate Bond Index | A broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
PLC | Public Limited Company | |
ULC | Unlimited Liability Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2015 is indicated in the table below: |
Value as a % | ||||||||||
Portfolio | Value | of Net Assets | ||||||||
Janus Aspen Balanced Portfolio | $ | 118,701,257 | 5.5 | % | ||||||
(a) | All or a portion of this position has not settled, or is not funded. Upon settlement or funding date, interest rates for unsettled or unfunded amounts will be determined. Interest and dividends will not be accrued until time of settlement or funding. | |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Balanced Portfolio | $ | 4,008,500 | |||
‡ | The interest rate on floating rate notes is based on an index or market interest rates and is subject to change. Rate in the security description is as of period end. | |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
µ | This variable rate security is a perpetual bond. Perpetual bonds have no contractual maturity date, are not redeemable, and pay an indefinite stream of interest. The coupon rate shown represents the current interest rate. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Acquisition | Value as a | ||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Balanced Portfolio | ||||||||||||||
Colony American Homes Holdings III LP | 1/30/13 | $ | 6,407,653 | $ | 7,423,572 | 0.3 | % | |||||||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 | 4/29/13 | 1,068,652 | 1,069,139 | – | ||||||||||
Total | $ | 7,476,305 | $ | 8,492,711 | 0.3 | % | ||||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015 The issuer incurs all registration costs.
Janus Aspen Series | 17
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Balanced Portfolio | |||||||||||||||||||||
Janus Cash Liquidity Fund LLC | 7,849,944 | 705,833,197 | (699,252,000) | 14,431,141 | $ | – | $ | 16,074 | $ | 14,431,141 | |||||||||||
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | ||||||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||
Janus Aspen Balanced Portfolio | |||||||||||
Assets | |||||||||||
Investments in Securities: | |||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | – | $ | 53,398,918 | $ | – | |||||
Bank Loans and Mezzanine Loans | – | 7,555,302 | – | ||||||||
Common Stocks | |||||||||||
Real Estate Management & Development | – | – | 7,423,572 | ||||||||
All Other | 1,208,986,600 | – | – | ||||||||
Corporate Bonds | – | 338,910,455 | – | ||||||||
Mortgage-Backed Securities | – | 164,864,421 | – | ||||||||
Preferred Stocks | – | 13,482,762 | – | ||||||||
U.S. Treasury Notes/Bonds | – | 365,018,490 | – | ||||||||
Investment Companies | – | 14,431,141 | – | ||||||||
Total Investments in Securities | $ | 1,208,986,600 | $ | 957,661,489 | $ | 7,423,572 | |||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 34,713 | $ | – | |||||
Total Assets | $ | 1,208,986,600 | $ | 957,696,202 | $ | 7,423,572 | |||||
Liabilities | |||||||||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 78,058 | $ | – | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
18 | JUNE 30, 2015
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Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Balanced | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 1,948,311,450 | ||||||||
Unaffiliated investments, at value | $ | 2,159,640,520 | ||||||||
Affiliated investments, at value | 14,431,141 | |||||||||
Cash | 395,307 | |||||||||
Forward currency contracts | 34,713 | |||||||||
Non-interested Trustees’ deferred compensation | 43,411 | |||||||||
Receivables: | ||||||||||
Investments sold | 9,710,264 | |||||||||
Portfolio shares sold | 1,672,857 | |||||||||
Dividends | 994,515 | |||||||||
Dividends from affiliates | 1,760 | |||||||||
Foreign dividend tax reclaim | 34,715 | |||||||||
Interest | 5,203,099 | |||||||||
Other assets | 2,175 | |||||||||
Total Assets | 2,192,164,477 | |||||||||
Liabilities: | ||||||||||
Forward currency contracts | 78,058 | |||||||||
Closed foreign currency contracts | 192,272 | |||||||||
Payables: | ||||||||||
Investments purchased | 17,453,855 | |||||||||
Portfolio shares repurchased | 877,170 | |||||||||
Advisory fees | 987,167 | |||||||||
Portfolio administration fees | 17,051 | |||||||||
Transfer agent fees and expenses | 937 | |||||||||
12b-1 Distribution and shareholder servicing fees | 350,669 | |||||||||
Non-interested Trustees’ fees and expenses | 12,247 | |||||||||
Non-interested Trustees’ deferred compensation fees | 43,411 | |||||||||
Accrued expenses and other payables | 56,965 | |||||||||
Total Liabilities | 20,069,802 | |||||||||
Net Assets | $ | 2,172,094,675 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 1,882,210,875 | ||||||||
Undistributed net investment income/(loss) | 7,935,258 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 56,227,628 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 225,720,914 | |||||||||
Total Net Assets | $ | 2,172,094,675 | ||||||||
Net Assets - Institutional Shares | $ | 470,572,834 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 15,554,809 | |||||||||
Net Asset Value Per Share | $ | 30.25 | ||||||||
Net Assets - Service Shares | $ | 1,701,521,841 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 53,508,227 | |||||||||
Net Asset Value Per Share | $ | 31.80 |
See Notes to Financial Statements.
Janus Aspen Series | 19
Table of Contents
Statement of Operations
Janus Aspen | ||||||
Balanced | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Interest | $ | 11,761,597 | ||||
Dividends | 13,636,954 | |||||
Dividends from affiliates | 16,074 | |||||
Other income | 81,753 | |||||
Total Investment Income | 25,496,378 | |||||
Expenses: | ||||||
Advisory fees | 5,489,522 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 1,904,534 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,736 | |||||
Service Shares | 3,215 | |||||
Shareholder reports expense | 42,883 | |||||
Registration fees | 8,640 | |||||
Custodian fees | 15,351 | |||||
Professional fees | 28,332 | |||||
Non-interested Trustees’ fees and expenses | 27,186 | |||||
Portfolio administration fees | 88,849 | |||||
Other expenses | 62,828 | |||||
Total Expenses | 7,673,076 | |||||
Net Expenses | 7,673,076 | |||||
Net Investment Income/(Loss) | 17,823,302 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 53,021,210 | |||||
Total Net Realized Gain/(Loss) on Investments | 53,021,210 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (62,638,000) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (62,638,000) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 8,206,512 |
See Notes to Financial Statements.
20 | JUNE 30, 2015
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Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Balanced | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 17,823,302 | $ | 27,486,533 | ||||||
Net realized gain/(loss) on investments | 53,021,210 | 69,498,515 | ||||||||
Change in unrealized net appreciation/depreciation | (62,638,000) | 22,976,994 | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 8,206,512 | 119,962,042 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (5,143,384) | (8,234,908) | ||||||||
Service Shares | (16,050,892) | (15,983,324) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (15,890,685) | (12,417,608) | ||||||||
Service Shares | (54,459,824) | (25,030,597) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (91,544,785) | (61,666,437) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 22,647,199 | 28,106,105 | ||||||||
Service Shares | 541,590,409 | 398,303,471 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 21,034,069 | 20,652,516 | ||||||||
Service Shares | 70,510,716 | 41,013,921 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (31,300,355) | (65,968,474) | ||||||||
Service Shares | (73,099,859) | (114,711,837) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 551,382,179 | 307,395,702 | ||||||||
Net Increase/(Decrease) in Net Assets | 468,043,906 | 365,691,307 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 1,704,050,769 | 1,338,359,462 | ||||||||
End of period | $ | 2,172,094,675 | $ | 1,704,050,769 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 7,935,258 | $ | 11,306,232 |
See Notes to Financial Statements.
Janus Aspen Series | 21
Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Balanced Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $31.43 | $30.26 | $27.17 | $26.62 | $28.30 | $26.88 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.31(1) | 0.62(1) | 0.56 | 1.14 | 0.73 | 0.81 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.07) | 1.92 | 4.67 | 2.30 | (0.22) | 1.39 | ||||||||||||||||||||
Total from Investment Operations | 0.24 | 2.54 | 5.23 | 3.44 | 0.51 | 2.20 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.35) | (0.55) | (0.45) | (0.80) | (0.69) | (0.78) | ||||||||||||||||||||
Distributions (from capital gains) | (1.07) | (0.82) | (1.69) | (2.09) | (1.50) | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.42) | (1.37) | (2.14) | (2.89) | (2.19) | (0.78) | ||||||||||||||||||||
Net Asset Value, End of Period | $30.25 | $31.43 | $30.26 | $27.17 | $26.62 | $28.30 | ||||||||||||||||||||
Total Return* | 0.67% | 8.54% | 20.11% | 13.66% | 1.60% | 8.39% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $470,573 | $475,807 | $475,100 | $435,689 | $843,446 | $955,585 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $479,121 | $472,445 | $455,356 | $509,335 | $906,725 | $970,582 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.57% | 0.58% | 0.58% | 0.60% | 0.57% | 0.58% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.57% | 0.58% | 0.58% | 0.60% | 0.57% | 0.58% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.96% | 2.01% | 1.87% | 2.23% | 2.50% | 2.74% | ||||||||||||||||||||
Portfolio Turnover Rate | 38% | 87% | 76% | 77% | 108% | 90% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Balanced Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $32.97 | $31.72 | $28.42 | $27.74 | $29.42 | $27.93 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.28(1) | 0.57(1) | 0.58 | 0.57 | 0.66 | 0.71 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.07) | 2.00 | 4.82 | 2.94 | (0.20) | 1.51 | ||||||||||||||||||||
Total from Investment Operations | 0.21 | 2.57 | 5.40 | 3.51 | 0.46 | 2.22 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.31) | (0.50) | (0.41) | (0.74) | (0.64) | (0.73) | ||||||||||||||||||||
Distributions (from capital gains) | (1.07) | (0.82) | (1.69) | (2.09) | (1.50) | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.38) | (1.32) | (2.10) | (2.83) | (2.14) | (0.73) | ||||||||||||||||||||
Net Asset Value, End of Period | $31.80 | $32.97 | $31.72 | $28.42 | $27.74 | $29.42 | ||||||||||||||||||||
Total Return* | 0.58% | 8.24% | 19.80% | 13.37% | 1.35% | 8.12% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $1,701,522 | $1,228,244 | $863,259 | $494,722 | $763,208 | $764,603 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $1,543,044 | $1,013,680 | $596,154 | $533,254 | $770,420 | $705,784 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.82% | 0.84% | 0.84% | 0.85% | 0.82% | 0.83% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.82% | 0.84% | 0.84% | 0.85% | 0.82% | 0.83% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.72% | 1.77% | 1.62% | 2.00% | 2.25% | 2.49% | ||||||||||||||||||||
Portfolio Turnover Rate | 38% | 87% | 76% | 77% | 108% | 90% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
22 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Balanced Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests in a combination of equity securities selected for growth potential and securities selected for income potential. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
Janus Aspen Series | 23
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2015.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out | ||||||
of Level 2 | ||||||
Portfolio | to Level 1 | |||||
Janus Aspen Balanced Portfolio | $ | 22,167,011 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make
24 | JUNE 30, 2015
Table of Contents
estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Derivative Instruments |
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the period ended June 30, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
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
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Notes to Financial Statements (unaudited) (continued)
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:
• | Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio. | |
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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
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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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Balanced Portfolio | $ | 13,039,259 | ||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Asset Derivatives | Liability Derivatives | ||||||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Janus Aspen Balanced Portfolio | ||||||||||||
Currency Contracts | Forward currency contracts | $ | 34,713 | Forward currency contracts | $ | 78,058 | ||||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as | Investments and foreign | |||
hedging instruments | currency transactions | |||
Janus Aspen Balanced Portfolio | ||||
Currency Contracts | $ | (117,133 | ) | |
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||
Investments, foreign | ||||
currency translations and | ||||
Derivatives not accounted for as | non-interested Trustees’ | |||
hedging instruments | deferred compensation | |||
Janus Aspen Balanced Portfolio | ||||
Currency Contracts | $ | (110,467 | ) | |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
3. | Other Investments and Strategies |
Additional Investment Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes or adverse developments specific to the issuer.
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers,
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Notes to Financial Statements (unaudited) (continued)
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. As a result, financial markets in the EU have been subject to increased 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.
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.
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, 2015.
• | Bank Loans – Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. A 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 the 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 |
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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 automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying assets fail to perform, these investment vehicles could be forced to sell the assets and recognize losses on such assets, which could impact the Portfolio’s yield and your return.
Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Prepayment risk, which results from prepayments of the principal of underlying loans at a faster pace than expected, may shorten the effective maturities of these securities and may result in the Portfolio having to reinvest proceeds at a lower interest rate.
In addition to prepayment risk, investments in mortgage-backed securities, including those comprised of subprime mortgages, and investments in other asset-backed securities comprised of under-performing assets may be subject to a higher degree of credit risk, valuation risk, and liquidity risk. Additionally, although mortgages and mortgage-related 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.
Mortgage- and asset-backed securities are also subject to extension risk, which is the risk that rising interest rates could cause mortgages or other obligations underlying these securities to be paid more slowly than expected, increasing the Portfolio’s sensitivity to interest rate changes and causing its price to decline.
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Notes to Financial Statements (unaudited) (continued)
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets
Counterparty | Gross Amounts of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ | 4,888 | $ | – | $ | – | $ | 4,888 | ||||||||||
HSBC Securities (USA), Inc. | 25,252 | – | – | 25,252 | ||||||||||||||
JPMorgan Chase & Co. | 4,573 | – | – | 4,573 | ||||||||||||||
Total | $ | 34,713 | $ | – | $ | – | $ | 34,713 | ||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Credit Suisse International | $ | 40,718 | $ | – | $ | – | $ | 40,718 | ||||||||||
RBC Capital Markets Corp. | 37,340 | – | – | 37,340 | ||||||||||||||
Total | $ | 78,058 | $ | – | $ | – | $ | 78,058 | ||||||||||
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | |
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition,
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these securities may exhibit greater price volatility than securities for which secondary markets exist.
Sovereign Debt
The Portfolio may invest in U.S. and foreign government debt securities (“sovereign debt”). Investments in U.S. sovereign debt are considered low risk. However, investments in non-U.S. sovereign debt can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors, including its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid.
When-Issued and Delayed Delivery Securities
The Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Portfolio may invest include U.S. Treasury Securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio may hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
4. | Investment Advisory Agreements and Other Transactions with Affiliates |
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily | Contractual | |||||||||
Net Assets | Investment | |||||||||
Portfolio | of the Portfolio | Advisory Fee (%) | ||||||||
Janus Aspen Balanced Portfolio | All Asset Levels | 0.55 | ||||||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified
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Notes to Financial Statements (unaudited) (continued)
administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
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Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Balanced Portfolio | $ | 1,947,491,420 | $ | 238,778,862 | $ | (12,198,621) | $ | 226,580,241 | ||||||||||
6. | Capital Share Transactions |
Janus Aspen Balanced Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 711,758 | 915,113 | ||||||||
Reinvested dividends and distributions | 684,480 | 675,377 | ||||||||
Shares repurchased | (981,908) | (2,148,096) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 414,330 | (557,606) | ||||||||
Shares Outstanding, Beginning of Period | 15,140,479 | 15,698,085 | ||||||||
Shares Outstanding, End of Period | 15,554,809 | 15,140,479 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 16,264,519 | 12,324,980 | ||||||||
Reinvested dividends and distributions | 2,182,319 | 1,277,515 | ||||||||
Shares repurchased | (2,189,433) | (3,565,814) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 16,257,405 | 10,036,681 | ||||||||
Shares Outstanding, Beginning of Period | 37,250,822 | 27,214,141 | ||||||||
Shares Outstanding, End of Period | 53,508,227 | 37,250,822 |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Balanced Portfolio | $ | 741,147,214 | $ | 386,081,859 | $ | 488,899,595 | $ | 360,002,785 | ||||||
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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Additional Information (unaudited) (continued)
second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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Additional Information (unaudited) (continued)
quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Additional Information (unaudited) (continued)
Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Additional Information (unaudited) (continued)
Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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Additional Information (unaudited) (continued)
that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Useful Information About Your Portfolio Report (unaudited) (continued)
Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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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
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94025 | 109-24-81113 08-15 |
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semiannual report
June 30, 2015
Janus Aspen Enterprise Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Enterprise Portfolio
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Janus Aspen Enterprise Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe that investing in companies with sustainable growth and high return on invested capital can drive consistent returns and allow us to outperform our benchmark and peers over time with moderate risk. We seek to identify mid-cap companies with high-quality management teams that wisely allocate capital to fund and drive growth over time. | Brian Demain portfolio manager |
PERFORMANCE OVERVIEW
During the six months ended June 30, 2015, Janus Aspen Enterprise Portfolio’s Institutional Shares and Service Shares returned 6.08% and 5.97%, respectively. Meanwhile, the Portfolio’s benchmark, the Russell Midcap Growth Index, returned 4.18%.
INVESTMENT ENVIRONMENT
Mid-cap equities rose during the first half of the period, fueled in part by an improving economic picture in the U.S. and signs that the U.S. consumer remained strong. Low interest rates around the globe were also broadly supportive of equities. Stocks tied to the biotech and semiconductor industries were particular areas of strength for the mid-cap growth market.
For much of the second quarter, volatility remained low and stocks generally traded in a narrow range, as the market began to digest what the eventual end of the Federal Reserve’s accommodative monetary policies will mean for both the stock market and broader economy. However, mid-cap growth stocks sold off late in June as Greece moved closer to a potential exit from the eurozone.
STRATEGY OVERVIEW
The Portfolio outperformed its benchmark, the Russell Midcap Growth Index, during the period. Our Portfolio tends to emphasize companies that we believe have more predictable business models, recurring revenue streams and strong competitive positioning that can allow the companies to take market share and experience sustainable, long-term growth. We believe this focus should help the Portfolio outperform when markets are down and drive relative outperformance over full market cycles. Our Portfolio performed as we expected, exceeding the benchmark when the index was down in the second quarter.
Our performance this period was driven by strong results from a number of companies in our Portfolio. Pharmacyclics was the top contributor. The stock was up significantly in the first quarter after it was announced that AbbVie had won a bidding war to acquire the company. The high interest Pharmacyclics received from other companies bidding for it validated our view that its blood cancer treatments are truly innovative and offer significant growth potential. We sold the stock after the announcement.
Masimo was another top contributor. The stock was up after reporting strong first quarter 2015 results and raising revenue guidance for the year. The stock was also driven by its recent CE Mark, a manufacturer’s declaration that the product meets the requirements of the applicable European directives, for Masimo’s Root connectivity and patient monitoring platform with non-invasive blood pressure and temperature capabilities. We believe Masimo’s patient monitoring technology will continue to gain market share.
Verisk Analytics was another top contributor, rising after the company announced earnings that exceeded consensus expectations. The stock is a large holding in our Portfolio, and we continue to like its growth potential. Verisk provides services to the insurance industry through detailed actuarial and underwriting data for property and casualty companies, as well as predictive analytics to help underwriters model their risks. Innovation, analytics and data management are at the core of the company and management continues to find ways to expand its business by providing more services for new and existing customers.
While pleased with the results of many companies in our Portfolio, we did have some stocks that disappointed during the period. Athenahealth was a large detractor. The company’s services help physician groups become more efficient by providing technology solutions around practice management, electronic recordkeeping and care-coordination services. The company has been very successful selling its solutions to the ambulatory market, and is now making a broader push into larger hospitals. There is some concern on the time it will take
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Janus Aspen Enterprise Portfolio (unaudited)
athenahealth to grow in the hospital market, which has weighed on the stock recently, but as more focus is put on wringing costs from the health care industry, we think the value proposition of athenahealth’s solutions will continue to be in greater demand.
Rexnord Corporation was another detractor. The stock was down after the company reported weaker than expected fourth-quarter revenues. We continue to like the long-term outlook for the company, however. The firm conducts process and motion control and also offers a number of water treatment and waste water control products. We consider Rexnord a high-quality industrial firm with stable core business segments and strengthening end markets. We also appreciate its historical ability to generate high incremental margins and that its products are relatively low cost but mission critical to their customers, who give the firm high ratings.
Solera Holdings was also a detractor. The stock fell after the company missed earnings expectations, but our long-term view of the company remains the same. The company provides estimation tools and analytics for insurance companies and body shops to help assess the likely cost of an auto repair. The information from Solera’s databases plays a critical role in helping insurers reduce the cost of processing claims. In addition to its recurring revenue stream from existing insurance clients, we think Solera could experience significant growth in emerging markets, which will adopt the technology to replace paper-based processes.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for derivatives used by the Portfolio.
OUTLOOK
We would expect a modest return environment for mid-cap stocks in the back half of 2015, but the long, nearly uninterrupted run by U.S. equity markets also gives us pause for thought. We are not calling for a correction, but in long runs such as the current one (the small drop in mid-caps this quarter not withstanding) the market tends to give a lot of free passes to companies, placing more emphasis on their potential upside and less attention to downside risks.
We see this today, where enthusiasm for innovation in the biotech, consumer Internet, and software as a service (SAAS) industries has driven high valuations for stocks tied to these themes. We are not outright avoiding these areas of the market, and certainly some of these stocks offer dramatically improved therapies or have disruptive business models with high growth potential. However, we are navigating these pockets with a selective approach, making sure we understand the science behind new biotech therapies, or the addressable market and competitive landscape for consumer Internet and SAAS companies.
Predicting when market momentum eases is tough, if not impossible, but given where valuations sit today and the relative length of the market run, we think a focus on durable growth companies is well warranted. The sustainability of these companies’ business models and durability of their growth takes on more importance when risk tolerances wane and market valuations are called into question.
Thank you for your investment in Janus Aspen Enterprise Portfolio.
2 | JUNE 30, 2015
Table of Contents
(unaudited)
Janus Aspen Enterprise Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Pharmacyclics, Inc. | 0.72% | |||
Masimo Corp. | 0.50% | |||
MSCI, Inc. | 0.48% | |||
Amdocs, Ltd. (U.S. Shares) | 0.42% | |||
Verisk Analytics, Inc. – Class A | 0.41% |
5 Bottom Performers – Holdings
Contribution | ||||
athenahealth, Inc. | –0.44% | |||
Rexnord Corp. | –0.27% | |||
KLA-Tencor Corp. | –0.27% | |||
Solera Holdings, Inc. | –0.27% | |||
Precision Castparts Corp. | –0.23% |
5 Top Performers – Sectors*
Portfolio Weighting | Russell Midcap® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Financials | 0.77% | 11.19% | 9.55% | |||||||||
Consumer Discretionary | 0.73% | 9.30% | 23.24% | |||||||||
Information Technology | 0.49% | 32.17% | 18.37% | |||||||||
Energy | 0.31% | 1.25% | 4.89% | |||||||||
Industrials | 0.15% | 22.64% | 15.70% |
5 Bottom Performers – Sectors*
Portfolio Weighting | Russell Midcap® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Materials | –0.22% | 1.83% | 4.84% | |||||||||
Health Care | –0.15% | 18.52% | 14.26% | |||||||||
Consumer Staples | –0.12% | 1.00% | 7.99% | |||||||||
Other** | –0.07% | 2.10% | 0.00% | |||||||||
Telecommunication Services | 0.02% | 0.00% | 0.96% |
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
** | Not a GICS classified sector. |
Janus Aspen Series | 3
Table of Contents
Janus Aspen Enterprise Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Sensata Technologies Holding NV Electrical Equipment | 3.4% | |||
Verisk Analytics, Inc. – Class A Professional Services | 3.2% | |||
Crown Castle International Corp. Real Estate Investment Trusts (REITs) | 2.9% | |||
Amdocs, Ltd. (U.S. Shares) Information Technology Services | 2.6% | |||
Varian Medical Systems, Inc. Health Care Equipment & Supplies | 2.3% | |||
14.4% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (3.6)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
4 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Enterprise Portfolio – Institutional Shares | 6.08% | 13.43% | 19.07% | 11.25% | 10.68% | 0.68% | |||||||
Janus Aspen Enterprise Portfolio – Service Shares | 5.97% | 13.15% | 18.76% | 10.98% | 10.40% | 0.93% | |||||||
Russell Midcap® Growth Index | 4.18% | 9.45% | 18.69% | 9.69% | 9.75% | ||||||||
Morningstar Quartile – Institutional Shares | – | 1st | 1st | 1st | 2nd | ||||||||
Morningstar Ranking – based on total returns for Mid-Cap Growth Funds | – | 95/768 | 97/683 | 39/628 | 56/211 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
See important disclosures on the next page.
Janus Aspen Series | 5
Table of Contents
Janus Aspen Enterprise Portfolio (unaudited)
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – September 13, 1993 |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,060.80 | $ | 3.42 | $ | 1,000.00 | $ | 1,021.47 | $ | 3.36 | 0.67% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,059.70 | $ | 4.70 | $ | 1,000.00 | $ | 1,020.23 | $ | 4.61 | 0.92% | |||||||||||||||||
† | 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Enterprise Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 97.7% | ||||||||||
Aerospace & Defense – 2.6% | ||||||||||
118,804 | HEICO Corp. – Class A | $ | 6,031,679 | |||||||
38,290 | Precision Castparts Corp. | 7,653,022 | ||||||||
24,742 | TransDigm Group, Inc.* | 5,558,785 | ||||||||
19,243,486 | ||||||||||
Air Freight & Logistics – 1.3% | ||||||||||
204,287 | Expeditors International of Washington, Inc. | 9,418,652 | ||||||||
Airlines – 1.6% | ||||||||||
163,956 | Ryanair Holdings PLC (ADR) | 11,698,261 | ||||||||
Biotechnology – 3.1% | ||||||||||
104,934 | Celgene Corp.* | 12,144,537 | ||||||||
46,245 | Incyte Corp.* | 4,819,191 | ||||||||
48,343 | Medivation, Inc.* | 5,520,771 | ||||||||
22,484,499 | ||||||||||
Building Products – 0.8% | ||||||||||
79,318 | AO Smith Corp | 5,709,310 | ||||||||
Capital Markets – 3.1% | ||||||||||
308,488 | LPL Financial Holdings, Inc.# | 14,341,607 | ||||||||
221,743 | TD Ameritrade Holding Corp. | 8,164,577 | ||||||||
22,506,184 | ||||||||||
Chemicals – 1.7% | ||||||||||
32,136 | Air Products & Chemicals, Inc. | 4,397,169 | ||||||||
260,998 | Potash Corp. of Saskatchewan, Inc. (U.S. Shares) | 8,083,108 | ||||||||
12,480,277 | ||||||||||
Commercial Services & Supplies – 1.9% | ||||||||||
237,831 | Edenred# | 5,876,184 | ||||||||
284,246 | Ritchie Bros Auctioneers, Inc. (U.S. Shares)# | 7,936,148 | ||||||||
13,812,332 | ||||||||||
Diversified Consumer Services – 0.7% | ||||||||||
135,307 | ServiceMaster Global Holdings, Inc.* | 4,894,054 | ||||||||
Diversified Financial Services – 1.7% | ||||||||||
201,143 | MSCI, Inc. | 12,380,352 | ||||||||
Electrical Equipment – 4.2% | ||||||||||
110,692 | AMETEK, Inc. | 6,063,708 | ||||||||
475,407 | Sensata Technologies Holding NV* | 25,072,965 | ||||||||
31,136,673 | ||||||||||
Electronic Equipment, Instruments & Components – 5.5% | ||||||||||
229,762 | Amphenol Corp. – Class A | 13,319,303 | ||||||||
610,556 | Flextronics International, Ltd.* | 6,905,388 | ||||||||
225,058 | National Instruments Corp. | 6,630,209 | ||||||||
213,483 | TE Connectivity, Ltd. (U.S. Shares) | 13,726,957 | ||||||||
40,581,857 | ||||||||||
Food Products – 1.1% | ||||||||||
93,477 | Mead Johnson Nutrition Co. | 8,433,495 | ||||||||
Health Care Equipment & Supplies – 5.5% | ||||||||||
449,297 | Boston Scientific Corp.* | 7,952,557 | ||||||||
48,804 | IDEXX Laboratories, Inc.* | 3,130,289 | ||||||||
221,494 | Masimo Corp.* | 8,580,677 | ||||||||
28,145 | Teleflex, Inc. | 3,812,240 | ||||||||
199,197 | Varian Medical Systems, Inc.* | 16,798,283 | ||||||||
40,274,046 | ||||||||||
Health Care Providers & Services – 1.7% | ||||||||||
86,519 | Henry Schein, Inc.* | 12,296,080 | ||||||||
Health Care Technology – 1.5% | ||||||||||
97,316 | athenahealth, Inc.*,# | 11,150,467 | ||||||||
Hotels, Restaurants & Leisure – 1.1% | ||||||||||
142,946 | Dunkin’ Brands Group, Inc. | 7,862,030 | ||||||||
Industrial Conglomerates – 1.1% | ||||||||||
45,537 | Roper Industries, Inc. | 7,853,311 | ||||||||
Information Technology Services – 9.6% | ||||||||||
349,182 | Amdocs, Ltd. (U.S. Shares) | 19,061,845 | ||||||||
26,487 | Black Knight Financial Services, Inc. – Class A* | 817,654 | ||||||||
173,992 | Broadridge Financial Solutions, Inc. | 8,701,340 | ||||||||
145,538 | Fidelity National Information Services, Inc. | 8,994,248 | ||||||||
115,977 | Gartner, Inc.* | 9,948,507 | ||||||||
37,325 | Global Payments, Inc. | 3,861,271 | ||||||||
179,082 | Jack Henry & Associates, Inc. | 11,586,606 | ||||||||
62,048 | WEX, Inc.* | 7,071,611 | ||||||||
70,043,082 | ||||||||||
Insurance – 1.9% | ||||||||||
136,556 | Aon PLC | 13,611,902 | ||||||||
Internet & Catalog Retail – 0.5% | ||||||||||
92,658 | Wayfair, Inc. – Class A*,# | 3,487,647 | ||||||||
Internet Software & Services – 1.5% | ||||||||||
93,750 | Cimpress NV*,# | 7,890,000 | ||||||||
14,299 | CoStar Group, Inc.* | 2,877,817 | ||||||||
10,767,817 | ||||||||||
Leisure Products – 0.8% | ||||||||||
41,459 | Polaris Industries, Inc. | 6,140,492 | ||||||||
Life Sciences Tools & Services – 3.6% | ||||||||||
63,693 | Bio-Techne Corp. | 6,271,850 | ||||||||
18,680 | Mettler-Toledo International, Inc.* | 6,378,473 | ||||||||
134,168 | PerkinElmer, Inc. | 7,062,603 | ||||||||
51,560 | Waters Corp.* | 6,619,273 | ||||||||
26,332,199 | ||||||||||
Machinery – 2.8% | ||||||||||
108,901 | Colfax Corp.* | 5,025,781 | ||||||||
441,773 | Rexnord Corp.* | 10,562,793 | ||||||||
52,505 | Wabtec Corp. | 4,948,071 | ||||||||
20,536,645 | ||||||||||
Media – 2.1% | ||||||||||
112,780 | Discovery Communications, Inc. – Class C* | 3,505,202 | ||||||||
169,739 | Markit, Ltd.* | 4,340,226 | ||||||||
110,071 | Omnicom Group, Inc. | 7,648,834 | ||||||||
15,494,262 | ||||||||||
Oil, Gas & Consumable Fuels – 1.1% | ||||||||||
169,350 | World Fuel Services Corp. | 8,120,332 | ||||||||
Pharmaceuticals – 2.2% | ||||||||||
87,753 | AbbVie, Inc. | 5,896,124 | ||||||||
129,464 | Endo International PLC* | 10,311,808 | ||||||||
16,207,932 | ||||||||||
Professional Services – 3.2% | ||||||||||
322,092 | Verisk Analytics, Inc. – Class A*,† | 23,435,414 | ||||||||
Real Estate Investment Trusts (REITs) – 5.0% | ||||||||||
262,614 | Crown Castle International Corp. | 21,087,904 | ||||||||
266,234 | Lamar Advertising Co. – Class A | 15,303,130 | ||||||||
36,391,034 | ||||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Enterprise Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Road & Rail – 0.8% | ||||||||||
37,558 | Canadian Pacific Railway, Ltd. (U.S. Shares) | $ | 6,017,918 | |||||||
Semiconductor & Semiconductor Equipment – 5.5% | ||||||||||
839,590 | Atmel Corp. | 8,274,160 | ||||||||
141,765 | KLA-Tencor Corp. | 7,968,611 | ||||||||
945,686 | ON Semiconductor Corp.* | 11,055,069 | ||||||||
287,145 | Xilinx, Inc. | 12,680,323 | ||||||||
39,978,163 | ||||||||||
Software – 9.8% | ||||||||||
666,576 | Cadence Design Systems, Inc.* | 13,104,884 | ||||||||
23,012 | Constellation Software, Inc. | 9,137,356 | ||||||||
30,202 | FactSet Research Systems, Inc. | 4,908,127 | ||||||||
95,816 | Intuit, Inc. | 9,655,378 | ||||||||
155,028 | NICE Systems, Ltd. (ADR) | 9,858,231 | ||||||||
295,041 | Solera Holdings, Inc. | 13,147,027 | ||||||||
185,679 | SS&C Technologies Holdings, Inc. | 11,604,938 | ||||||||
71,415,941 | ||||||||||
Textiles, Apparel & Luxury Goods – 5.0% | ||||||||||
89,385 | Carter’s, Inc. | 9,501,625 | ||||||||
420,244 | Gildan Activewear, Inc. | 13,968,911 | ||||||||
7,049,719 | Li & Fung, Ltd. | 5,593,356 | ||||||||
267,294 | Wolverine World Wide, Inc. | 7,612,533 | ||||||||
36,676,425 | ||||||||||
Trading Companies & Distributors – 2.1% | ||||||||||
107,570 | Fastenal Co.# | 4,537,303 | ||||||||
99,359 | MSC Industrial Direct Co., Inc. – Class A | 6,932,277 | ||||||||
16,847 | WW Grainger, Inc.# | 3,986,843 | ||||||||
15,456,423 | ||||||||||
Total Common Stocks (cost $425,509,366) | 714,328,994 | |||||||||
Rights – 0% | ||||||||||
Software – 0% | ||||||||||
20,240 | Constellation Software, Inc.* (cost $5,855) | 4,051 | ||||||||
Investment Companies – 5.9% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending – 3.7% | ||||||||||
27,084,221 | Janus Cash Collateral Fund LLC, 0.1304%°°,£ | 27,084,221 | ||||||||
Money Markets – 2.2% | ||||||||||
16,164,631 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 16,164,631 | ||||||||
Total Investment Companies (cost $43,248,852) | 43,248,852 | |||||||||
Total Investments (total cost $468,764,073) – 103.6% | 757,581,897 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (3.6)% | (26,510,149) | |||||||||
Net Assets – 100% | $ | 731,071,748 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 675,068,147 | 89 | .1% | ||||
Canada | 45,147,492 | 6 | .0 | |||||
Ireland | 11,698,261 | 1 | .5 | |||||
Israel | 9,858,231 | 1 | .3 | |||||
France | 5,876,184 | 0 | .8 | |||||
Hong Kong | 5,593,356 | 0 | .7 | |||||
United Kingdom | 4,340,226 | 0 | .6 | |||||
Total | $ | 757,581,897 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | ||||||||||||
Currency | Currency | Appreciation/ | ||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | |||||||||
Bank of America: | ||||||||||||
Canadian Dollar 7/30/15 | 1,214,000 | $ | 971,737 | $ | 5,892 | |||||||
Euro 7/30/15 | 2,508,000 | 2,796,797 | 5,910 | |||||||||
3,768,534 | 11,802 | |||||||||||
Citibank NA: | ||||||||||||
Canadian Dollar 7/23/15 | 1,045,000 | 836,561 | 23,638 | |||||||||
Euro 7/23/15 | 1,909,000 | 2,128,609 | 37,396 | |||||||||
2,965,170 | 61,034 | |||||||||||
Credit Suisse International: | ||||||||||||
Canadian Dollar 7/16/15 | 2,007,000 | 1,606,870 | 22,321 | |||||||||
Euro 7/16/15 | 2,813,300 | 3,136,623 | 32,841 | |||||||||
4,743,493 | 55,162 | |||||||||||
HSBC Securities (USA), Inc.: | ||||||||||||
Canadian Dollar 7/23/15 | 2,873,000 | 2,299,943 | 42,055 | |||||||||
Euro 7/23/15 | 4,800,000 | 5,352,185 | 75,175 | |||||||||
7,652,128 | 117,230 | |||||||||||
JPMorgan Chase & Co.: Euro 7/30/15 | 1,019,000 | 1,136,338 | 5,300 | |||||||||
RBC Capital Markets Corp.: Euro 7/16/15 | 2,239,000 | 2,496,321 | 18,043 | |||||||||
Total | $ | 22,761,984 | $ | 268,571 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Russell Midcap® Growth Index | Measures the performance of those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. | |
ADR | American Depositary Receipt | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Enterprise Portfolio | $ | 18,917,600 | |||
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
# | Loaned security; a portion of the security is on loan at June 30, 2015. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Enterprise Portfolio | |||||||||||||||||||||
Janus Cash Collateral Fund LLC | 22,171,100 | 127,023,829 | (122,110,708) | 27,084,221 | $ | – | 80,795(1) | $ | 27,084,221 | ||||||||||||
Janus Cash Liquidity Fund LLC | 22,265,533 | 57,074,098 | (63,175,000) | 16,164,631 | – | 8,586 | 16,164,631 | ||||||||||||||
Total | $ | – | $ | 89,381 | $ | 43,248,852 | |||||||||||||||
(1) | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
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Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Enterprise Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Common Stocks | $714,328,994 | $ – | $– | |||||
Rights | 4,051 | – | – | |||||
Investment Companies | – | 43,248,852 | – | |||||
Total Investments in Securities | $714,333,045 | $43,248,852 | $– | |||||
Other Financial Instruments(a): | ||||||||
Forward Currency Contracts | $ – | $ 268,571 | $– | |||||
Total Assets | $714,333,045 | $43,517,423 | $– | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
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Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Enterprise | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 468,764,073 | ||||||||
Unaffiliated investments, at value(1) | $ | 714,333,045 | ||||||||
Affiliated investments, at value | 43,248,852 | |||||||||
Cash | 11,446 | |||||||||
Forward currency contracts | 268,571 | |||||||||
Closed foreign currency contracts | 7,475 | |||||||||
Non-interested Trustees’ deferred compensation | 14,626 | |||||||||
Receivables: | ||||||||||
Investments sold | 1,098,443 | |||||||||
Portfolio shares sold | 98,850 | |||||||||
Dividends | 309,786 | |||||||||
Dividends from affiliates | 1,705 | |||||||||
Other assets | 547 | |||||||||
Total Assets | 759,393,346 | |||||||||
Liabilities: | ||||||||||
Collateral for securities loaned (Note 3) | 27,084,221 | |||||||||
Closed foreign currency contracts | 72,793 | |||||||||
Payables: | ||||||||||
Portfolio shares repurchased | 614,539 | |||||||||
Advisory fees | 392,991 | |||||||||
Portfolio administration fees | 5,833 | |||||||||
Transfer agent fees and expenses | 527 | |||||||||
12b-1 Distribution and shareholder servicing fees | 63,419 | |||||||||
Non-interested Trustees’ fees and expenses | 4,645 | |||||||||
Non-interested Trustees’ deferred compensation fees | 14,626 | |||||||||
Accrued expenses and other payables | 68,004 | |||||||||
Total Liabilities | 28,321,598 | |||||||||
Net Assets | $ | 731,071,748 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 401,300,162 | ||||||||
Undistributed net investment income/(loss) | 2,686,026 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 37,997,391 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 289,088,169 | |||||||||
Total Net Assets | $ | 731,071,748 | ||||||||
Net Assets - Institutional Shares | $ | 428,130,364 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 7,303,310 | |||||||||
Net Asset Value Per Share | $ | 58.62 | ||||||||
Net Assets - Service Shares | $ | 302,941,384 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 5,413,917 | |||||||||
Net Asset Value Per Share | $ | 55.96 |
(1) | Includes $26,449,531 of securities on loan. See Note 3 in Notes to Financial Statements. |
See Notes to Financial Statements.
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Table of Contents
Statement of Operations
Janus Aspen | ||||||
Enterprise | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Affiliated securities lending income, net | $ | 80,795 | ||||
Dividends | 5,647,774 | |||||
Dividends from affiliates | 8,586 | |||||
Other income | 505 | |||||
Foreign tax withheld | (132,404) | |||||
Total Investment Income | 5,605,256 | |||||
Expenses: | ||||||
Advisory fees | 2,304,691 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 365,595 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,607 | |||||
Service Shares | 827 | |||||
Shareholder reports expense | 20,148 | |||||
Registration fees | 10,914 | |||||
Custodian fees | 11,119 | |||||
Professional fees | 18,427 | |||||
Non-interested Trustees’ fees and expenses | 9,689 | |||||
Portfolio administration fees | 30,097 | |||||
Other expenses | 29,582 | |||||
Total Expenses | 2,802,696 | |||||
Net Expenses | 2,802,696 | |||||
Net Investment Income/(Loss) | 2,802,560 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 38,779,082 | |||||
Total Net Realized Gain/(Loss) on Investments | 38,779,082 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 165,368 | |||||
Total Change in Unrealized Net Appreciation/Depreciation | 165,368 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 41,747,010 |
See Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Enterprise | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,802,560 | $ | 2,355,377 | ||||||
Net realized gain/(loss) on investments | 38,779,082 | 77,239,085 | ||||||||
Change in unrealized net appreciation/depreciation | 165,368 | (1,208,984) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 41,747,010 | 78,385,478 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (1,583,222) | (640,569) | ||||||||
Service Shares | (873,050) | (89,019) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (44,791,680) | (27,409,527) | ||||||||
Service Shares | (32,958,607) | (18,585,932) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (80,206,559) | (46,725,047) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 17,907,890 | 22,332,377 | ||||||||
Service Shares | 38,176,937 | 46,862,838 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 46,374,902 | 28,050,096 | ||||||||
Service Shares | 33,831,657 | 18,674,951 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (32,976,456) | (59,205,592) | ||||||||
Service Shares | (29,919,195) | (59,958,407) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 73,395,735 | (3,243,737) | ||||||||
Net Increase/(Decrease) in Net Assets | 34,936,186 | 28,416,694 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 696,135,562 | 667,718,868 | ||||||||
End of period | $ | 731,071,748 | $ | 696,135,562 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 2,686,026 | $ | 2,339,738 |
See Notes to Financial Statements.
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Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Enterprise Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $61.75 | $58.96 | $44.77 | $38.17 | $38.72 | $30.79 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.28(1) | 0.27(1) | 0.22 | 0.30 | 0.10 | 0.09 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 3.67 | 6.79 | 14.23 | 6.30 | (0.65) | 7.86 | ||||||||||||||||||||
Total from Investment Operations | 3.95 | 7.06 | 14.45 | 6.60 | (0.55) | 7.95 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.24) | (0.10) | (0.26) | – | – | (0.02) | ||||||||||||||||||||
Distributions (from capital gains) | (6.84) | (4.17) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (7.08) | (4.27) | (0.26) | – | – | (0.02) | ||||||||||||||||||||
Net Asset Value, End of Period | $58.62 | $61.75 | $58.96 | $44.77 | $38.17 | $38.72 | ||||||||||||||||||||
Total Return* | 6.10% | 12.50% | 32.38% | 17.29% | (1.42)% | 25.85% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $428,130 | $417,895 | $407,049 | $341,699 | $333,094 | $394,500 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $433,613 | $402,634 | $373,893 | $344,014 | $367,307 | $359,669 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.67% | 0.68% | 0.69% | 0.69% | 0.68% | 0.68% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.67% | 0.68% | 0.69% | 0.69% | 0.68% | 0.68% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.88% | 0.45% | 0.28% | 0.52% | (0.17)% | (0.01)% | ||||||||||||||||||||
Portfolio Turnover Rate | 10% | 16% | 15% | 15% | 15% | 24% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Enterprise Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $59.26 | $56.80 | $43.18 | $36.91 | $37.53 | $29.90 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.19(1) | 0.12(1) | (0.03) | 0.09 | (0.17) | (0.10) | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 3.53 | 6.53 | 13.83 | 6.18 | (0.45) | 7.73 | ||||||||||||||||||||
Total from Investment Operations | 3.72 | 6.65 | 13.80 | 6.27 | (0.62) | 7.63 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.18) | (0.02) | (0.18) | – | – | – | ||||||||||||||||||||
Distributions (from capital gains) | (6.84) | (4.17) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (7.02) | (4.19) | (0.18) | – | – | – | ||||||||||||||||||||
Net Asset Value, End of Period | $55.96 | $59.26 | $56.80 | $43.18 | $36.91 | $37.53 | ||||||||||||||||||||
Total Return* | 5.97% | 12.24% | 32.04% | 16.99% | (1.65)% | 25.52% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $302,941 | $278,240 | $260,670 | $212,971 | $190,788 | $243,756 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $296,447 | $262,698 | $234,925 | $206,153 | $223,285 | $220,145 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.92% | 0.93% | 0.94% | 0.94% | 0.93% | 0.93% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.92% | 0.93% | 0.94% | 0.94% | 0.93% | 0.93% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.62% | 0.20% | 0.03% | 0.28% | (0.41)% | (0.26)% | ||||||||||||||||||||
Portfolio Turnover Rate | 10% | 16% | 15% | 15% | 15% | 24% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
14 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Enterprise Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
Janus Aspen Series | 15
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | ||||||
of Level 2 to | ||||||
Portfolio | Level 1 | |||||
Janus Aspen Enterprise Portfolio | $ | 11,858,563 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial
16 | JUNE 30, 2015
Table of Contents
statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Derivative Instruments |
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the period ended June 30, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
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
Janus Aspen Series | 17
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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:
• | Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio. | |
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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
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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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Enterprise Portfolio | $ | 24,660,304 | ||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Asset Derivatives | |||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | ||||||
Janus Aspen Enterprise Portfolio | ||||||||
Currency Contracts | Forward currency contracts | $ | 268,571 | |||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as | Investments and foreign | |||
hedging instruments | currency transactions | |||
Janus Aspen Enterprise Portfolio | ||||
Currency Contracts | $ | 2,115,912 | ||
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||
Investments, foreign | ||||
currency translations and | ||||
Derivatives not accounted for as | non-interested Trustees’ | |||
hedging instruments | deferred compensation | |||
Janus Aspen Enterprise Portfolio | ||||
Currency Contracts | $ | (315,036 | ) | |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
3. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the
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Notes to Financial Statements (unaudited) (continued)
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. As a result, financial markets in the EU have been subject to increased 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.
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 may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
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Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ 11,802 | $– | $ – | $ 11,802 | ||||||||||||||
Citibank NA | 61,034 | – | – | 61,034 | ||||||||||||||
Credit Suisse International | 55,162 | – | – | 55,162 | ||||||||||||||
Deutsche Bank AG | 26,449,531 | – | (26,449,531) | – | ||||||||||||||
HSBC Securities (USA), Inc. | 117,230 | – | – | 117,230 | ||||||||||||||
JPMorgan Chase & Co. | 5,300 | – | – | 5,300 | ||||||||||||||
RBC Capital Markets Corp. | 18,043 | – | – | 18,043 | ||||||||||||||
Total | $26,718,102 | $– | $(26,449,531) | $268,571 | ||||||||||||||
(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. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to qualified parties. Deutsche Bank AG acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus
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Notes to Financial Statements (unaudited) (continued)
Capital currently intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments. Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
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 following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily | Contractual | |||||||||
Net Assets | Investment | |||||||||
Portfolio | of the Portfolio | Advisory Fee (%) | ||||||||
Janus Aspen Enterprise Portfolio | All Asset Levels | 0.64 | ||||||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief
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Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Net Tax | ||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||
Janus Aspen Enterprise Portfolio | $468,964,191 | $295,684,821 | $(7,067,115) | $288,617,706 | ||||||
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Notes to Financial Statements (unaudited) (continued)
6. | Capital Share Transactions |
Janus Aspen Enterprise Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 275,923 | 378,818 | ||||||||
Reinvested dividends and distributions | 770,091 | 487,573 | ||||||||
Shares repurchased | (509,759) | (1,003,722) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 536,255 | (137,331) | ||||||||
Shares Outstanding, Beginning of Period | 6,767,055 | 6,904,386 | ||||||||
Shares Outstanding, End of Period | 7,303,310 | 6,767,055 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 614,178 | 824,572 | ||||||||
Reinvested dividends and distributions | 588,581 | 337,825 | ||||||||
Shares repurchased | (484,063) | (1,056,210) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 718,696 | 106,187 | ||||||||
Shares Outstanding, Beginning of Period | 4,695,221 | 4,589,034 | ||||||||
Shares Outstanding, End of Period | 5,413,917 | 4,695,221 |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Enterprise Portfolio | $ | 68,942,156 | $ | 68,261,463 | $ | – | $ | – | ||||||
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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Additional Information (unaudited) (continued)
underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Notes
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94121 | 109-24-81116 08-15 |
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semiannual report
June 30, 2015
Janus Aspen Flexible Bond Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Flexible Bond Portfolio
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Janus Aspen Flexible Bond Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe a bottom-up, fundamentally driven investment process can generate risk-adjusted outperformance relative to our peers over time. Our comprehensive bottom-up view drives decision-making at a macro level, enabling us to make informed decisions about allocations to all sectors of the fixed income universe. | Gibson Smith co-portfolio manager | Darrell Watters co-portfolio manager |
PERFORMANCE SUMMARY
During the six-month period ended June 30, 2015, Janus Aspen Flexible Bond Portfolio’s Institutional Shares and Service Shares returned 0.53% and 0.38%, respectively, compared with a -0.10% return for the Portfolio’s benchmark, the Barclays U.S. Aggregate Bond Index.
INVESTMENT ENVIRONMENT
After experiencing increased volatility during the first part of the period amid persistent uncertainty of the timing of the Federal Reserve’s (Fed) expected rate hike, fixed income markets largely retreated over the rest of the period, influenced by a combination of improving U.S. data and uncertainty about the path of global monetary policy. The volatility that characterized fixed income markets during the winter initially subsided in early spring, only to flare up as the period closed. Data indicated that the economy had slowed during the year’s first three months. First quarter gross domestic product was negative and the March employment report disappointed. Over the ensuing two months, the employment picture rebounded with monthly payroll gains resuming their recent pace of just under 250,000, and hourly wage gains reached the highest level since 2013. Improving manufacturing data and retail sales also suggested that the winter slowdown had been transient. In June, the Fed stated that it would be appropriate to raise rates during the latter part of 2015. Yet, it reiterated that any move would be data dependent and gradual. Overall, the Fed reinforced its bias of ensuring that sustained growth takes hold.
The U.S. Treasury curve steepened during the second half of the period, with yields on the 10- and 30-year reaching levels not visited since last autumn. After dipping to 1.85% in early April, the 10-year yield nearly hit 2.50% in June. However, Treasury yields were partly capped by the March launch of the European Central Bank’s (ECB) quantitative easing (QE) program. The ECB’s QE drove eurozone sovereign yields into negative territory and encouraged foreign investors to purchase relatively higher-yielding Treasurys. However, Germany’s 10-year bund aggressively sold off in the spring, with its yield rising almost 1% from near 0%. Prior to the late-quarter tumult fueled by Greece, improving data caused some to wonder whether it would be necessary for the ECB to carry out the entirety of its planned asset purchases. U.S. investment-grade spreads were flat for much of the period as that market absorbed a flood of new issuance before widening in June. High-yield spreads initially narrowed amid a search for yield, reaching year-to-date lows, prior to ending the period essentially unchanged. Similar to corporate credits, mortgage-backed securities (MBS) spreads initially narrowed before closing the quarter wider.
PERFORMANCE DISCUSSION
The Portfolio outperformed its benchmark, the Barclays U.S. Aggregate Bond Index, largely due to its exposure to corporate credits. A central driver was our security selection in out-of-benchmark high-yield corporates. Relative performance was especially generative in the “crossover” section of corporate credits, which are issuers comprising the lowest tier of investment-grade ratings and highest-tier of high-yield. In our view, this market segment offers some of the most attractive – and underappreciated – risk/reward profiles. Within investment-grade credit, yield curve positioning was the primary driver of outperformance.
On a credit sector basis, banks, pharmaceuticals and electric utilities contributed to relative returns. Individual issuers were led by Cimarex Energy and Ally Financial.
Detracting from performance were our allocations to 15-year and 30-year conventional MBS. Rate volatility early in the period impacted MBS performance as mixed economic data and lack of clarity on the timing of the Fed’s initial rate hike made it difficult for investors to gauge prepayment risks on these securities. Within corporates, independent energy along with chemical companies weighed on relative performance. Chesapeake Energy, DCP Midstream Operating and California Resources Corp. all weighed on relative results.
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Janus Aspen Flexible Bond Portfolio (unaudited)
Our U.S. Treasurys allocation aided relative performance as our duration, which was lower than that of the benchmark for much of the period, proved beneficial given the steepening yield curve. We use Treasurys as a liquid and cost-effective tool to adjust the duration of the entire Portfolio.
OUTLOOK
Multiple factors presently have the potential to impact the fixed income environment, chief among them remains the timing and pace of the Fed’s rate hikes. Data suggest that the central bank is closer to achieving its dual mandate. Strong gains in payrolls have resumed and wage growth has shown signs of accelerating. With economic expansion typically comes jobs, and after that, wage-driven inflation, as employers scramble for qualified workers. In a service-based economy like the U.S., wages have an outsized impact on inflation. Should this scenario play out as the Fed anticipates, inflation will eventually be on track toward policy makers’ 2% goal. Continued patches of softness may cause the Fed to delay its initial rate hike past the widely assumed September lift-off, but in our view, rates will rise – albeit cautiously – this year.
Core inflation has held steady as crude prices stabilized before any downward pressure bled into non-energy categories. The stabilization in the U.S. dollar after its rapid appreciation also aids the inflation outlook as continued gains in the currency would have made foreign products cheaper, thus keeping a lid on prices. The dollar, however, remains one of our wild cards. Deterioration in the Greece dispute or a deceleration in non-U.S. economies could send investors fleeing back toward dollar-denominated assets, forcing a resumption in the currency’s march upward.
We are mindful that we are quite possibly nearing the end of a credit cycle. Merger and acquisition activity, share buybacks, and debt issuance are up. The result is a deterioration of corporate balance sheets. It is for this reason, while still overweight versus the benchmark, our credit allocation is near the lowest it has been since the financial crisis. Utilizing our bottom-up fundamental security-level approach, we are concentrating our holdings in higher-quality companies with steady revenue streams, and whose management have maintained balance sheet discipline.
We are also concerned with the potential for sustained periods of elevated market volatility, which we consider suppressed by continued fixed income inflows. Alarmingly low levels of liquidity are a serious risk factor, in our view. Should an illiquidity event occur, we want to be a provider of liquidity. Accordingly, we have lowered the overall duration of the portfolio, especially as a percentage of the benchmark. Treasurys are the tool we utilize to toggle duration in a cost-effective manner. Shorter-dated government securities act as a cash cushion, which should allow us to better weather storms and opportunistically make attractive investments caused by market dislocations.
We remain underweight MBS relative to the benchmark as these securities typically do not perform well in volatile markets, such as the ones we anticipate. When the direction of rates is in question, investors cannot adequately gauge prepayment risks, which stand to increase as rates decline.
Over the past quarter we have sought to reduce risks in our portfolio and expect to maintain this defensive posture as the aforementioned risk factors play out. We have not seen such a confluence of potentially adverse forces for several years. Our binding principle of capital preservation is of utmost importance as we navigate the choppy waters ahead.
Thank you for investing in Janus Aspen Flexible Bond Portfolio.
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(unaudited)
Janus Aspen Flexible Bond Portfolio At A Glance
Portfolio Profile
June 30, 2015
Weighted Average Maturity | 8.9 Years | |
Average Effective Duration* | 5.1 Years | |
30-day Current Yield** | ||
Institutional Shares | ||
Without Reimbursement | 2.12% | |
With Reimbursement | 2.12% | |
Service Shares | ||
Without Reimbursement | 1.87% | |
With Reimbursement | 1.87% | |
Number of Bonds/Notes | 412 |
* | A theoretical measure of price volatility | |
** | Yield will fluctuate |
Ratings† Summary – (% of Total Investments)
June 30, 2015
AAA | 0.1% | |
AA | 55.5% | |
A | 4.2% | |
BBB | 25.5% | |
BB | 10.5% | |
B | 1.2% | |
Not Rated | 1.3% | |
Other | 1.7% |
† | Credit ratings provided by Standard & Poor’s (S&P), an independent credit rating agency. Credit ratings range from AAA (highest) to D (lowest) based on S&P’s measures. Further information on S&P’s rating methodology may be found at www.standardandpoors.com. Other rating agencies may rate the same securities differently. Ratings are relative and subjective and are not absolute standards of quality. Credit quality does not remove market risk and is subject to change. “Not Rated” securities are not rated by S&P, but may be rated by other rating agencies and do not necessarily indicate low quality. “Other” includes cash equivalents, equity securities, and certain derivative instruments. |
Significant Areas of Investment – (% of Net Assets)
As of June 30, 2015
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (0.2)%.
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Janus Aspen Flexible Bond Portfolio (unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | Net Annual Fund | |||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | Operating Expenses | |||||||||
Janus Aspen Flexible Bond Portfolio – Institutional Shares | 0.53% | 1.27% | 4.54% | 5.84% | 6.81% | 0.59% | 0.57% | ||||||||
Janus Aspen Flexible Bond Portfolio – Service Shares | 0.38% | 0.99% | 4.28% | 5.59% | 6.58% | 0.85% | 0.82% | ||||||||
Barclays U.S. Aggregate Bond Index | –0.10% | 1.86% | 3.35% | 4.44% | 5.51% | ||||||||||
Morningstar Quartile – Institutional Shares | – | 2nd | 1st | 1st | 1st | ||||||||||
Morningstar Ranking – based on total returns for Intermediate-Term Bond Funds | – | 504/1,088 | 193/974 | 25/862 | 2/418 | ||||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month–end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
Net expense ratios reflect the expense waiver, if any, Janus Capital has contractually agreed to through May 1,2016.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Fixed income securities are subject to interest rate, inflation, credit and default risk. The bond market is volatile. As interest rates rise, bond prices usually fall, and vice versa. The return of principal is not guaranteed, and prices may decline if an issuer fails to make timely payments or its credit strength weakens.
High-yield/high-risk bonds, also known as “junk” bonds, involve a greater risk of default and price volatility than investment grade bonds. High-yield/high-risk bonds can experience sudden and sharp price swings which will affect net asset value.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See important disclosures on the next page.
4 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return or yield, and therefore the ranking for the period.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – September 13, 1993 |
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. 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.
�� | ||||||||||||||||||||||||||||||
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,005.30 | $ | 2.78 | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,003.80 | $ | 4.02 | $ | 1,000.00 | $ | 1,020.78 | $ | 4.06 | 0.81% | |||||||||||||||||
† | 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 | 5
Table of Contents
Janus Aspen Flexible Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 6.0% | ||||||||||
$1,021,000 | AmeriCredit Automobile Receivables Trust 2012-4 2.6800%, 10/9/18 | $ | 1,039,958 | |||||||
355,000 | AmeriCredit Automobile Receivables Trust 2012-4 3.8200%, 2/10/20 (144A) | 363,951 | ||||||||
342,000 | AmeriCredit Automobile Receivables Trust 2013-4 3.3100%, 10/8/19 | 350,935 | ||||||||
630,000 | AmeriCredit Automobile Receivables Trust 2015-2 3.0000%, 6/8/21 | 631,055 | ||||||||
3,200,000 | Applebee’s Funding LLC / IHOP Funding LLC 4.2770%, 9/5/44 (144A) | 3,243,517 | ||||||||
670,000 | Aventura Mall Trust 2013-AVM 3.8674%, 12/5/32 (144A),‡ | 654,777 | ||||||||
805,000 | BAMLL Commercial Mortgage Securities Trust 2015-200P 3.7157%, 4/14/33 (144A),‡ | 710,087 | ||||||||
360,000 | Banc of America Commercial Mortgage Trust 2006-6 5.4210%, 10/10/45 | 370,917 | ||||||||
242,000 | Banc of America Commercial Mortgage Trust 2007-5 5.7720%, 2/10/51‡ | 254,525 | ||||||||
537,000 | Boca Hotel Portfolio Trust 2013-BOCA 3.2355%, 8/15/26 (144A),‡ | 536,683 | ||||||||
268,000 | CGBAM Commercial Mortgage Trust 2014-HD 3.1855%, 2/15/31 (144A),‡ | 268,057 | ||||||||
1,363,379 | CKE Restaurant Holdings, Inc. 4.4740%, 3/20/43 (144A) | 1,384,473 | ||||||||
605,000 | COMM 2007-C9 Mortgage Trust 5.6500%, 12/10/49‡ | 632,101 | ||||||||
97,000 | COMM 2007-C9 Mortgage Trust 5.9889%, 12/10/49‡ | 100,638 | ||||||||
995,299 | Commercial Mortgage Trust 2007-GG11 5.8670%, 12/10/49‡ | 1,067,607 | ||||||||
882,000 | Core Industrial Trust 2015-TEXW 3.9770%, 2/10/34 (144A),‡ | 827,949 | ||||||||
626,430 | DB Master Finance LLC 2015-1 3.2620%, 2/20/45 (144A) | 628,803 | ||||||||
973,980 | Domino’s Pizza Master Issuer LLC 5.2160%, 1/25/42 (144A) | 1,005,363 | ||||||||
258,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.5870%, 10/25/24‡ | 258,926 | ||||||||
233,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.8370%, 10/25/24‡ | 235,552 | ||||||||
1,027,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2.3870%, 3/25/25‡ | 1,019,628 | ||||||||
1,473,136 | FREMF 2010 K-SCT Mortgage Trust 2.0000%, 1/25/20§ | 1,313,454 | ||||||||
418,000 | GAHR Commercial Mortgage Trust 2015-NRF 3.4949%, 12/15/19 (144A),‡ | 409,485 | ||||||||
954,000 | GS Mortgage Securities Corp. II 3.5495%, 12/10/27 (144A),‡ | 904,052 | ||||||||
436,000 | GS Mortgage Securities Corp. Trust 2013-NYC5 3.7706%, 1/10/30 (144A),‡ | 441,348 | ||||||||
390,000 | Hilton USA Trust 2013-HLT 4.4065%, 11/5/30 (144A) | 393,384 | ||||||||
537,000 | Hilton USA Trust 2013-HLT 5.6086%, 11/5/30 (144A),‡ | 544,260 | ||||||||
678,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-WT 2.8044%, 2/16/25 (144A) | 687,506 | ||||||||
644,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2013-WT 4.8447%, 2/16/25 (144A) | 670,754 | ||||||||
285,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU 2.7860%, 12/15/28 (144A),‡ | 285,358 | ||||||||
245,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU 3.6815%, 12/15/28 (144A),‡ | 244,883 | ||||||||
480,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO 1.9855%, 1/15/32 (144A),‡ | 478,468 | ||||||||
521,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO 4.1355%, 1/15/32 (144A),‡ | 522,400 | ||||||||
1,134,000 | LB-UBS Commercial Mortgage Trust 2007-C2 5.4930%, 2/15/40‡ | 1,189,455 | ||||||||
426,000 | Santander Drive Auto Receivables Trust 2.5200%, 9/17/18 | 428,169 | ||||||||
421,000 | Santander Drive Auto Receivables Trust 2012-5 3.3000%, 9/17/18 | 430,036 | ||||||||
1,033,000 | Santander Drive Auto Receivables Trust 2013-4 4.6700%, 1/15/20 (144A) | 1,074,878 | ||||||||
685,000 | Santander Drive Auto Receivables Trust 2013-A 4.7100%, 1/15/21 (144A) | 725,257 | ||||||||
646,000 | Santander Drive Auto Receivables Trust 2015-1 3.2400%, 4/15/21 | 649,631 | ||||||||
1,014,000 | Starwood Retail Property Trust 2014-STAR 3.2500%, 11/15/27 (144A),‡ | 1,013,513 | ||||||||
493,000 | Starwood Retail Property Trust 2014-STAR 4.1500%, 11/15/27 (144A),‡ | 492,744 | ||||||||
1,169,000 | Wachovia Bank Commercial Mortgage Trust Series 2007-C30 5.3830%, 12/15/43 | 1,228,397 | ||||||||
1,473,494 | Wachovia Bank Commercial Mortgage Trust Series 2007-C31 5.6600%, 4/15/47‡ | 1,511,299 | ||||||||
464,000 | Wachovia Bank Commercial Mortgage Trust Series 2007-C33 6.1496%, 2/15/51‡ | 479,697 | ||||||||
295,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 2.9355%, 1/15/27 (144A),‡ | 292,891 | ||||||||
410,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 2.4355%, 2/15/27 (144A),‡ | 406,977 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
6 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
$120,000 | Wells Fargo Commercial Mortgage Trust 2014-TISH 3.4355%, 2/15/27 (144A),‡ | $ | 118,888 | |||||||
2,309,000 | Wendy’s Funding LLC 2015-1 3.3710%, 6/15/45 (144A) | 2,305,530 | ||||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $34,897,261) | 34,828,216 | |||||||||
Bank Loans and Mezzanine Loans – 1.1% | ||||||||||
Communications – 0.1% | ||||||||||
763,618 | Tribune Media Co. 3.7500%, 12/27/20‡ | 763,372 | ||||||||
Consumer Cyclical – 0.1% | ||||||||||
414,000 | Staples, Inc. 0%, 4/7/21(a),‡ | 413,052 | ||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||
1,092,175 | IMS Health, Inc. 3.5000%, 3/17/21‡ | 1,085,343 | ||||||||
Technology – 0.7% | ||||||||||
4,076,915 | Avago Technologies Cayman, Ltd. 3.7500%, 5/6/21‡ | 4,080,543 | ||||||||
Total Bank Loans and Mezzanine Loans (cost $6,345,573) | 6,342,310 | |||||||||
Corporate Bonds – 35.7% | ||||||||||
Asset-Backed Securities – 0.2% | ||||||||||
1,308,000 | American Tower Trust I 1.5510%, 3/15/18 (144A) | 1,301,426 | ||||||||
Banking – 4.7% | ||||||||||
231,000 | Ally Financial, Inc. 8.0000%, 12/31/18 | 257,854 | ||||||||
1,299,000 | Ally Financial, Inc. 4.1250%, 3/30/20 | 1,296,558 | ||||||||
1,018,000 | Ally Financial, Inc. 4.6250%, 5/19/22 | 1,005,275 | ||||||||
926,000 | American Express Co. 6.8000%, 9/1/66‡ | 952,761 | ||||||||
564,000 | Bank of America Corp. 1.5000%, 10/9/15 | 565,294 | ||||||||
1,962,000 | Bank of America Corp. 8.0000%µ | 2,069,910 | ||||||||
689,000 | Citigroup, Inc. 5.8000%µ | 690,722 | ||||||||
461,000 | Discover Financial Services 3.9500%, 11/6/24 | 447,940 | ||||||||
965,000 | Discover Financial Services 3.7500%, 3/4/25 | 921,410 | ||||||||
1,808,000 | Goldman Sachs Capital I 6.3450%, 2/15/34 | 2,096,991 | ||||||||
547,000 | Goldman Sachs Group, Inc. 5.6250%, 1/15/17 | 579,228 | ||||||||
1,090,000 | Intesa Sanpaolo SpA 5.0170%, 6/26/24 (144A) | 1,058,983 | ||||||||
1,239,000 | Morgan Stanley 5.5500%µ | 1,230,017 | ||||||||
1,048,000 | Royal Bank of Scotland Group PLC 2.5500%, 9/18/15 | 1,050,930 | ||||||||
2,055,000 | Royal Bank of Scotland Group PLC 6.1000%, 6/10/23 | 2,184,952 | ||||||||
1,319,000 | Royal Bank of Scotland Group PLC 6.0000%, 12/19/23 | 1,396,731 | ||||||||
2,646,000 | Royal Bank of Scotland Group PLC 5.1250%, 5/28/24 | 2,642,780 | ||||||||
3,104,000 | Santander UK PLC 5.0000%, 11/7/23 (144A) | 3,176,274 | ||||||||
1,015,000 | SVB Financial Group 5.3750%, 9/15/20 | 1,131,051 | ||||||||
1,268,000 | Synchrony Financial 3.0000%, 8/15/19 | 1,277,026 | ||||||||
1,865,000 | Zions Bancorporation 5.8000%µ | 1,774,081 | ||||||||
27,806,768 | ||||||||||
Basic Industry – 2.0% | ||||||||||
1,680,000 | Albemarle Corp. 4.1500%, 12/1/24 | 1,674,575 | ||||||||
1,381,000 | Albemarle Corp. 5.4500%, 12/1/44 | 1,382,240 | ||||||||
719,000 | Ashland, Inc. 3.8750%, 4/15/18 | 738,773 | ||||||||
946,000 | Ashland, Inc. 6.8750%, 5/15/43 | 960,190 | ||||||||
2,040,000 | Georgia-Pacific LLC 3.1630%, 11/15/21 (144A) | 2,064,815 | ||||||||
1,028,000 | Georgia-Pacific LLC 3.6000%, 3/1/25 (144A) | 1,017,915 | ||||||||
1,454,000 | LyondellBasell Industries NV 4.6250%, 2/26/55 | 1,280,455 | ||||||||
1,039,000 | Reliance Steel & Aluminum Co. 4.5000%, 4/15/23 | 1,022,113 | ||||||||
1,344,000 | Rockwood Specialties Group, Inc. 4.6250%, 10/15/20 | 1,399,440 | ||||||||
11,540,516 | ||||||||||
Brokerage – 3.3% | ||||||||||
1,750,000 | Ameriprise Financial, Inc. 7.5180%, 6/1/66‡ | 1,750,000 | ||||||||
859,000 | Carlyle Holdings Finance LLC 3.8750%, 2/1/23 (144A) | 868,178 | ||||||||
820,000 | Charles Schwab Corp. 3.0000%, 3/10/25 | 804,311 | ||||||||
999,000 | Charles Schwab Corp. 7.0000%µ | 1,160,279 | ||||||||
1,351,000 | E*TRADE Financial Corp. 5.3750%, 11/15/22 | 1,384,775 | ||||||||
1,798,000 | E*TRADE Financial Corp. 4.6250%, 9/15/23 | 1,766,535 | ||||||||
28,000 | Lazard Group LLC 6.8500%, 6/15/17 | 30,588 | ||||||||
1,276,000 | Lazard Group LLC 4.2500%, 11/14/20 | 1,341,663 | ||||||||
1,299,000 | Neuberger Berman Group LLC / Neuberger Berman Finance Corp. 5.8750%, 3/15/22 (144A) | 1,388,306 | ||||||||
1,445,000 | Neuberger Berman Group LLC / Neuberger Berman Finance Corp. 4.8750%, 4/15/45 (144A) | 1,310,207 | ||||||||
2,973,000 | Raymond James Financial, Inc. 5.6250%, 4/1/24 | 3,307,171 | ||||||||
875,000 | Stifel Financial Corp. 4.2500%, 7/18/24 | 864,554 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Flexible Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Brokerage – (continued) | ||||||||||
$1,140,000 | TD Ameritrade Holding Corp. 2.9500%, 4/1/22 | $ | 1,130,318 | |||||||
2,469,000 | TD Ameritrade Holding Corp. 3.6250%, 4/1/25 | 2,507,386 | ||||||||
19,614,271 | ||||||||||
Capital Goods – 1.7% | ||||||||||
773,000 | CNH Industrial Capital LLC 3.6250%, 4/15/18 | 773,000 | ||||||||
804,000 | Exelis, Inc. 4.2500%, 10/1/16 | 829,739 | ||||||||
347,000 | Exelis, Inc. 5.5500%, 10/1/21 | 381,808 | ||||||||
1,133,000 | FLIR Systems, Inc. 3.7500%, 9/1/16 | 1,161,442 | ||||||||
784,000 | Hanson, Ltd. 6.1250%, 8/15/16 | 816,536 | ||||||||
479,000 | Harris Corp. 3.8320%, 4/27/25 | 465,622 | ||||||||
725,000 | Harris Corp. 5.0540%, 4/27/45 | 690,719 | ||||||||
601,000 | Martin Marietta Materials, Inc. 4.2500%, 7/2/24 | 608,403 | ||||||||
497,000 | Owens Corning 4.2000%, 12/1/24 | 487,839 | ||||||||
834,000 | Vulcan Materials Co. 7.0000%, 6/15/18 | 942,420 | ||||||||
449,000 | Vulcan Materials Co. 7.5000%, 6/15/21 | 516,350 | ||||||||
2,109,000 | Vulcan Materials Co. 4.5000%, 4/1/25 | 2,103,728 | ||||||||
9,777,606 | ||||||||||
Communications – 0.4% | ||||||||||
456,000 | Nielsen Finance LLC / Nielsen Finance Co. 4.5000%, 10/1/20 | 453,720 | ||||||||
724,000 | SBA Tower Trust 2.9330%, 12/15/17 (144A) | 734,688 | ||||||||
1,100,000 | UBM PLC 5.7500%, 11/3/20 (144A) | 1,187,007 | ||||||||
2,375,415 | ||||||||||
Consumer Cyclical – 2.7% | ||||||||||
1,456,000 | 1011778 BC ULC / New Red Finance, Inc. 4.6250%, 1/15/22 (144A) | 1,434,160 | ||||||||
2,414,000 | Brinker International, Inc. 3.8750%, 5/15/23 | 2,353,727 | ||||||||
306,000 | Continental Rubber of America Corp. 4.5000%, 9/15/19 (144A) | 314,335 | ||||||||
443,000 | DR Horton, Inc. 4.7500%, 5/15/17 | 459,613 | ||||||||
779,000 | DR Horton, Inc. 3.7500%, 3/1/19 | 784,842 | ||||||||
457,000 | General Motors Co. 3.5000%, 10/2/18 | 471,857 | ||||||||
3,269,000 | General Motors Co. 4.8750%, 10/2/23 | 3,446,418 | ||||||||
522,000 | General Motors Co. 6.2500%, 10/2/43 | 582,320 | ||||||||
454,000 | General Motors Financial Co., Inc. 3.2500%, 5/15/18 | 464,326 | ||||||||
313,000 | Macy’s Retail Holdings, Inc. 5.9000%, 12/1/16 | 333,485 | ||||||||
886,000 | MDC Holdings, Inc. 5.5000%, 1/15/24 | 870,495 | ||||||||
446,000 | Schaeffler Finance BV 4.2500%, 5/15/21 (144A) | 434,850 | ||||||||
707,000 | Starwood Hotels & Resorts Worldwide, Inc. 7.1500%, 12/1/19 | 822,401 | ||||||||
381,000 | Toll Brothers Finance Corp. 4.0000%, 12/31/18 | 388,620 | ||||||||
310,000 | Toll Brothers Finance Corp. 5.8750%, 2/15/22 | 332,475 | ||||||||
212,000 | Toll Brothers Finance Corp. 4.3750%, 4/15/23 | 207,760 | ||||||||
658,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 4.2500%, 5/30/23 (144A) | 605,360 | ||||||||
550,000 | ZF North America Capital, Inc. 4.0000%, 4/29/20 (144A) | 549,312 | ||||||||
289,000 | ZF North America Capital, Inc. 4.5000%, 4/29/22 (144A) | 283,090 | ||||||||
550,000 | ZF North America Capital, Inc. 4.7500%, 4/29/25 (144A) | 532,472 | ||||||||
15,671,918 | ||||||||||
Consumer Non-Cyclical – 4.7% | ||||||||||
123,000 | Actavis Funding SCS 2.4500%, 6/15/19 | 122,509 | ||||||||
1,727,000 | Actavis Funding SCS 3.0000%, 3/12/20 | 1,730,917 | ||||||||
350,000 | Actavis Funding SCS 3.8500%, 6/15/24 | 345,782 | ||||||||
2,297,000 | Actavis Funding SCS 3.8000%, 3/15/25 | 2,256,394 | ||||||||
952,000 | Actavis Funding SCS 4.5500%, 3/15/35 | 905,135 | ||||||||
311,000 | Actavis Funding SCS 4.8500%, 6/15/44 | 300,051 | ||||||||
1,013,000 | Actavis Funding SCS 4.7500%, 3/15/45 | 964,431 | ||||||||
1,140,000 | Becton Dickinson and Co. 1.8000%, 12/15/17 | 1,140,139 | ||||||||
1,512,000 | Fresenius Medical Care US Finance II, Inc. 5.8750%, 1/31/22 (144A) | 1,602,720 | ||||||||
559,000 | HCA, Inc. 3.7500%, 3/15/19 | 563,192 | ||||||||
847,000 | HJ Heinz Co. 2.8000%, 7/2/20 (144A) | 847,659 | ||||||||
727,000 | HJ Heinz Co. 3.5000%, 7/15/22 (144A) | 728,706 | ||||||||
1,329,000 | Laboratory Corp. of America Holdings 3.2000%, 2/1/22 | 1,310,253 | ||||||||
1,329,000 | Laboratory Corp. of America Holdings 3.6000%, 2/1/25 | 1,271,069 | ||||||||
897,000 | Life Technologies Corp. 6.0000%, 3/1/20 | 1,009,000 | ||||||||
270,000 | Life Technologies Corp. 5.0000%, 1/15/21 | �� | 297,041 | |||||||
538,000 | Omnicare, Inc. 4.7500%, 12/1/22 | 570,280 | ||||||||
665,000 | Omnicare, Inc. 5.0000%, 12/1/24 | 714,875 | ||||||||
195,000 | Smithfield Foods, Inc. 5.2500%, 8/1/18 (144A) | 197,925 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Consumer Non-Cyclical – (continued) | ||||||||||
$635,000 | Thermo Fisher Scientific, Inc. 3.3000%, 2/15/22 | $ | 627,496 | |||||||
545,000 | Tyson Foods, Inc. 6.6000%, 4/1/16 | 565,830 | ||||||||
727,000 | Valeant Pharmaceuticals International, Inc. 5.8750%, 5/15/23 (144A) | 745,175 | ||||||||
727,000 | Valeant Pharmaceuticals International, Inc. 6.1250%, 4/15/25 (144A) | 747,901 | ||||||||
1,590,000 | Wm Wrigley Jr Co. 2.4000%, 10/21/18 (144A) | 1,612,587 | ||||||||
1,711,000 | Wm Wrigley Jr Co. 3.3750%, 10/21/20 (144A) | 1,763,143 | ||||||||
1,294,000 | Zimmer Biomet Holdings, Inc. 2.7000%, 4/1/20 | 1,287,599 | ||||||||
1,529,000 | Zimmer Biomet Holdings, Inc. 3.1500%, 4/1/22 | 1,504,010 | ||||||||
1,762,000 | Zimmer Biomet Holdings, Inc. 3.5500%, 4/1/25 | 1,702,421 | ||||||||
27,434,240 | ||||||||||
Electric – 0.4% | ||||||||||
506,000 | IPALCO Enterprises, Inc. 5.0000%, 5/1/18 | 533,830 | ||||||||
677,000 | PPL WEM, Ltd. / Western Power Distribution, Ltd. 3.9000%, 5/1/16 (144A) | 690,545 | ||||||||
997,000 | PPL WEM, Ltd. / Western Power Distribution, Ltd. 5.3750%, 5/1/21 (144A) | 1,102,846 | ||||||||
2,327,221 | ||||||||||
Energy – 4.7% | ||||||||||
1,049,000 | Chesapeake Energy Corp. 5.3750%, 6/15/21 | 949,345 | ||||||||
1,147,000 | Chesapeake Energy Corp. 4.8750%, 4/15/22 | 995,023 | ||||||||
924,000 | Chevron Corp. 1.3450%, 11/15/17 | 927,757 | ||||||||
2,625,000 | Cimarex Energy Co. 5.8750%, 5/1/22 | 2,808,750 | ||||||||
2,368,000 | Cimarex Energy Co. 4.3750%, 6/1/24 | 2,338,826 | ||||||||
1,641,000 | DCP Midstream Operating LP 4.9500%, 4/1/22 | 1,618,325 | ||||||||
701,000 | DCP Midstream Operating LP 3.8750%, 3/15/23 | 647,667 | ||||||||
323,000 | DCP Midstream Operating LP 5.6000%, 4/1/44 | 288,082 | ||||||||
872,000 | Devon Energy Corp. 2.2500%, 12/15/18 | 874,364 | ||||||||
579,000 | Energy Transfer Partners LP 4.1500%, 10/1/20 | 595,073 | ||||||||
767,000 | EnLink Midstream Partners LP 4.4000%, 4/1/24 | 769,064 | ||||||||
591,000 | EnLink Midstream Partners LP 5.6000%, 4/1/44 | 574,229 | ||||||||
612,000 | Forum Energy Technologies, Inc. 6.2500%, 10/1/21 | 605,880 | ||||||||
1,793,000 | Helmerich & Payne International Drilling Co. 4.6500%, 3/15/25 (144A) | 1,850,892 | ||||||||
516,000 | Kinder Morgan Energy Partners LP 5.0000%, 10/1/21 | 546,002 | ||||||||
534,000 | Kinder Morgan Energy Partners LP 4.3000%, 5/1/24 | 526,975 | ||||||||
60,000 | Kinder Morgan, Inc. 6.5000%, 9/15/20 | 68,610 | ||||||||
638,000 | Kinder Morgan, Inc. 7.7500%, 1/15/32 | 731,181 | ||||||||
511,000 | Motiva Enterprises LLC 5.7500%, 1/15/20 (144A) | 561,857 | ||||||||
1,137,000 | NGL Energy Partners LP / NGL Energy Finance Corp. 5.1250%, 7/15/19 | 1,134,157 | ||||||||
2,487,000 | Oceaneering International, Inc. 4.6500%, 11/15/24 | 2,484,722 | ||||||||
372,000 | Phillips 66 Partners LP 3.6050%, 2/15/25 | 350,093 | ||||||||
126,000 | Southern Star Central Gas Pipeline, Inc. 6.0000%, 6/1/16 (144A) | 129,772 | ||||||||
1,410,000 | Spectra Energy Partners LP 4.7500%, 3/15/24 | 1,490,136 | ||||||||
1,100,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp. 4.1250%, 11/15/19 (144A) | 1,089,000 | ||||||||
2,217,000 | Western Gas Partners LP 5.3750%, 6/1/21 | 2,393,034 | ||||||||
27,348,816 | ||||||||||
Finance Companies ��� 1.6% | ||||||||||
690,000 | AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust 4.6250%, 7/1/22 | 691,725 | ||||||||
2,684,000 | CIT Group, Inc. 4.2500%, 8/15/17 | 2,724,260 | ||||||||
1,786,000 | CIT Group, Inc. 5.5000%, 2/15/19 (144A) | 1,861,905 | ||||||||
904,000 | GE Capital Trust I 6.3750%, 11/15/67‡ | 965,472 | ||||||||
461,000 | General Electric Capital Corp. 6.3750%, 11/15/67‡ | 495,575 | ||||||||
1,800,000 | General Electric Capital Corp. 6.2500%µ | 1,968,750 | ||||||||
500,000 | General Electric Capital Corp. 7.1250%µ | 576,875 | ||||||||
9,284,562 | ||||||||||
Financial – 1.0% | ||||||||||
1,555,000 | Jones Lang LaSalle, Inc. 4.4000%, 11/15/22 | 1,594,945 | ||||||||
1,549,000 | Kennedy-Wilson, Inc. 5.8750%, 4/1/24 | 1,541,255 | ||||||||
2,672,000 | LeasePlan Corp. NV 2.5000%, 5/16/18 (144A) | 2,675,928 | ||||||||
5,812,128 | ||||||||||
Industrial – 0.1% | ||||||||||
392,000 | Cintas Corp. No 2 2.8500%, 6/1/16 | 397,012 | ||||||||
419,000 | Cintas Corp. No 2 4.3000%, 6/1/21 | 451,995 | ||||||||
849,007 | ||||||||||
Insurance – 0.8% | ||||||||||
332,000 | CNO Financial Group, Inc. 4.5000%, 5/30/20 | 336,980 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Janus Aspen Flexible Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Insurance – (continued) | ||||||||||
$945,000 | CNO Financial Group, Inc. 5.2500%, 5/30/25 | $ | 960,309 | |||||||
2,197,000 | Primerica, Inc. 4.7500%, 7/15/22 | 2,343,938 | ||||||||
877,000 | Voya Financial, Inc. 5.6500%, 5/15/53‡ | 895,636 | ||||||||
4,536,863 | ||||||||||
Owned No Guarantee – 0.1% | ||||||||||
692,000 | Korea National Oil Corp. 4.0000%, 10/27/16 (144A) | 716,518 | ||||||||
Real Estate Investment Trusts (REITs) – 1.7% | ||||||||||
862,000 | Alexandria Real Estate Equities, Inc. 2.7500%, 1/15/20 | 853,233 | ||||||||
1,611,000 | Alexandria Real Estate Equities, Inc. 4.6000%, 4/1/22 | 1,697,084 | ||||||||
651,000 | Alexandria Real Estate Equities, Inc. 4.5000%, 7/30/29 | 652,230 | ||||||||
1,677,000 | Goodman Funding Pty, Ltd. 6.3750%, 4/15/21 (144A) | 1,924,500 | ||||||||
730,000 | Post Apartment Homes LP 4.7500%, 10/15/17 | 777,839 | ||||||||
219,000 | Reckson Operating Partnership LP 6.0000%, 3/31/16 | 226,196 | ||||||||
223,000 | Retail Opportunity Investments Partnership LP 5.0000%, 12/15/23 | 233,978 | ||||||||
493,000 | Retail Opportunity Investments Partnership LP 4.0000%, 12/15/24 | 487,783 | ||||||||
324,000 | Senior Housing Properties Trust 6.7500%, 4/15/20 | 363,846 | ||||||||
378,000 | Senior Housing Properties Trust 6.7500%, 12/15/21 | 430,279 | ||||||||
698,000 | SL Green Realty Corp. 5.0000%, 8/15/18 | 747,321 | ||||||||
1,242,000 | SL Green Realty Corp. 7.7500%, 3/15/20 | 1,479,753 | ||||||||
9,874,042 | ||||||||||
Technology – 4.8% | ||||||||||
771,000 | Autodesk, Inc. 3.6000%, 12/15/22 | 766,931 | ||||||||
2,069,000 | Cadence Design Systems, Inc. 4.3750%, 10/15/24 | 2,075,633 | ||||||||
219,000 | Fidelity National Information Services, Inc. 5.0000%, 3/15/22 | 231,170 | ||||||||
734,000 | Fiserv, Inc. 3.1250%, 10/1/15 | 737,904 | ||||||||
565,000 | Molex Electronic Technologies LLC 2.8780%, 4/15/20 (144A) | 556,328 | ||||||||
2,551,000 | Molex Electronic Technologies LLC 3.9000%, 4/15/25 (144A) | 2,471,797 | ||||||||
402,000 | Seagate HDD Cayman 4.7500%, 6/1/23 | 408,299 | ||||||||
3,799,000 | Seagate HDD Cayman 4.7500%, 1/1/25 (144A) | 3,775,644 | ||||||||
1,220,000 | Seagate HDD Cayman 4.8750%, 6/1/27 (144A) | 1,185,920 | ||||||||
1,437,000 | Seagate HDD Cayman 5.7500%, 12/1/34 (144A) | 1,414,900 | ||||||||
2,423,000 | Trimble Navigation, Ltd. 4.7500%, 12/1/24 | 2,426,271 | ||||||||
3,558,000 | TSMC Global, Ltd. 1.6250%, 4/3/18 (144A) | 3,517,293 | ||||||||
668,000 | Verisk Analytics, Inc. 4.8750%, 1/15/19 | 714,091 | ||||||||
2,642,000 | Verisk Analytics, Inc. 5.8000%, 5/1/21 | 2,972,501 | ||||||||
797,000 | Verisk Analytics, Inc. 4.1250%, 9/12/22 | 811,534 | ||||||||
2,493,000 | Verisk Analytics, Inc. 4.0000%, 6/15/25 | 2,441,405 | ||||||||
1,347,000 | Verisk Analytics, Inc. 5.5000%, 6/15/45 | 1,324,772 | ||||||||
27,832,393 | ||||||||||
Transportation – 0.8% | ||||||||||
153,000 | Asciano Finance, Ltd. 3.1250%, 9/23/15 (144A) | 153,622 | ||||||||
1,099,000 | JB Hunt Transport Services, Inc. 3.3750%, 9/15/15 | 1,104,525 | ||||||||
154,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 2.5000%, 3/15/16 (144A) | 155,076 | ||||||||
1,403,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 3.3750%, 3/15/18 (144A) | 1,445,977 | ||||||||
590,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 2.5000%, 6/15/19 (144A) | 584,371 | ||||||||
90,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 4.8750%, 7/11/22 (144A) | 95,104 | ||||||||
649,000 | Penske Truck Leasing Co. LP / PTL Finance Corp. 4.2500%, 1/17/23 (144A) | 657,704 | ||||||||
689,000 | Southwest Airlines Co. 5.1250%, 3/1/17 | 731,080 | ||||||||
4,927,459 | ||||||||||
Total Corporate Bonds (cost $207,118,203) | 209,031,169 | |||||||||
Mortgage-Backed Securities – 18.8% | ||||||||||
Fannie Mae Pool: | ||||||||||
156,034 | 5.5000%, 1/1/25 | 170,336 | ||||||||
226,446 | 4.0000%, 6/1/29 | 243,479 | ||||||||
593,362 | 4.0000%, 9/1/29 | 637,963 | ||||||||
562,803 | 5.0000%, 9/1/29 | 621,009 | ||||||||
2,808,762 | 3.5000%, 10/1/29 | 2,960,923 | ||||||||
223,549 | 5.0000%, 1/1/30 | 246,811 | ||||||||
102,828 | 5.5000%, 1/1/33 | 115,520 | ||||||||
619,062 | 4.0000%, 4/1/34 | 668,054 | ||||||||
510,985 | 6.0000%, 10/1/35 | 584,165 | ||||||||
406,851 | 6.0000%, 12/1/35 | 465,308 | ||||||||
193,783 | 6.0000%, 2/1/37 | 224,071 | ||||||||
622,933 | 6.0000%, 9/1/37 | 685,720 | ||||||||
431,888 | 6.0000%, 10/1/38 | 491,356 | ||||||||
177,650 | 7.0000%, 2/1/39 | 214,694 | ||||||||
578,868 | 5.5000%, 3/1/40 | 661,185 | ||||||||
1,361,828 | 5.5000%, 4/1/40 | 1,535,780 | ||||||||
149,525 | 4.5000%, 10/1/40 | 162,842 | ||||||||
152,877 | 5.0000%, 10/1/40 | 171,389 | ||||||||
1,461,305 | 5.0000%, 2/1/41 | 1,627,461 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Fannie Mae Pool: (continued) | ||||||||||
$321,556 | 5.5000%, 2/1/41 | $ | 366,978 | |||||||
281,759 | 5.0000%, 4/1/41 | 313,977 | ||||||||
267,120 | 5.0000%, 5/1/41 | 295,866 | ||||||||
449,649 | 5.5000%, 5/1/41 | 504,703 | ||||||||
387,089 | 5.5000%, 6/1/41 | 435,323 | ||||||||
711,671 | 5.0000%, 7/1/41 | 792,445 | ||||||||
1,565,168 | 5.5000%, 7/1/41 | 1,757,907 | ||||||||
661,601 | 4.5000%, 8/1/41 | 719,913 | ||||||||
323,278 | 5.0000%, 10/1/41 | 359,650 | ||||||||
839,604 | 5.5000%, 12/1/41 | 947,851 | ||||||||
896,566 | 4.0000%, 6/1/42 | 956,713 | ||||||||
1,785,629 | 3.5000%, 7/1/42 | 1,848,360 | ||||||||
565,383 | 4.0000%, 7/1/42 | 603,246 | ||||||||
391,552 | 4.0000%, 8/1/42 | 417,825 | ||||||||
461,103 | 4.0000%, 9/1/42 | 492,058 | ||||||||
480,531 | 4.0000%, 9/1/42 | 512,881 | ||||||||
595,303 | 4.0000%, 11/1/42 | 635,290 | ||||||||
243,988 | 4.0000%, 12/1/42 | 260,934 | ||||||||
1,125,471 | 3.5000%, 1/1/43 | 1,161,638 | ||||||||
2,310,357 | 3.5000%, 2/1/43 | 2,384,535 | ||||||||
2,613,154 | 3.5000%, 2/1/43 | 2,697,214 | ||||||||
2,673,119 | 4.5000%, 2/1/43 | 2,913,994 | ||||||||
1,215,322 | 3.5000%, 3/1/43 | 1,254,276 | ||||||||
857,392 | 4.5000%, 3/1/43 | 942,019 | ||||||||
1,230,777 | 4.0000%, 5/1/43 | 1,313,406 | ||||||||
1,637,771 | 4.0000%, 7/1/43 | 1,748,042 | ||||||||
1,446,020 | 4.0000%, 8/1/43 | 1,543,428 | ||||||||
430,045 | 4.0000%, 9/1/43 | 458,632 | ||||||||
676,408 | 3.5000%, 1/1/44 | 701,493 | ||||||||
1,706,473 | 3.5000%, 1/1/44 | 1,770,608 | ||||||||
876,049 | 4.0000%, 2/1/44 | 935,079 | ||||||||
833,264 | 3.5000%, 4/1/44 | 862,547 | ||||||||
2,813,285 | 3.5000%, 5/1/44 | 2,917,456 | ||||||||
4,352,730 | 4.5000%, 5/1/44 | 4,798,581 | ||||||||
1,383,338 | 4.0000%, 6/1/44 | 1,476,358 | ||||||||
2,564,098 | 4.0000%, 7/1/44 | 2,748,316 | ||||||||
1,023,539 | 5.0000%, 7/1/44 | 1,155,714 | ||||||||
537,752 | 4.0000%, 8/1/44 | 576,386 | ||||||||
1,420,457 | 4.0000%, 8/1/44 | 1,522,514 | ||||||||
1,904,296 | 4.5000%, 8/1/44 | 2,102,164 | ||||||||
787,932 | 4.5000%, 10/1/44 | 867,337 | ||||||||
1,440,220 | 4.5000%, 10/1/44 | 1,592,794 | ||||||||
2,043,927 | 3.5000%, 2/1/45 | 2,109,395 | ||||||||
1,445,425 | 4.5000%, 3/1/45 | 1,591,104 | ||||||||
Freddie Mac Gold Pool: | ||||||||||
103,742 | 5.0000%, 1/1/19 | 108,320 | ||||||||
95,910 | 5.5000%, 8/1/19 | 100,586 | ||||||||
202,779 | 5.0000%, 6/1/20 | 216,165 | ||||||||
356,602 | 5.5000%, 12/1/28 | 399,136 | ||||||||
511,951 | 3.5000%, 7/1/29 | 539,891 | ||||||||
428,338 | 3.5000%, 8/1/29 | 451,787 | ||||||||
372,700 | 5.5000%, 10/1/36 | 420,476 | ||||||||
864,058 | 5.5000%, 4/1/40 | 974,631 | ||||||||
2,010,942 | 6.0000%, 4/1/40 | 2,293,214 | ||||||||
384,529 | 4.5000%, 1/1/41 | 418,268 | ||||||||
617,510 | 5.0000%, 5/1/41 | 688,768 | ||||||||
538,611 | 5.5000%, 5/1/41 | 603,995 | ||||||||
868,913 | 3.5000%, 2/1/44 | 896,913 | ||||||||
240,037 | 4.0000%, 8/1/44 | 256,411 | ||||||||
2,834,978 | 4.5000%, 9/1/44 | 3,122,501 | ||||||||
Ginnie Mae I Pool: | ||||||||||
300,805 | 4.0000%, 8/15/24 | 320,390 | ||||||||
603,548 | 5.1000%, 1/15/32 | 691,043 | ||||||||
696,470 | 4.9000%, 10/15/34 | 775,360 | ||||||||
187,098 | 5.5000%, 9/15/35 | 217,867 | ||||||||
290,639 | 5.5000%, 3/15/36 | 332,240 | ||||||||
1,421,562 | 5.5000%, 6/15/39 | 1,649,746 | ||||||||
518,477 | 5.5000%, 8/15/39 | 594,313 | ||||||||
784,913 | 5.5000%, 8/15/39 | 904,782 | ||||||||
476,387 | 5.0000%, 9/15/39 | 539,930 | ||||||||
1,018,768 | 5.0000%, 9/15/39 | 1,154,580 | ||||||||
291,985 | 5.0000%, 10/15/39 | 325,951 | ||||||||
521,013 | 5.0000%, 11/15/39 | 578,387 | ||||||||
163,139 | 5.0000%, 1/15/40 | 181,079 | ||||||||
47,572 | 5.0000%, 5/15/40 | 53,593 | ||||||||
183,978 | 5.0000%, 5/15/40 | 207,402 | ||||||||
697,186 | 5.0000%, 5/15/40 | 777,729 | ||||||||
151,347 | 5.0000%, 7/15/40 | 167,860 | ||||||||
540,278 | 5.0000%, 7/15/40 | 599,453 | ||||||||
536,116 | 4.5000%, 9/15/40 | 588,642 | ||||||||
528,734 | 5.0000%, 2/15/41 | 587,283 | ||||||||
175,416 | 5.0000%, 4/15/41 | 195,431 | ||||||||
675,905 | 4.5000%, 5/15/41 | 741,736 | ||||||||
206,092 | 5.0000%, 5/15/41 | 233,881 | ||||||||
157,215 | 4.5000%, 7/15/41 | 173,019 | ||||||||
463,802 | 4.5000%, 7/15/41 | 504,359 | ||||||||
1,163,180 | 4.5000%, 8/15/41 | 1,286,883 | ||||||||
286,264 | 5.0000%, 9/15/41 | 319,278 | ||||||||
1,093,006 | 5.0000%, 11/15/43 | 1,215,348 | ||||||||
1,264,927 | 5.0000%, 6/15/44 | 1,433,406 | ||||||||
1,277,281 | 5.0000%, 6/15/44 | 1,446,005 | ||||||||
1,464,455 | 4.0000%, 4/15/45 | 1,584,567 | ||||||||
Ginnie Mae II Pool: | ||||||||||
270,739 | 6.0000%, 11/20/34 | 314,005 | ||||||||
1,186,734 | 5.5000%, 3/20/35 | 1,353,990 | ||||||||
314,207 | 5.5000%, 3/20/36 | 357,867 | ||||||||
331,429 | 5.5000%, 11/20/37 | 371,154 | ||||||||
117,861 | 6.0000%, 1/20/39 | 133,519 | ||||||||
61,843 | 7.0000%, 5/20/39 | 73,345 | ||||||||
150,042 | 5.0000%, 6/20/41 | 165,373 | ||||||||
631,179 | 5.0000%, 6/20/41 | 696,219 | ||||||||
54,547 | 6.0000%, 10/20/41 | 62,733 | ||||||||
254,839 | 6.0000%, 12/20/41 | 292,096 | ||||||||
426,831 | 5.5000%, 1/20/42 | 485,477 | ||||||||
155,194 | 6.0000%, 1/20/42 | 178,261 | ||||||||
236,575 | 6.0000%, 2/20/42 | 271,784 | ||||||||
155,760 | 6.0000%, 3/20/42 | 178,986 | ||||||||
601,376 | 6.0000%, 4/20/42 | 690,995 | ||||||||
328,440 | 3.5000%, 5/20/42 | 342,750 | ||||||||
458,645 | 5.5000%, 5/20/42 | 522,402 | ||||||||
430,847 | 6.0000%, 5/20/42 | 489,203 | ||||||||
747,894 | 5.5000%, 7/20/42 | 840,569 | ||||||||
177,166 | 6.0000%, 7/20/42 | 203,489 | ||||||||
168,905 | 6.0000%, 8/20/42 | 193,935 | ||||||||
207,523 | 6.0000%, 9/20/42 | 238,778 | ||||||||
174,940 | 6.0000%, 11/20/42 | 200,405 | ||||||||
214,109 | 6.0000%, 2/20/43 | 246,092 | ||||||||
Total Mortgage-Backed Securities (cost $109,298,586) | 109,631,048 | |||||||||
Preferred Stocks – 1.4% | ||||||||||
Capital Markets – 0.5% | ||||||||||
37,000 | Morgan Stanley, 6.8750% | 987,160 | ||||||||
43,000 | Morgan Stanley, 7.1250% | 1,201,850 | ||||||||
7,000 | Morgan Stanley Capital Trust III, 6.2500% | 178,710 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Janus Aspen Flexible Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Capital Markets – (continued) | ||||||||||
1,012 | Morgan Stanley Capital Trust IV, 6.2500% | $ | 25,745 | |||||||
479 | Morgan Stanley Capital Trust V, 5.7500% | 12,100 | ||||||||
410 | Morgan Stanley Capital Trust VIII, 6.4500% | 10,393 | ||||||||
8,725 | State Street Corp., 5.9000% | 223,971 | ||||||||
2,639,929 | ||||||||||
Commercial Banks – 0.4% | ||||||||||
26,000 | Citigroup Capital XIII, 7.8750% | 674,960 | ||||||||
55,000 | Wells Fargo & Co., 6.6250% | 1,518,000 | ||||||||
2,192,960 | ||||||||||
Consumer Finance – 0.4% | ||||||||||
1,000 | Ally Financial, Inc., 7.0000% (144A) | 1,010,469 | ||||||||
59,000 | Discover Financial Services, 6.5000% | 1,502,730 | ||||||||
2,513,199 | ||||||||||
Industrial Conglomerates – 0% | ||||||||||
5,000 | General Electric Capital Corp., 4.7000% | 121,500 | ||||||||
Pharmaceuticals – 0.1% | ||||||||||
486 | Allergan PLC, 5.5000% | 506,694 | ||||||||
Total Preferred Stocks (cost $7,643,094) | 7,974,282 | |||||||||
U.S. Treasury Notes/Bonds – 36.1% | ||||||||||
$1,015,000 | 0.3750%, 5/31/16 | 1,015,714 | ||||||||
4,601,000 | 0.5000%, 6/30/16 | 4,608,550 | ||||||||
17,377,000 | 0.6250%, 7/15/16 | 17,424,509 | ||||||||
7,517,000 | 0.5000%, 11/30/16 | 7,521,698 | ||||||||
32,506,000 | 0.6250%, 12/31/16 | 32,574,067 | ||||||||
18,957,000 | 0.5000%, 1/31/17 | 18,951,085 | ||||||||
9,282,000 | 0.8750%, 1/31/17 | 9,333,487 | ||||||||
1,081,000 | 0.8750%, 2/28/17 | 1,086,828 | ||||||||
7,317,000 | 0.5000%, 4/30/17 | 7,304,993 | ||||||||
1,725,000 | 0.7500%, 6/30/17 | 1,728,369 | ||||||||
539,000 | 0.8750%, 7/15/17 | 541,232 | ||||||||
57,000 | 1.0000%, 9/15/17 | 57,329 | ||||||||
97,000 | 0.8750%, 10/15/17 | 97,220 | ||||||||
575,000 | 0.7500%, 10/31/17 | 574,506 | ||||||||
11,661,000 | 1.0000%, 12/15/17 | 11,711,107 | ||||||||
709,000 | 0.7500%, 12/31/17 | 707,505 | ||||||||
1,129,000 | 0.8750%, 1/31/18 | 1,129,176 | ||||||||
847,000 | 0.7500%, 3/31/18 | 842,699 | ||||||||
1,145,000 | 2.3750%, 5/31/18 | 1,191,068 | ||||||||
3,732,000 | 1.3750%, 7/31/18 | 3,769,320 | ||||||||
13,044,000 | 1.5000%, 8/31/18 | 13,214,185 | ||||||||
7,100,000 | 1.6250%, 7/31/19 | 7,160,464 | ||||||||
4,289,000 | 1.7500%, 9/30/19 | 4,340,601 | ||||||||
6,046,000 | 1.5000%, 10/31/19 | 6,049,307 | ||||||||
11,970,000 | 1.5000%, 11/30/19 | 11,971,867 | ||||||||
1,295,000 | 1.6250%, 12/31/19 | 1,300,363 | ||||||||
141,000 | 1.3750%, 3/31/20 | 139,612 | ||||||||
3,656,000 | 2.1250%, 9/30/21 | 3,692,560 | ||||||||
11,558,000 | 2.2500%, 11/15/24 | 11,487,565 | ||||||||
8,929,000 | 2.1250%, 5/15/25 | 8,767,162 | ||||||||
719,000 | 3.7500%, 11/15/43 | 808,763 | ||||||||
5,183,000 | 3.6250%, 2/15/44 | 5,698,465 | ||||||||
82,000 | 3.3750%, 5/15/44 | 86,132 | ||||||||
6,688,000 | 3.1250%, 8/15/44 | 6,698,975 | ||||||||
1,854,000 | 3.0000%, 11/15/44 | 1,813,588 | ||||||||
5,998,000 | 3.0000%, 5/15/45 | 5,878,040 | ||||||||
Total U.S. Treasury Notes/Bonds (cost $210,314,290) | 211,278,111 | |||||||||
Investment Companies – 1.1% | ||||||||||
Money Markets – 1.1% | ||||||||||
6,580,276 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ (cost $6,580,276) | 6,580,276 | ||||||||
Total Investments (total cost $582,197,283) – 100.2% | 585,665,412 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.2)% | (878,730) | |||||||||
Net Assets – 100% | $ | 584,786,682 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 551,571,515 | 94 | .2% | ||||
United Kingdom | 9,235,400 | 1 | .6 | |||||
Germany | 4,533,315 | 0 | .8 | |||||
Netherlands | 4,263,289 | 0 | .7 | |||||
Singapore | 4,080,543 | 0 | .7 | |||||
Taiwan | 3,517,293 | 0 | .6 | |||||
Spain | 3,176,274 | 0 | .5 | |||||
Australia | 2,078,122 | 0 | .4 | |||||
Canada | 1,434,160 | 0 | .2 | |||||
Italy | 1,058,983 | 0 | .2 | |||||
South Korea | 716,518 | 0 | .1 | |||||
Total | $ | 585,665,412 | 100 | .0% | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Barclays U.S. Aggregate Bond Index | A broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2015 is indicated in the table below: |
Value as a % | ||||||||||
Portfolio | Value | of Net Assets | ||||||||
Janus Aspen Flexible Bond Portfolio | $ | 77,771,398 | 13.3 | % | ||||||
(a) | All or a portion of this position has not settled, or is not funded. Upon settlement or funding date, interest rates for unsettled or unfunded amounts will be determined. Interest and dividends will not be accrued until time of settlement or funding. |
‡ | The interest rate on floating rate notes is based on an index or market interest rates and is subject to change. Rate in the security description is as of period end. | |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
µ | This variable rate security is a perpetual bond. Perpetual bonds have no contractual maturity date, are not redeemable, and pay an indefinite stream of interest. The coupon rate shown represents the current interest rate. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Acquisition | Value as a | ||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Flexible Bond Portfolio | ||||||||||||||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 | 4/29/13 | $ | 1,312,855 | $ | 1,313,454 | 0.2 | % | |||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015. The issuer incurs all registration costs.
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Flexible Bond Portfolio | |||||||||||||||||||||
Janus Cash Liquidity Fund LLC | 2,952,000 | 263,168,056 | (259,539,780) | 6,580,276 | $ | – | $ | 5,045 | $ | 6,580,276 | |||||||||||
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Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Flexible Bond Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $– | $ 34,828,216 | $– | |||||
Bank Loans and Mezzanine Loans | – | 6,342,310 | – | |||||
Corporate Bonds | – | 209,031,169 | – | |||||
Mortgage-Backed Securities | – | 109,631,048 | – | |||||
Preferred Stocks | – | 7,974,282 | – | |||||
U.S. Treasury Notes/Bonds | – | 211,278,111 | – | |||||
Investment Companies | – | 6,580,276 | – | |||||
Total Assets | $– | $585,665,412 | $– | |||||
14 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Flexible | ||||||||||
Bond | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 582,197,283 | ||||||||
Unaffiliated investments, at value | $ | 579,085,136 | ||||||||
Affiliated investments, at value | 6,580,276 | |||||||||
Cash | 375,146 | |||||||||
Non-interested Trustees’ deferred compensation | 11,691 | |||||||||
Receivables: | ||||||||||
Investments sold | 5,142,850 | |||||||||
Portfolio shares sold | 519,435 | |||||||||
Dividends | 35,779 | |||||||||
Dividends from affiliates | 225 | |||||||||
Interest | 3,169,361 | |||||||||
Other assets | 1,412 | |||||||||
Total Assets | 594,921,311 | |||||||||
Liabilities: | ||||||||||
Payables: | ||||||||||
Investments purchased | 9,255,543 | |||||||||
Portfolio shares repurchased | 494,223 | |||||||||
Advisory fees | 240,668 | |||||||||
Portfolio administration fees | 4,560 | |||||||||
Transfer agent fees and expenses | 473 | |||||||||
12b-1 Distribution and shareholder servicing fees | 47,693 | |||||||||
Non-interested Trustees’ fees and expenses | 3,598 | |||||||||
Non-interested Trustees’ deferred compensation fees | 11,691 | |||||||||
Accrued expenses and other payables | 76,180 | |||||||||
Total Liabilities | 10,134,629 | |||||||||
Net Assets | $ | 584,786,682 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 579,556,635 | ||||||||
Undistributed net investment income/(loss) | 1,662,827 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 99,091 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 3,468,129 | |||||||||
Total Net Assets | $ | 584,786,682 | ||||||||
Net Assets - Institutional Shares | $ | 351,070,671 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 29,683,245 | |||||||||
Net Asset Value Per Share | $ | 11.83 | ||||||||
Net Assets - Service Shares | $ | 233,716,011 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 18,223,403 | |||||||||
Net Asset Value Per Share | $ | 12.83 |
See Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Statement of Operations
Janus Aspen | ||||||
Flexible | ||||||
Bond | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Interest | $ | 7,725,940 | ||||
Dividends | 258,189 | |||||
Dividends from affiliates | 5,045 | |||||
Other income | 50,861 | |||||
Total Investment Income | 8,040,035 | |||||
Expenses: | ||||||
Advisory fees | 1,417,312 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 282,633 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,440 | |||||
Service Shares | 533 | |||||
Shareholder reports expense | 43,700 | |||||
Registration fees | 10,421 | |||||
Custodian fees | 11,421 | |||||
Professional fees | 20,138 | |||||
Non-interested Trustees’ fees and expenses | 7,678 | |||||
Portfolio administration fees | 23,504 | |||||
Other expenses | 64,023 | |||||
Total Expenses | 1,882,803 | |||||
Net Expenses | 1,882,803 | |||||
Net Investment Income/(Loss) | 6,157,232 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 570,710 | |||||
Total Net Realized Gain/(Loss) on Investments | 570,710 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (4,244,337) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (4,244,337) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 2,483,605 |
See Notes to Financial Statements.
16 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Flexible Bond | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,157,232 | $ | 13,111,273 | ||||||
Net realized gain/(loss) on investments | 570,710 | 5,765,516 | ||||||||
Change in unrealized net appreciation/depreciation | (4,244,337) | 3,705,948 | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 2,483,605 | 22,582,737 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (4,581,303) | (12,284,719) | ||||||||
Service Shares | (2,549,822) | (4,923,698) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (1,662,607) | – | ||||||||
Service Shares | (1,012,843) | – | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (9,806,575) | (17,208,417) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 82,365,450 | 64,729,908 | ||||||||
Service Shares | 81,802,481 | 125,752,126 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 6,243,910 | 12,284,719 | ||||||||
Service Shares | 3,562,665 | 4,923,698 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (97,093,501) | (61,352,772) | ||||||||
Service Shares | (56,598,223) | (41,451,769) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 20,282,782 | 104,885,910 | ||||||||
Net Increase/(Decrease) in Net Assets | 12,959,812 | 110,260,230 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 571,826,870 | 461,566,640 | ||||||||
End of period | $ | 584,786,682 | $ | 571,826,870 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 1,662,827 | $ | 2,636,720 |
See Notes to Financial Statements.
Janus Aspen Series | 17
Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Flexible Bond Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $11.98 | $11.82 | $12.59 | $12.27 | $12.70 | $12.56 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.14(1) | 0.33(1) | 0.38 | 0.43 | 0.49 | 0.49 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.07) | 0.25 | (0.40) | 0.57 | 0.32 | 0.51 | ||||||||||||||||||||
Total from Investment Operations | 0.07 | 0.58 | (0.02) | 1.00 | 0.81 | 1.00 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.16) | (0.42) | (0.30) | (0.44) | (0.49) | (0.50) | ||||||||||||||||||||
Distributions (from capital gains) | (0.06) | – | (0.45) | (0.24) | (0.75) | (0.36) | ||||||||||||||||||||
Total Dividends and Distributions | (0.22) | (0.42) | (0.75) | (0.68) | (1.24) | (0.86) | ||||||||||||||||||||
Net Asset Value, End of Period | $11.83 | $11.98 | $11.82 | $12.59 | $12.27 | $12.70 | ||||||||||||||||||||
Total Return* | 0.53% | 4.94% | (0.06)% | 8.34% | 6.66% | 8.06% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $351,071 | $363,977 | $344,028 | $381,593 | $376,299 | $368,544 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $342,868 | $345,064 | $360,706 | $378,140 | $364,656 | $351,717 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.56% | 0.59% | 0.56% | 0.57% | 0.57% | 0.56% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.56% | 0.58% | 0.55% | 0.55% | 0.55% | 0.56% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 2.27% | 2.74% | 2.35% | 2.87% | 3.82% | 4.04% | ||||||||||||||||||||
Portfolio Turnover Rate | 72% | 144% | 138% | 140% | 164% | 169% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Flexible Bond Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $12.98 | $12.78 | $13.56 | $13.17 | $13.54 | $13.35 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.13(1) | 0.32(1) | 0.38 | 0.40 | 0.48 | 0.51 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.08) | 0.28 | (0.44) | 0.65 | 0.36 | 0.51 | ||||||||||||||||||||
Total from Investment Operations | 0.05 | 0.60 | (0.06) | 1.05 | 0.84 | 1.02 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.14) | (0.40) | (0.27) | (0.42) | (0.46) | (0.47) | ||||||||||||||||||||
Distributions (from capital gains) | (0.06) | – | (0.45) | (0.24) | (0.75) | (0.36) | ||||||||||||||||||||
Total Dividends and Distributions | (0.20) | (0.40) | (0.72) | (0.66) | (1.21) | (0.83) | ||||||||||||||||||||
Net Asset Value, End of Period | $12.83 | $12.98 | $12.78 | $13.56 | $13.17 | $13.54 | ||||||||||||||||||||
Total Return* | 0.38% | 4.69% | (0.32)% | 8.09% | 6.47% | 7.73% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $233,716 | $207,850 | $117,539 | $128,665 | $98,058 | $91,870 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $229,123 | $146,672 | $124,401 | $109,071 | $90,661 | $83,557 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.81% | 0.85% | 0.81% | 0.82% | 0.82% | 0.81% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.81% | 0.84% | 0.80% | 0.80% | 0.80% | 0.81% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 2.02% | 2.49% | 2.10% | 2.60% | 3.57% | 3.79% | ||||||||||||||||||||
Portfolio Turnover Rate | 72% | 144% | 138% | 140% | 164% | 169% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
18 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Flexible Bond Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in income-producing securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
Janus Aspen Series | 19
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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.
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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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Other Investments and Strategies |
Additional Investment Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes or adverse developments specific to the issuer.
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
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Notes to Financial Statements (unaudited) (continued)
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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, 2015.
• | Bank Loans – Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. A 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 the London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (“borrowers”) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower’s capital structure. The senior position in the borrower’s capital structure generally gives holders of senior loans a claim on certain of the borrower’s assets that is senior to subordinated debt and preferred and common stock in the case of a borrower’s default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. While the Portfolio generally expects to invest in fully funded term loans, certain of the loans in which the Portfolio may invest include revolving loans, bridge loans, and delayed draw term loans. |
Purchasers of floating rate loans may pay and/or receive certain fees. The Portfolio may receive fees such as covenant waiver fees or prepayment penalty fees. The Portfolio may pay fees such as facility fees. Such fees may affect the Portfolio’s return. |
• | Mezzanine Loans – Mezzanine loans are secured by the stock of the company that owns the assets. Mezzanine loans are a hybrid of debt and equity financing that is typically used to fund the expansion of existing companies. A mezzanine loan is composed of debt capital that gives the lender the right to convert to an ownership or equity interest in the company if the loan is not paid back in time and in full. Mezzanine loans typically are the most subordinated debt obligation in an issuer’s capital structure. |
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other
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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 automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying assets fail to perform, these investment vehicles could be forced to sell the assets and recognize losses on such assets, which could impact the Portfolio’s yield and your return.
Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Prepayment risk, which results from prepayments of the principal of underlying loans at a faster pace than expected, may shorten the effective maturities of these securities and may result in the Portfolio having to reinvest proceeds at a lower interest rate.
In addition to prepayment risk, investments in mortgage-backed securities, including those comprised of subprime mortgages, and investments in other asset-backed securities comprised of under-performing assets may be subject to a higher degree of credit risk, valuation risk, and liquidity risk. Additionally, although mortgages and mortgage-related 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.
Mortgage- and asset-backed securities are also subject to extension risk, which is the risk that rising interest rates could cause mortgages or other obligations underlying these securities to be paid more slowly than expected, increasing the Portfolio’s sensitivity to interest rate changes and causing its price to decline.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Sovereign Debt
The Portfolio may invest in U.S. and foreign government debt securities (“sovereign debt”). Investments in U.S. sovereign debt are considered low risk. However, investments in non-U.S. sovereign debt can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors, including its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a
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Notes to Financial Statements (unaudited) (continued)
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.
When-Issued and Delayed Delivery Securities
The Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Portfolio may invest include U.S. Treasury Securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio may hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
3. | Investment Advisory Agreements and Other Transactions with Affiliates |
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Contractual | ||||||||
Average Daily | Investment | |||||||
Net Assets | Advisory | |||||||
Portfolio | of the Portfolio | Fee (%) | ||||||
Janus Aspen Flexible Bond Portfolio | First $300 Million Over $300 Million | 0.55 0.45 | ||||||
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the transfer agency agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Previous | ||||||||||
New Expense | Expense | |||||||||
Limit (%) | Limit (%) | |||||||||
(May 1, 2015 | (until May | |||||||||
Portfolio | to present) | 1, 2015) | ||||||||
Janus Aspen Flexible Bond Portfolio | 0.57 | 0.65 | ||||||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the
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Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
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Notes to Financial Statements (unaudited) (continued)
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Flexible Bond Portfolio | $ | 582,679,382 | $ | 6,669,398 | $ | (3,683,368) | $ | 2,986,030 | ||||||||||
5. | Capital Share Transactions |
Janus Aspen Flexible Bond Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 6,782,903 | 5,343,180 | ||||||||
Reinvested dividends and distributions | 526,468 | 1,023,406 | ||||||||
Shares repurchased | (8,003,923) | (5,092,096) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (694,552) | 1,274,490 | ||||||||
Shares Outstanding, Beginning of Period | 30,377,797 | 29,103,307 | ||||||||
Shares Outstanding, End of Period | 29,683,245 | 30,377,797 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 6,244,235 | 9,611,775 | ||||||||
Reinvested dividends and distributions | 277,035 | 378,929 | ||||||||
Shares repurchased | (4,314,863) | (3,171,646) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 2,206,407 | 6,819,058 | ||||||||
Shares Outstanding, Beginning of Period | 16,016,996 | 9,197,938 | ||||||||
Shares Outstanding, End of Period | 18,223,403 | 16,016,996 |
6. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Flexible Bond Portfolio | $ | 150,993,009 | $ | 137,544,953 | $ | 272,096,037 | $ | 267,454,638 | ||||||
7. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-93822 | 109-24-81114 08-15 |
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semiannual report
June 30, 2015
Janus Aspen Forty Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Forty Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe that constructing a concentrated portfolio of quality growth companies will allow us to outperform our benchmark and peers over time. We define quality as companies that enjoy sustainable “moats” around their businesses, potentially allowing companies to grow faster, with higher returns, than their competitors. We believe the market often underestimates these companies’ sustainable competitive advantage periods. | Doug Rao portfolio manager |
PERFORMANCE OVERVIEW
For the six-month period ended June 30, 2015, the Portfolio’s Institutional Shares and Service Shares returned 8.06% and 7.92%, respectively, versus a return of 3.96% for the Portfolio’s primary benchmark, the Russell 1000 Growth Index. The Portfolio’s secondary benchmark, the S&P 500 Index, returned 1.23% for the period.
INVESTMENT ENVIRONMENT
Large-cap U.S. equities notched gains during the first months of the year. While speculation about how, or when, the Federal Reserve (Fed) would raise interest rates caused volatility during the period, stocks popped in mid-March after the Fed indicated it would be cautious and gradual in its attempt to raise interest rates. Stocks were further driven by strong merger and acquisition activity and favorable economic data.
For much of the second quarter, volatility was low and stocks generally traded in a narrow range, as the market began to digest what the eventual end of the Federal Reserve’s accommodative monetary policies will mean for both the stock market and broader economy. The after-effects of a strong dollar and a debate over where oil prices will settle for the long term were other key questions that hung over equity markets in the spring. After drifting higher during much of the second quarter, equities sold off at the end of the period as Greece moved closer to a potential exit from the eurozone.
OVERVIEW
The Portfolio outperformed its primary benchmark, the Russell 1000 Growth Index, and also 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. The performance of many companies in our Portfolio during the period further validated our view that they are well positioned to grow in excess of the market.
Valeant Pharmaceuticals was a top contributor. The stock was up after the company announced better-than-expected earnings, and raised its guidance after completing its acquisition of Salix Pharmaceuticals, a maker of gastrointestinal treatments. The acquisition is another example of the same successful playbook Valeant has been running for much of the past decade. We feel this strategy has set the company apart from many of its competitors. High research and development costs have been value destructive for many pharmaceutical companies, but Valeant has largely avoided high R&D spending by making a series of value accretive acquisitions of pharmaceutical companies with lower product risk. Valeant then takes many of the costs out of those companies and essentially acts as a distributor of a number of valuable drugs, rather than a company dependent on new drug discovery for growth.
Amazon was also a top contributor. The stock was up after the company continued to improve operating leverage in its core retail business and reported impressive results for its Amazon Web Services business. We have mentioned Amazon in previous commentaries, and believe it is a good example of the types of competitively advantaged companies we tend to seek in our portfolio. Amazon has already rewritten the rules for retail shopping and we believe it will continue to gain consumers’ wallet share as more shopping moves from physical stores to online and mobile purchases. Meanwhile, the company’s cloud
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Janus Aspen Forty Portfolio (unaudited)
business, Amazon Web Services, has come to market with scale and a disruptive pricing model for businesses seeking cloud-based services.
Starbucks was another large contributor. The stock rose after the company reported continued strong same-store sales comparisons. The frequent interactions between Starbucks and its customers are what we believe set the company apart from most other food and beverage retailers. Starbucks is a daily habit for the vast majority of its customers. Due to the habitualistic nature of coffee drinking, consumers are more willing to download Starbucks apps to their mobile phones. With more consumers using the app, Starbucks has created a more successful mobile strategy, which has allowed it to create a successful rewards program and soon, a mobile ordering system that should improve throughput and customer satisfaction even further.
While pleased with our performance, we did hold some companies that reported disappointing results during the period. Precision Castparts was our largest detractor. The company makes a number of parts for the aerospace industry and other end markets. The stock was down after the company missed earnings, due in part to lower demand for some of its products that serve the oil and gas markets, and also due to destocking by some of the customers who use Precision Castparts’ products. After reporting disappointing results in recent quarters, we sold the position.
Canadian Pacific was another top detractor. Softer rail volumes due to a weaker commodity market have impacted all rail companies, and Canadian Pacific was not immune to the slowdown. However, we continue to have a high level of conviction in the long-term potential of the company. We believe Canadian Pacific’s railroad network across Canada and the U.S. is a valuable asset that would be nearly impossible for other transportation and logistics companies to replicate. The company also has a significant cost advantage over the trucking industry. Going forward, we believe Canadian Pacific can continue to grow revenues and railroad volumes as it improves execution around its railroad network. The company has made substantial investments to improve its service and reliability to customers, and as service improves, it will likely drive more shippers to use Canadian Pacific instead of trucking services.
Alibaba Group was also a detractor, but we continue to have confidence in the company. The stock enjoyed a strong climb after its initial public offering, and its second quarter results after the IPO were a little disappointing, which weighed on the stock. We also think there was some heightened selling of the stock in advance of a lock-up period that was expiring for some Alibaba shareholders. Neither of these short-term issues change our long-term outlook for the company. The Chinese e-commerce company provides consumer-to-consumer, business-to-consumer and business-to-business sales services via web and mobile platforms. The company benefits not only from increasing consumer spending power in China, but also from the rapid growth in online and mobile shopping in a market where e-commerce has leapfrogged traditional brick and mortar retail.
OUTLOOK
We believe the U.S. economy is in generally good shape. We have yet to see a significant pickup in consumer spending, but believe early signs of wage growth and the savings consumers are receiving from lower gasoline prices will eventually flow through the economy. A housing market that we believe is still only in the middle innings of a recovery should also provide a long-term tailwind for the economy.
While we remain positive on the broader economy, we would expect a lower return environment for U.S. equities in the coming months. Equity markets are beginning to price in higher interest rates, but with rates poised to move up it is hard to foresee further expansion of price-to-earnings multiples for U.S. stocks. The strength of the U.S. dollar means that revenue growth, at least overseas, will be harder to come by. These factors do not make us bearish on equities, but in an environment where earnings multiples are not likely to expand and revenue growth could be more of a challenge, we think it underscores the importance of finding those select companies with truly sustainable competitive advantages who can take market share and continue to grow earnings in excess of the market.
Thank you for your investment in Janus Aspen Forty Portfolio.
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(unaudited)
Janus Aspen Forty Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Valeant Pharmaceuticals International, Inc. (U.S. Shares) | 1.88% | |||
Pharmacyclics, Inc. | 1.31% | |||
Amazon.com, Inc. | 0.94% | |||
Starbucks Corp. | 0.84% | |||
Delphi Automotive PLC | 0.72% |
5 Bottom Performers – Holdings
Contribution | ||||
Precision Castparts Corp. | –0.64% | |||
Canadian Pacific Railway, Ltd. (U.S. Shares) | –0.57% | |||
Alibaba Group Holding, Ltd. (ADR) | –0.53% | |||
United Continental Holdings, Inc. | –0.30% | |||
Chipotle Mexican Grill, Inc. | –0.26% |
5 Top Performers – Sectors*
Portfolio Weighting | Russell 1000® | |||||||||||
Portfolio Contribution | (Average % of Equity) | Growth Index Weighting | ||||||||||
Health Care | 3.52% | 18.78% | 14.46% | |||||||||
Financials | 0.79% | 13.07% | 5.23% | |||||||||
Consumer Discretionary | 0.51% | 25.14% | 18.79% | |||||||||
Materials | 0.33% | 2.87% | 3.98% | |||||||||
Consumer Staples | 0.21% | 0.00% | 10.52% |
5 Bottom Performers – Sectors*
Portfolio Weighting | Russell 1000® | |||||||||||
Portfolio Contribution | (Average % of Equity) | Growth Index Weighting | ||||||||||
Industrials | –1.02% | 9.91% | 11.74% | |||||||||
Other** | –0.16% | 3.18% | 0.00% | |||||||||
Information Technology | –0.03% | 25.38% | 28.58% | |||||||||
Utilities | 0.02% | 0.00% | 0.08% | |||||||||
Energy | 0.12% | 1.06% | 4.46% |
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
** | Not a GICS classified sector. |
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Janus Aspen Forty Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Lowe’s Cos., Inc. Specialty Retail | 4.7% | |||
Google, Inc. – Class C Internet Software & Services | 3.9% | |||
Valeant Pharmaceuticals International, Inc. (U.S. Shares) Pharmaceuticals | 3.7% | |||
MasterCard, Inc. – Class A Information Technology Services | 3.6% | |||
Starbucks Corp. Hotels, Restaurants & Leisure | 3.2% | |||
19.1% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (1.0)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Forty Portfolio – Institutional Shares | 8.06% | 17.73% | 16.59% | 9.66% | 11.11% | 0.57% | |||||||
Janus Aspen Forty Portfolio – Service Shares | 7.92% | 17.44% | 16.29% | 9.38% | 10.80% | 0.82% | |||||||
Russell 1000® Growth Index | 3.96% | 10.56% | 18.59% | 9.10% | 6.70% | ||||||||
S&P 500® Index | 1.23% | 7.42% | 17.34% | 7.89% | 7.33% | ||||||||
Morningstar Quartile – Institutional Shares | – | 1st | 3rd | 1st | 1st | ||||||||
Morningstar Ranking – based on total returns for Large Growth Funds | – | 1/1,743 | 855/1,538 | 208/1,314 | 22/764 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
See important disclosures on the next page
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Janus Aspen Forty Portfolio (unaudited)
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – May 1, 1997 |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,080.60 | $ | 3.56 | $ | 1,000.00 | $ | 1,021.37 | $ | 3.46 | 0.69% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,079.20 | $ | 4.85 | $ | 1,000.00 | $ | 1,020.13 | $ | 4.71 | 0.94% | |||||||||||||||||
† | 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Forty Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 99.0% | ||||||||||
Airlines – 1.3% | ||||||||||
183,949 | United Continental Holdings, Inc.* | $ | 9,751,137 | |||||||
Auto Components – 2.5% | ||||||||||
225,826 | Delphi Automotive PLC | 19,215,534 | ||||||||
Biotechnology – 6.1% | ||||||||||
49,039 | Biogen, Inc.* | 19,808,814 | ||||||||
116,390 | Celgene Corp.* | 13,470,396 | ||||||||
27,662 | Regeneron Pharmaceuticals, Inc.* | 14,111,216 | ||||||||
47,390,426 | ||||||||||
Capital Markets – 4.8% | ||||||||||
540,023 | Charles Schwab Corp. | 17,631,751 | ||||||||
662,162 | E*TRADE Financial Corp.* | 19,831,752 | ||||||||
37,463,503 | ||||||||||
Commercial Banks – 2.0% | ||||||||||
352,564 | US Bancorp | 15,301,278 | ||||||||
Construction Materials – 2.4% | ||||||||||
220,670 | Vulcan Materials Co. | 18,520,833 | ||||||||
Diversified Financial Services – 2.0% | ||||||||||
69,847 | Intercontinental Exchange, Inc. | 15,618,488 | ||||||||
Energy Equipment & Services – 1.3% | ||||||||||
164,272 | Baker Hughes, Inc. | 10,135,582 | ||||||||
Health Care Equipment & Supplies – 2.1% | ||||||||||
902,634 | Boston Scientific Corp.* | 15,976,622 | ||||||||
Hotels, Restaurants & Leisure – 9.6% | ||||||||||
33,109 | Chipotle Mexican Grill, Inc.* | 20,030,614 | ||||||||
189,800 | Las Vegas Sands Corp. | 9,977,786 | ||||||||
341,965 | Norwegian Cruise Line Holdings, Ltd.* | 19,163,718 | ||||||||
466,380 | Starbucks Corp. | 25,004,964 | ||||||||
74,177,082 | ||||||||||
Industrial Conglomerates – 3.1% | ||||||||||
895,309 | General Electric Co. | 23,788,360 | ||||||||
Information Technology Services – 3.6% | ||||||||||
298,016 | MasterCard, Inc. – Class A | 27,858,536 | ||||||||
Insurance – 2.8% | ||||||||||
216,646 | Aon PLC | 21,595,273 | ||||||||
Internet & Catalog Retail – 6.5% | ||||||||||
51,376 | Amazon.com, Inc.* | 22,301,808 | ||||||||
67,242 | Ctrip.com International, Ltd. (ADR)* | 4,883,114 | ||||||||
20,461 | Priceline Group, Inc.* | 23,558,181 | ||||||||
50,743,103 | ||||||||||
Internet Software & Services – 11.7% | ||||||||||
253,033 | Alibaba Group Holding, Ltd. (ADR)* | 20,817,025 | ||||||||
63,523 | CoStar Group, Inc.* | 12,784,639 | ||||||||
195,222 | Facebook, Inc. – Class A* | 16,743,215 | ||||||||
58,199 | Google, Inc. – Class C | 30,293,162 | ||||||||
48,223 | LinkedIn Corp. – Class A* | 9,964,318 | ||||||||
90,602,359 | ||||||||||
Pharmaceuticals – 9.3% | ||||||||||
231,001 | Endo International PLC* | 18,399,230 | ||||||||
130,744 | Valeant Pharmaceuticals International, Inc. (U.S. Shares)* | 29,044,779 | ||||||||
514,518 | Zoetis, Inc. | 24,810,058 | ||||||||
72,254,067 | ||||||||||
Professional Services – 2.8% | ||||||||||
491,160 | Nielsen NV | 21,989,233 | ||||||||
Real Estate Investment Trusts (REITs) – 2.6% | ||||||||||
246,576 | Crown Castle International Corp. | 19,800,053 | ||||||||
Road & Rail – 2.7% | ||||||||||
130,817 | Canadian Pacific Railway, Ltd. (U.S. Shares) | 20,960,808 | ||||||||
Semiconductor & Semiconductor Equipment – 3.0% | ||||||||||
244,708 | ARM Holdings PLC (ADR) | 12,056,763 | ||||||||
118,224 | NXP Semiconductor NV* | 11,609,597 | ||||||||
23,666,360 | ||||||||||
Software – 6.8% | ||||||||||
308,581 | Adobe Systems, Inc.* | 24,998,147 | ||||||||
76,536 | NetSuite, Inc.* | 7,022,178 | ||||||||
295,656 | Salesforce.com, Inc.* | 20,586,527 | ||||||||
52,606,852 | ||||||||||
Specialty Retail – 7.1% | ||||||||||
542,873 | Lowe’s Cos., Inc. | 36,356,205 | ||||||||
277,175 | TJX Cos., Inc. | 18,340,670 | ||||||||
54,696,875 | ||||||||||
Technology Hardware, Storage & Peripherals – 2.9% | ||||||||||
182,489 | Apple, Inc. | 22,888,683 | ||||||||
Total Common Stocks (cost $610,813,983) | 767,001,047 | |||||||||
Investment Companies – 2.0% | ||||||||||
Money Markets – 2.0% | ||||||||||
15,788,000 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ (cost $15,788,000) | 15,788,000 | ||||||||
Total Investments (total cost $626,601,983) – 101.0% | 782,789,047 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.0)% | (7,724,686) | |||||||||
Net Assets – 100% | $ | 775,064,361 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 683,416,961 | 87 | .3% | ||||
Canada | 50,005,587 | 6 | .4 | |||||
China | 25,700,139 | 3 | .3 | |||||
United Kingdom | 12,056,763 | 1 | .5 | |||||
Netherlands | 11,609,597 | 1 | .5 | |||||
Total | $ | 782,789,047 | 100 | .0% | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Russell 1000® Growth Index | Measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
ADR | American Depositary Receipt | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
°° | Rate shown is the 7-day yield as of June 30, 2015. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | |||||||||||||||
Balance | Balance | Realized | Dividend | Value | ||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | ||||||||||
Janus Aspen Forty Portfolio | ||||||||||||||||
Janus Cash Liquidity Fund LLC | 18,546,315 | 178,635,584 | (181,393,899) | 15,788,000 | $– | $13,428 | $15,788,000 | |||||||||
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Forty Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Common Stocks | $767,001,047 | $ – | $– | |||||
Investment Companies | – | 15,788,000 | – | |||||
Total Assets | $767,001,047 | $15,788,000 | $– | |||||
8 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Forty | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 626,601,983 | ||||||||
Unaffiliated investments, at value | $ | 767,001,047 | ||||||||
Affiliated investments, at value | 15,788,000 | |||||||||
Cash | 265 | |||||||||
Non-interested Trustees’ deferred compensation | 15,644 | |||||||||
Receivables: | ||||||||||
Portfolio shares sold | 33,197 | |||||||||
Dividends | 328,367 | |||||||||
Dividends from affiliates | 1,809 | |||||||||
Foreign dividend tax reclaim | 113,759 | |||||||||
Other assets | 694 | |||||||||
Total Assets | 783,282,782 | |||||||||
Liabilities: | ||||||||||
Payables: | ||||||||||
Portfolio shares repurchased | 7,446,156 | |||||||||
Advisory fees | 430,052 | |||||||||
Portfolio administration fees | 6,286 | |||||||||
Transfer agent fees and expenses | 529 | |||||||||
12b-1 Distribution and shareholder servicing fees | 104,856 | |||||||||
Non-interested Trustees’ fees and expenses | 5,212 | |||||||||
Non-interested Trustees’ deferred compensation fees | 15,644 | |||||||||
Accrued expenses and other payables | 209,686 | |||||||||
Total Liabilities | 8,218,421 | |||||||||
Net Assets | $ | 775,064,361 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 531,918,410 | ||||||||
Undistributed net investment income/(loss) | (333,618) | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 87,289,731 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 156,189,838 | |||||||||
Total Net Assets | $ | 775,064,361 | ||||||||
Net Assets - Institutional Shares | $ | 280,486,531 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 8,009,576 | |||||||||
Net Asset Value Per Share | $ | 35.02 | ||||||||
Net Assets - Service Shares | $ | 494,577,830 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 14,623,576 | |||||||||
Net Asset Value Per Share | $ | 33.82 |
See Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Statement of Operations
Janus Aspen | ||||||
Forty | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Dividends | $ | 3,132,534 | ||||
Dividends from affiliates | 13,428 | |||||
Other income | 413 | |||||
Foreign tax withheld | (56,641) | |||||
Total Investment Income | 3,089,734 | |||||
Expenses: | ||||||
Advisory fees | 2,636,416 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 623,031 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,381 | |||||
Service Shares | 1,099 | |||||
Shareholder reports expense | 23,494 | |||||
Registration fees | 18,846 | |||||
Custodian fees | 11,280 | |||||
Professional fees | 18,210 | |||||
Non-interested Trustees’ fees and expenses | 10,548 | |||||
Portfolio administration fees | 30,962 | |||||
Other expenses | 31,834 | |||||
Total Expenses | 3,407,101 | |||||
Net Expenses | 3,407,101 | |||||
Net Investment Income/(Loss) | (317,367) | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 87,593,385 | |||||
Total Net Realized Gain/(Loss) on Investments | 87,593,385 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (25,018,667) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (25,018,667) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 62,257,351 |
See Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Forty | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (317,367) | $ | (637,518) | ||||||
Net realized gain/(loss) on investments | 87,593,385 | 160,492,743 | ||||||||
Change in unrealized net appreciation/depreciation | (25,018,667) | (96,604,872) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 62,257,351 | 63,250,353 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | – | (503,982) | ||||||||
Service Shares | – | (154,665) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (57,445,111) | (93,285,383) | ||||||||
Service Shares | (102,554,820) | (152,735,352) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (159,999,931) | (246,679,382) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 18,488,465 | 19,546,852 | ||||||||
Service Shares | 20,855,302 | 25,026,559 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 57,445,111 | 93,789,365 | ||||||||
Service Shares | 102,554,820 | 152,890,017 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (61,663,379) | (99,632,827) | ||||||||
Service Shares | (56,672,623) | (98,791,422) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 81,007,696 | 92,828,544 | ||||||||
Net Increase/(Decrease) in Net Assets | (16,734,884) | (90,600,485) | ||||||||
Net Assets: | ||||||||||
Beginning of period | 791,799,245 | 882,399,730 | ||||||||
End of period | $ | 775,064,361 | $ | 791,799,245 | ||||||
Undistributed Net Investment Income/(Loss) | $ | (333,618) | $ | (16,251) |
See Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Forty Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $40.27 | $53.34 | $40.95 | $33.22 | $35.74 | $33.61 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.02(1) | 0.03(1) | 0.38 | 0.47 | 0.23 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 3.43 | 3.08 | 12.34 | 7.54 | (2.62) | 2.06 | ||||||||||||||||||||
Total from Investment Operations | 3.45 | 3.11 | 12.72 | 8.01 | (2.39) | 2.25 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | – | (0.09) | (0.33) | (0.28) | (0.13) | (0.12) | ||||||||||||||||||||
Distributions (from capital gains) | (8.70) | (16.09) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (8.70) | (16.18) | (0.33) | (0.28) | (0.13) | (0.12) | ||||||||||||||||||||
Net Asset Value, End of Period | $35.02 | $40.27 | $53.34 | $40.95 | $33.22 | $35.74 | ||||||||||||||||||||
Total Return* | 8.06% | 8.73% | 31.23% | 24.16% | (6.69)% | 6.72% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $280,487 | $299,546 | $355,429 | $488,374 | $459,459 | $567,322 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $308,734 | $307,359 | $491,231 | $512,799 | $518,818 | $553,994 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.69% | 0.57% | 0.55% | 0.55% | 0.70% | 0.67% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.69% | 0.57% | 0.55% | 0.55% | 0.70% | 0.67% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.07% | 0.07% | 0.31% | 1.03% | 0.56% | 0.52% | ||||||||||||||||||||
Portfolio Turnover Rate | 30% | 46% | 61% | 10% | 46% | 36% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Forty Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $39.21 | $52.40 | $40.28 | $32.72 | $35.24 | $33.17 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | (0.03)(1) | (0.07)(1) | –(2) | 0.31 | 0.09 | 0.07 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 3.34 | 2.99 | 12.38 | 7.47 | (2.52) | 2.08 | ||||||||||||||||||||
Total from Investment Operations | 3.31 | �� | 2.92 | 12.38 | 7.78 | (2.43) | 2.15 | |||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | – | (0.02) | (0.26) | (0.22) | (0.09) | (0.08) | ||||||||||||||||||||
Distributions (from capital gains) | (8.70) | (16.09) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (8.70) | (16.11) | (0.26) | (0.22) | (0.09) | (0.08) | ||||||||||||||||||||
Net Asset Value, End of Period | $33.82 | $39.21 | $52.40 | $40.28 | $32.72 | $35.24 | ||||||||||||||||||||
Total Return* | 7.92% | 8.47% | 30.89% | 23.82% | (6.91)% | 6.48% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $494,578 | $492,253 | $526,971 | $471,002 | $417,408 | $532,645 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $505,296 | $493,575 | $486,845 | $468,967 | $475,743 | $567,062 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.94% | 0.82% | 0.81% | 0.80% | 0.95% | 0.92% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.94% | 0.82% | 0.81% | 0.80% | 0.95% | 0.92% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | (0.17)% | (0.17)% | 0.04% | 0.81% | 0.31% | 0.25% | ||||||||||||||||||||
Portfolio Turnover Rate | 30% | 46% | 61% | 10% | 46% | 36% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. | |
(2) | Less than $0.005 on a per share basis. |
See Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Forty Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. The Portfolio is classified as nondiversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
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Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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.
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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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending 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. As a result, financial markets in the EU have been subject to increased volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity
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Notes to Financial Statements (unaudited) (continued)
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.
Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Portfolio’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolio invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
3. | Investment Advisory Agreements and Other Transactions with Affiliates |
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s “base” fee rate prior to any performance adjustment (expressed as an annual rate).
Base Fee | ||||||
Portfolio | Rate (%) | |||||
Janus Aspen Forty Portfolio | 0.64 | |||||
The investment advisory fee rate is determined by calculating a base fee (shown in the table above) 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, as shown below:
Portfolio | Benchmark Index | |||||
Janus Aspen Forty Portfolio | Russell 1000® Growth Index | |||||
The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets during the applicable performance measurement period.
The Portfolio’s prospectuses and statements 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.
Performance Adjusted | ||||||
Investment Advisory | ||||||
Portfolio | Fee Rate (%) | |||||
Janus Aspen Forty Portfolio | 0.66 | |||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may
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exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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.
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Notes to Financial Statements (unaudited) (continued)
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Net Tax | ||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||
Janus Aspen Forty Portfolio | $627,074,914 | $162,802,979 | $(7,088,846) | $155,714,133 | ||||||
5. | Capital Share Transactions |
Janus Aspen Forty Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 431,313 | 438,521 | ||||||||
Reinvested dividends and distributions | 1,601,927 | 2,552,786 | ||||||||
Shares repurchased | (1,462,719) | (2,216,104) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 570,521 | 775,203 | ||||||||
Shares Outstanding, Beginning of Period | 7,439,055 | 6,663,852 | ||||||||
Shares Outstanding, End of Period | 8,009,576 | 7,439,055 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 498,207 | 568,799 | ||||||||
Reinvested dividends and distributions | 2,961,444 | 4,268,286 | ||||||||
Shares repurchased | (1,391,171) | (2,338,393) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 2,068,480 | 2,498,692 | ||||||||
Shares Outstanding, Beginning of Period | 12,555,096 | 10,056,404 | ||||||||
Shares Outstanding, End of Period | 14,623,576 | 12,555,096 |
6. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen Forty Portfolio | $234,303,278 | $303,571,142 | $– | $– | ||||||
7. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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Additional Information (unaudited) (continued)
underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94122 | 109-24-81115 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Global Allocation Portfolio – Moderate
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Global Allocation Portfolio – Moderate
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Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
PORTFOLIO SNAPSHOT Broad, actively managed global diversification allows flexibility to capture the best performing asset classes regardless of geographies. In addition, we seek to dampen the Portfolio’s overall volatility through the use of alternatives. This, coupled with access to Janus Capital Group’s innovative investment expertise and solutions, should provide superior risk-adjusted returns over the long term. | Enrique Chang co-portfolio manager | Ashwin Alankar co-portfolio manager |
PERFORMANCE OVERVIEW
Janus Aspen Global Allocation Portfolio – Moderate’s Institutional Shares and Service Shares returned 1.11% and 1.13%, respectively, for the six-month period ended June 30, 2015. This compares with a return of 2.66% for its primary benchmark, the MSCI All Country World Index, and a 0.39% return for its secondary benchmark, the Global Moderate Allocation Index, an internally calculated, hypothetical combination of total returns from the MSCI All Country World Index (60%) and the Barclays Global Aggregate Bond Index (40%).
MARKET ENVIRONMENT
Global equities finished the six-month period mixed. European markets were weighed down by serious questions about Greece’s ability to service its massive debt load. The dispute overshadowed signs of stabilization in the remainder of the region’s periphery. Major U.S. indices reached record levels in early March, only to pull back on concerns that yet another strong jobs report would entice the Federal Reserve (Fed) to raise interest rates as early as June. Those concerns were later allayed as the Fed’s late-month statement included downwardly revised growth expectations, which investors interpreted as dovish. Additional highs were reached later in the spring, but they did so in an understated fashion as both volume and volatility remained muted. U.S. equities were also not immune to selloffs in late June due to fears about Greece. In emerging markets, the story centered on China, namely the government’s attempts to catalyze sluggish growth and combat equity market excesses.
Despite a volatile path, fixed income markets finished largely flat for the period. Yields on longer-dated U.S. Treasurys initially contracted on tepid economic data, before selling off in the spring. That yield curve steepening paled in comparison to the sell-off in German bunds over the same timeframe.
PERFORMANCE DISCUSSION
Janus Aspen Global Allocation Portfolio – Moderate invests across a broad set of Janus, INTECH and Perkins funds that span a wide range of global asset categories with a base allocation of 45% to 65% equity investments, 30% to 45% fixed income investments and 5% to 20% alternative investments that are rebalanced quarterly. The Portfolio is structured as a “fund of funds” portfolio that provides investors with broad, diversified exposure to various types of investments with an emphasis on managing investment risk.
Individual detractors were led by Janus Global Bond Fund, Perkins Large Cap Value Fund and Janus Contrarian Fund. Janus Global Bond Fund was a large detractor from absolute performance due to its large position size within the fund and the weaker overall global bond market. Perkins Large Cap Value Fund was also a top detractor due to its exposure to large-cap value stocks, which fell during the period. Janus Contrarian Fund was another top detractor due to stock selection.
Contributors were led by Janus International Equity Fund, INTECH International Managed Volatility Fund and Janus Overseas Fund, as a result of strong performance by international markets during the period.
OUTLOOK
In recent weeks global markets have placed much emphasis on Greece’s debt issues, and also on the spillover effect that a sharp drop in Chinese equities could have on the country’s broader economy. We continue to monitor both situations, and do not take any potential source of market risk for granted. However, we believe the rest of Europe’s economy is generally improving, and that a potential Greek exit from the eurozone is unlikely to become a systemic risk. In China, the amount of leverage some investors have been using to buy equities is a concern and a deleveraging process could cause some short term pain, but we believe the Chinese government
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Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
still has many tools at its disposal to support the economy and thwart a long-term crisis.
We believe the communication, timing and level of Fed interest rate hikes is a bigger potential risk that investors have become less focused on in recent weeks, but that should bear greater attention. Depending on how the Fed goes about its campaign to tighten monetary policy, it could cause assets to re-price quickly.
While each of these macroeconomic events could cause greater volatility in the days ahead, a more volatile market environment is a challenge we are willing to accept. With greater volatility, the greater the benefits of broad diversification across asset classes and risk factors. As such, we expect the value-add of our funds to be particularly attractive in a macro-economic backdrop where uncertainty is potentially lurking in many corners.
Thank you for investing in Janus Aspen Global Allocation Portfolio – Moderate.
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(unaudited)
Janus Aspen Global Allocation Portfolio – Moderate (% of Net Assets)
As of June 30, 2015
Janus Global Bond Fund – Class N Shares | 24 | .5% | ||
Janus International Equity Fund – Class N Shares | 12 | .1 | ||
Perkins Large Cap Value Fund – Class N Shares | 9 | .0 | ||
INTECH U.S. Managed Volatility Fund – Class N Shares | 8 | .2 | ||
Janus Diversified Alternatives Fund – Class N Shares | 8 | .0 | ||
INTECH International Managed Volatility Fund – Class I Shares | 7 | .3 | ||
Janus Adaptive Global Allocation Fund – Class N Shares | 5 | .1 | ||
Janus Short-Term Bond Fund – Class N Shares | 4 | .3 | ||
Janus Overseas Fund – Class N Shares | 3 | .4 | ||
Janus Global Real Estate Fund – Class I Shares | 2 | .8 | ||
Janus Triton Fund – Class N Shares | 2 | .6 | ||
Janus Emerging Markets Fund – Class I Shares | 2 | .4 | ||
Perkins Small Cap Value Fund – Class N Shares | 2 | .2 | ||
Janus Fund – Class N Shares | 1 | .7 | ||
Janus Forty Fund – Class N Shares | 1 | .7 | ||
Janus Twenty Fund – Class D Shares | 1 | .4 | ||
Janus Aspen Global Research Portfolio – Institutional Shares | 1 | .3 | ||
Janus Contrarian Fund – Class I Shares | 1 | .1 | ||
Janus Global Select Fund – Class I Shares | 0 | .9 | ||
Janus Asia Equity Fund – Class I Shares | 0 | .3 | ||
Janus Aspen Global Allocation Portfolio - Moderate At A Glance
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (0.3)%.
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Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||
Fiscal | One | Since | Total Annual Fund | Net Annual Fund | |||||||
Year-to-Date | Year | Inception* | Operating Expenses | Operating Expenses | |||||||
Janus Aspen Global Allocation Portfolio – Moderate – Institutional Shares | 1.11% | –0.88% | 8.78% | 1.80% | 1.02% | ||||||
Janus Aspen Global Allocation Portfolio – Moderate – Service Shares | 1.13% | –0.80% | 8.69% | 1.89% | 1.14% | ||||||
MSCI All Country World IndexSM | 2.66% | 0.71% | 10.77% | ||||||||
Global Moderate Allocation Index | 0.39% | –2.42% | 6.15% | ||||||||
Morningstar Quartile – Institutional Shares | – | 2nd | 1st | ||||||||
Morningstar Ranking – based on total returns for World Allocation Funds | – | 229/571 | 75/440 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
Net expense ratios reflect the expense waiver, if any, Janus Capital has contractually agreed to through May 1, 2016.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, portfolio holdings and other details.
Performance of the Janus Aspen Global Allocation Portfolio depends on that of the underlying funds. They are subject to the volatility of the financial markets. Because Janus Capital is the adviser to the Fund and to the underlying affiliated funds held within the Fund, it is subject to certain potential conflicts of interest.
Returns shown do not represent actual returns since they do not include insurance charges. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2015 Morningstar, Inc. All Rights Reserved.
See important disclosures on the next page.
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(unaudited)
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – August 31, 2011 |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15)†† | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,011.10 | $ | 2.24 | $ | 1,000.00 | $ | 1,022.56 | $ | 2.26 | 0.45% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,011.30 | $ | 1.99 | $ | 1,000.00 | $ | 1,022.81 | $ | 2.01 | 0.40% | |||||||||||||||||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 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. | |
†† | Ratios do not include expenses of the underlying funds and/or investment companies in which the Portfolio invests. |
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Janus Aspen Global Allocation Portfolio – Moderate
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Investment Companies£ – 100.3% | ||||||||||
Alternative Funds – 8.0% | ||||||||||
94,969 | Janus Diversified Alternatives Fund – Class N Shares | $ | 953,492 | |||||||
953,492 | ||||||||||
Equity Funds – 63.5% | ||||||||||
109,499 | INTECH International Managed Volatility Fund – Class I Shares | 875,989 | ||||||||
109,638 | INTECH U.S. Managed Volatility Fund – Class N Shares | 985,649 | ||||||||
62,462 | Janus Adaptive Global Allocation Fund – Class N Shares* | 605,880 | ||||||||
3,649 | Janus Asia Equity Fund – Class I Shares | 37,655 | ||||||||
3,607 | Janus Aspen Global Research Portfolio – Institutional Shares | 155,973 | ||||||||
6,600 | Janus Contrarian Fund – Class I Shares | 135,953 | ||||||||
32,624 | Janus Emerging Markets Fund – Class I Shares | 281,218 | ||||||||
6,030 | Janus Forty Fund – Class N Shares | 199,227 | ||||||||
5,223 | Janus Fund – Class N Shares | 204,310 | ||||||||
30,240 | Janus Global Real Estate Fund – Class I Shares | 341,112 | ||||||||
7,900 | Janus Global Select Fund – Class I Shares | 112,103 | ||||||||
113,194 | Janus International Equity Fund – Class N Shares | 1,453,413 | ||||||||
12,115 | Janus Overseas Fund – Class N Shares | 402,963 | ||||||||
12,343 | Janus Triton Fund – Class N Shares | 314,748 | ||||||||
2,756 | Janus Twenty Fund – Class D Shares | 162,969 | ||||||||
66,498 | Perkins Large Cap Value Fund – Class N Shares | 1,072,611 | ||||||||
11,870 | Perkins Small Cap Value Fund – Class N Shares | 264,115 | ||||||||
7,605,888 | ||||||||||
Fixed Income Funds – 28.8% | ||||||||||
306,937 | Janus Global Bond Fund – Class N Shares | 2,940,455 | ||||||||
169,595 | Janus Short-Term Bond Fund – Class N Shares | 515,568 | ||||||||
3,456,023 | ||||||||||
Total Investments (total cost $12,110,592) – 100.3% | 12,015,403 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.3)% | (40,916) | |||||||||
Net Assets – 100% | $ | 11,974,487 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
6 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Barclays Global Aggregate Bond Index | A broad-based measure of the global investment grade fixed-rate debt markets. | |
Global Moderate Allocation Index | An internally calculated, hypothetical combination of total returns from the MSCI All Country World IndexSM (60%) and Barclays Global Aggregate Bond Index (40%). | |
MSCI All Country World IndexSM | An unmanaged, free float-adjusted market capitalization weighted index composed of stocks of companies located in countries throughout the world. It is designed to measure equity market performance in global developed and emerging markets. The index includes reinvestment of dividends, net of foreign withholding taxes. |
* | Non-income producing security. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Global Allocation Portfolio – Moderate | |||||||||||||||||||||
INTECH International Managed Volatility Fund – Class I Shares | 105,995 | 14,153 | (10,649) | 109,499 | $ | (11,058) | $ | – | $ | 875,989 | |||||||||||
INTECH U.S. Managed Volatility Fund – Class N Shares | 47,078 | 68,463 | (5,903) | 109,638 | (19,602) | – | 985,649 | ||||||||||||||
INTECH U.S. Managed Volatility Fund II – Class I Shares | 21,247 | 1,789 | (23,036) | – | 1,328 | 1,481 | – | ||||||||||||||
Janus Adaptive Global Allocation Fund – Class N Shares | – | 62,465 | (3) | 62,462 | – | – | 605,880 | ||||||||||||||
Janus Asia Equity Fund – Class I Shares | 3,452 | 795 | (598) | 3,649 | 63 | – | 37,655 | ||||||||||||||
Janus Aspen Global Research Portfolio – Institutional Shares | 9,015 | 1,143 | (6,551) | 3,607 | 35,880 | 1,620 | 155,973 | ||||||||||||||
Janus Contrarian Fund – Class I Shares | 6,413 | 741 | (554) | 6,600 | (598) | – | 135,953 | ||||||||||||||
Janus Diversified Alternatives Fund – Class N Shares | 91,318 | 14,261 | (10,610) | 94,969 | 702 | – | 953,492 | ||||||||||||||
Janus Emerging Markets Fund – Class I Shares | 31,440 | 4,726 | (3,542) | 32,624 | (1,287) | – | 281,218 | ||||||||||||||
Janus Forty Fund – Class N Shares | 5,796 | 980 | (746) | 6,030 | (7,286) | – | 199,227 | ||||||||||||||
Janus Fund – Class N Shares | 5,121 | 414 | (312) | 5,223 | (1,154) | – | 204,310 | ||||||||||||||
Janus Global Bond Fund – Class N Shares | 311,168 | 48,797 | (53,028) | 306,937 | (24,530) | 29,926 | 2,940,455 | ||||||||||||||
Janus Global Real Estate Fund – Class I Shares | 29,032 | 4,334 | (3,125) | 30,241 | 410 | 1,776 | 341,112 | ||||||||||||||
Janus Global Select Fund – Class I Shares | 19,993 | 2,286 | (14,379) | 7,900 | 28,631 | – | 112,103 | ||||||||||||||
Janus International Equity Fund – Class N Shares | 109,503 | 15,109 | (11,418) | 113,194 | (9,763) | – | 1,453,413 | ||||||||||||||
Janus Overseas Fund – Class N Shares | 11,680 | 1,737 | (1,302) | 12,115 | (4,432) | – | 402,963 | ||||||||||||||
Janus Short-Term Bond Fund – Class N Shares | 161,680 | 27,658 | (19,743) | 169,595 | (532) | 3,562 | 515,568 | ||||||||||||||
Janus Triton Fund – Class N Shares | 12,031 | 1,293 | (981) | 12,343 | 217 | – | 314,748 | ||||||||||||||
Janus Twenty Fund – Class D Shares | 2,689 | 273 | (206) | 2,756 | (1,164) | – | 162,969 | ||||||||||||||
Perkins Large Cap Value Fund – Class N Shares | 64,455 | 8,129 | (6,086) | 66,498 | (7,737) | – | 1,072,611 | ||||||||||||||
Perkins Small Cap Value Fund – Class N Shares | 11,510 | 1,461 | (1,101) | 11,870 | (4,481) | – | 264,115 | ||||||||||||||
Total | $ | (26,393) | $ | 38,365 | $ | 12,015,403 | |||||||||||||||
Janus Aspen Series | 7
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Global Allocation Portfolio – Moderate | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Investment Companies | ||||||||
Alternative Funds | $ 953,492 | $– | $– | |||||
Equity Funds | 7,605,888 | – | – | |||||
Fixed Income Funds | 3,456,023 | – | – | |||||
Total Assets | $12,015,403 | $– | $– | |||||
8 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
Janus Aspen Global | ||||||||||
Allocation Portfolio - | ||||||||||
As of June 30, 2015 (unaudited) | Moderate | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 12,110,592 | ||||||||
Affiliated investments, at value | 12,015,403 | |||||||||
Non-interested Trustees’ deferred compensation | 240 | |||||||||
Receivables: | ||||||||||
Investments sold | 492 | |||||||||
Portfolio shares sold | 12,412 | |||||||||
Dividends from affiliates | 660 | |||||||||
Due from adviser | 12,559 | |||||||||
Total Assets | 12,041,766 | |||||||||
Liabilities: | ||||||||||
Payables: | ||||||||||
Portfolio shares repurchased | 22,434 | |||||||||
Advisory fees | 491 | |||||||||
Portfolio administration fees | 93 | |||||||||
Transfer agent fees and expenses | 182 | |||||||||
12b-1 Distribution and shareholder servicing fees | 2,440 | |||||||||
Non-interested Trustees’ fees and expenses | 75 | |||||||||
Non-interested Trustees’ deferred compensation fees | 240 | |||||||||
Accrued expenses and other payables | 41,324 | |||||||||
Total Liabilities | 67,279 | |||||||||
Net Assets | $ | 11,974,487 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 12,128,686 | ||||||||
Undistributed net investment income/(loss) | (46,197) | |||||||||
Undistributed net realized gain/(loss) from investments | (12,844) | |||||||||
Unrealized net appreciation/(depreciation) of investments and non-interested Trustees’ deferred compensation | (95,158) | |||||||||
Total Net Assets | $ | 11,974,487 | ||||||||
Net Assets - Institutional Shares | $ | 65,079 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 5,598 | |||||||||
Net Asset Value Per Share | $ | 11.63 | ||||||||
Net Assets - Service Shares | $ | 11,909,408 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 1,023,092 | |||||||||
Net Asset Value Per Share | $ | 11.64 |
See Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Statement of Operations
Janus Aspen Global | ||||||
Allocation Portfolio - | ||||||
For the period ended June 30, 2015 (unaudited) | Moderate | |||||
Investment Income: | ||||||
Dividends from affiliates | $ | 38,365 | ||||
Total Investment Income | 38,365 | |||||
Expenses: | ||||||
Advisory fees | 2,908 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 14,461 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 99 | |||||
Service Shares | 324 | |||||
Shareholder reports expense | 23,166 | |||||
Registration fees | 5,239 | |||||
Professional fees | 11,964 | |||||
Non-interested Trustees’ fees and expenses | 155 | |||||
Portfolio administration fees | 529 | |||||
Accounting systems fee expense | 12,393 | |||||
Other expenses | 149 | |||||
Total Expenses | 71,387 | |||||
Less: Excess Expense Reimbursement | (48,095) | |||||
Net Expenses | 23,292 | |||||
Net Investment Income/(Loss) | 15,073 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments in affiliates | (26,393) | |||||
Capital gain distributions from underlying funds | 66,884 | |||||
Total Net Realized Gain/(Loss) on Investments | 40,491 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments and non-interested Trustees’ deferred compensation | 57,777 | |||||
Total Change in Unrealized Net Appreciation/Depreciation | 57,777 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 113,341 |
See Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Global Allocation | ||||||||||
Portfolio - Moderate | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 15,073 | $ | 301,546 | ||||||
Net realized gain/(loss) from investments in affiliates | 40,491 | 482,183 | ||||||||
Change in unrealized net appreciation/depreciation | 57,777 | (433,026) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 113,341 | 350,703 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (326) | (2,009) | ||||||||
Service Shares | (60,709) | (308,870) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (2,781) | (3,271) | ||||||||
Service Shares | (497,196) | (230,552) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (561,012) | (544,702) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Service Shares | 1,629,701 | 3,431,668 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 3,107 | 5,280 | ||||||||
Service Shares | 557,905 | 539,422 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | – | (106,759) | ||||||||
Service Shares | (1,202,580) | (2,100,723) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 988,133 | 1,768,888 | ||||||||
Net Increase/(Decrease) in Net Assets | 540,462 | 1,574,889 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 11,434,025 | 9,859,136 | ||||||||
End of period | $ | 11,974,487 | $ | 11,434,025 | ||||||
Undistributed Net Investment Income/(Loss) | $ | (46,197) | $ | (235) |
See Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Financial Highlights
Institutional Shares
Janus Aspen Global Allocation | ||||||||||||||||||||||
For a share outstanding during the period ended June 30, 2015 (unaudited) and | Portfolio – Moderate | |||||||||||||||||||||
each year or period ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011(1) | |||||||||||||||||
Net Asset Value, Beginning of Period | $12.07 | $12.28 | $11.00 | $9.79 | $10.00 | |||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||
Net investment income/(loss) | 0.01(2) | 0.21(2) | 0.17 | 0.20 | 0.17 | |||||||||||||||||
Net realized and unrealized gain/(loss) | 0.13 | 0.19 | 1.47 | 1.32 | (0.21) | |||||||||||||||||
Total from Investment Operations | 0.14 | 0.40 | 1.64 | 1.52 | (0.04) | |||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||
Dividends (from net investment income) | (0.06) | (0.35) | (0.20) | (0.18) | (0.17) | |||||||||||||||||
Distributions (from capital gains) | (0.52) | (0.26) | (0.16) | (0.13) | – | |||||||||||||||||
Total Dividends and Distributions | (0.58) | (0.61) | (0.36) | (0.31) | (0.17) | |||||||||||||||||
Net Asset Value, End of Period | $11.63 | $12.07 | $12.28 | $11.00 | $9.79 | |||||||||||||||||
Total Return* | 1.11% | 3.20% | 14.90% | 15.63% | (0.38)% | |||||||||||||||||
Net Assets, End of Period (in thousands) | $65 | $64 | $165 | $144 | $125 | |||||||||||||||||
Average Net Assets for the Period (in thousands) | $66 | $126 | $154 | $137 | $123 | |||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||
Ratio of Gross Expenses**(3) | 1.26% | 1.06% | 2.92% | 24.54% | 69.84% | |||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)**(3) | 0.45% | 0.39% | 0.49% | 0.60% | 1.00% | |||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.16% | 1.71% | 1.45% | 1.87% | 5.27% | |||||||||||||||||
Portfolio Turnover Rate | 15% | 27% | 68% | 42% | 7% |
Service Shares
Janus Aspen Global Allocation | ||||||||||||||||||||||
For a share outstanding during the period ended June 30, 2015 (unaudited) | Portfolio – Moderate | |||||||||||||||||||||
and each year or period ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011(1) | |||||||||||||||||
Net Asset Value, Beginning of Period | $12.08 | $12.28 | $10.98 | $9.79 | $10.00 | |||||||||||||||||
Income/(Loss) from Investment Operations: | �� | |||||||||||||||||||||
Net investment income/(loss) | 0.02(2) | 0.35(2) | 0.16 | 0.17 | 0.17 | |||||||||||||||||
Net realized and unrealized gain/(loss) | 0.12 | 0.05 | 1.45 | 1.33 | (0.21) | |||||||||||||||||
Total from Investment Operations | 0.14 | 0.40 | 1.61 | 1.50 | (0.04) | |||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||
Dividends (from net investment income) | (0.06) | (0.34) | (0.15) | (0.18) | (0.17) | |||||||||||||||||
Distributions (from capital gains) | (0.52) | (0.26) | (0.16) | (0.13) | – | |||||||||||||||||
Total Dividends and Distributions | (0.58) | (0.60) | (0.31) | (0.31) | (0.17) | |||||||||||||||||
Net Asset Value, End of Period | $11.64 | $12.08 | $12.28 | $10.98 | $9.79 | |||||||||||||||||
Total Return* | 1.13% | 3.22% | 14.69% | 15.44% | (0.38)% | |||||||||||||||||
Net Assets, End of Period (in thousands) | $11,909 | $11,370 | $9,694 | $603 | $124 | |||||||||||||||||
Average Net Assets for the Period (in thousands) | $11,728 | $10,761 | $4,800 | $316 | $123 | |||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||
Ratio of Gross Expenses**(3) | 1.22% | 1.15% | 2.42% | 26.76% | 70.08% | |||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)**(3) | 0.40% | 0.47% | 0.66% | 0.73% | 1.00%(4) | |||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.26% | 2.78% | 2.58% | 2.78% | 5.28% | |||||||||||||||||
Portfolio Turnover Rate | 15% | 27% | 68% | 42% | 7% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Period from August 31, 2011 (inception date) through December 31, 2011. | |
(2) | Per share amounts are calculated based on average shares outstanding during the year or period. | |
(3) | Ratios do not include indirect expenses of the underlying funds and/or investment companies in which the Portfolio invests. | |
(4) | Pursuant to a contractual agreement, Janus waived certain fees and expenses during the period. The Ratio of Net Expenses (After Waivers and Expense Offsets) would be 1.25% without the waiver of these fees and expenses. |
See Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Global Allocation Portfolio – Moderate (the “Portfolio”) is a series fund. The Portfolio operates as a “fund of funds,” meaning substantially all of the Portfolio’s assets will be invested in other Janus funds (the “underlying funds”). The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. 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. 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.
Underlying Funds
The Portfolio invests in a variety of underlying funds to pursue a target allocation of equity investments, fixed-income securities, and alternative investments and may also invest in money market instruments or cash/cash equivalents. The Portfolio has a target allocation, which is how the Portfolio’s investments generally will be allocated among the major asset classes over the long term, as well as normal ranges, under normal market conditions, within which the Portfolio’s asset class allocations generally will vary over short-term periods. The Portfolio’s long-term expected average asset allocation is as follows: 55% to equity investments, 35% to fixed-income securities and money market instruments, and 10% to alternative investments. Additional details and descriptions of the investment objectives and strategies of each of the underlying funds are available in the Portfolio’s and underlying funds’ prospectuses. The Trustees of the underlying Janus funds may change the investment objectives or strategies of the underlying funds at any time without prior notice to fund shareholders.
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
The Portfolio’s net asset value (“NAV”) is calculated based upon the NAV of each of the underlying funds in which the Portfolio invests on the day of valuation. The NAV for each class of the underlying funds is computed by dividing the total value of securities and other assets allocated to the class, less liabilities allocated to that class, by the total number of shares outstanding for the class.
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 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.
The Portfolio classifies each of its investments in underlying funds as Level 1, without consideration as to the classification level of the specific investments held by the underlying funds.
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.
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is
Janus Aspen Series | 13
Table of Contents
Notes to Financial Statements (unaudited) (continued)
included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities held by the underlying funds 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. Any distributions from the underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Additionally, the Portfolio, as a shareholder in the underlying funds, will also indirectly bear its pro rata share of the expenses incurred by the underlying funds. 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.
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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | 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 | Contractual | |||||||||
Daily Net | Investment | |||||||||
Assets | Advisory | |||||||||
Portfolio | of the Portfolio | Fee (%) | ||||||||
Janus Aspen Global Allocation Portfolio - Moderate | All Asset Levels | 0.05 | ||||||||
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding any expenses of an underlying fund (acquired fund fees and expenses), 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,
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dividends, taxes, and extraordinary expenses, exceed the annual rate shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen Global Allocation Portfolio - Moderate | 0.14 | |||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s and the underlying funds’ transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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Notes to Financial Statements (unaudited) (continued)
As of June 30, 2015, shares of the Portfolio were owned by Janus Capital and/or other funds advised by Janus Capital, as indicated in the table below:
% of | % of | |||||||||
Class | Portfolio | |||||||||
Portfolio | Owned | Owned | ||||||||
Janus Aspen Global Allocation Portfolio - Moderate - Institutional Shares | 100 | % | 1 | % | ||||||
Janus Aspen Global Allocation Portfolio - Moderate - Service Shares | - | - | ||||||||
In addition, other 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).
3. | 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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Global Allocation Portfolio - Moderate | $ | 12,250,865 | $ | 172,996 | $ | (408,458) | $ | (235,462) | ||||||||||
4. | Capital Share Transactions |
Janus Aspen Global | ||||||||||
Allocation Portfolio- Moderate | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares: | ||||||||||
Shares sold | – | – | ||||||||
Reinvested dividends and distributions | 263 | 423 | ||||||||
Shares repurchased | – | (8,561) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 263 | (8,138) | ||||||||
Shares Outstanding, Beginning of Period | 5,335 | 13,473 | ||||||||
Shares Outstanding, End of Period | 5,598 | 5,335 | ||||||||
Transactions in Portfolio Shares – Service Shares: | ||||||||||
Shares sold | 133,047 | 276,900 | ||||||||
Reinvested dividends and distributions | 47,200 | 43,671 | ||||||||
Shares repurchased | (98,104) | (168,714) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 82,143 | 151,857 | ||||||||
Shares Outstanding, Beginning of Period | 940,949 | 789,092 | ||||||||
Shares Outstanding, End of Period | 1,023,092 | 940,949 |
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5. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen Global Allocation Portfolio - Moderate | $2,326,924 | $1,809,972 | $– | $– | ||||||
6. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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Additional Information (unaudited) (continued)
second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund��s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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Additional Information (unaudited) (continued)
quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Additional Information (unaudited) (continued)
Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Additional Information (unaudited) (continued)
Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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Additional Information (unaudited) (continued)
that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Useful Information About Your Portfolio Report (unaudited) (continued)
Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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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
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94026 | 109-24-81125 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Global Research Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Global Research Portfolio
1 | ||
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Table of Contents
Janus Aspen Global Research Portfolio (unaudited)
PORTFOLIO SNAPSHOT We are bottom-up, fundamental investors. We believe a deep, independent research process and high-conviction investing will deliver exceptional results. | Team-Based Approach Led by Carmel Wellso, Director of Research |
PERFORMANCE OVERVIEW
Janus Aspen Global Research Portfolio’s Institutional Shares and Service Shares returned 4.74% and 4.59%, respectively, over the six-month period ended June 30, 2015, while its primary benchmark, the MSCI World Index, and its secondary benchmark, the MSCI All Country World Index, returned 2.63% and 2.66%, respectively.
MARKET ENVIRONMENT
Global equities finished the six-month period decidedly mixed. European markets were weighed down by serious questions about Greece’s ability to service its massive debt load. The dispute overshadowed signs of stabilization in the remainder of the region’s periphery. The anxiety accelerated toward the end of June as it became apparent that the country would not make a payment due to the International Monetary Fund on June 30. Consequently, the continent’s major indices finished deep in the red.
Conditions in Europe contributed to market angst as prices within the eurozone entered deflationary territory. European stocks regained favor upon the European Central Bank’s (ECB) announcement that it would launch its own version of quantitative easing by purchasing 60 billion euros in bonds monthly for a total exceeding 1 trillion euros. As a consequence, yields on many short- and mid-term bonds of eurozone nations entered negative territory and the region’s stocks took off.
Major U.S. indices reached record levels in early March, only to pull back on concerns that yet another strong jobs report would entice the Federal Reserve (Fed) to raise interest rates as early as June. Those concerns were later allayed as the Fed’s late-month statement included downwardly revised growth expectations, which investors interpreted as dovish.
Additional highs were reached later in the spring, but they did so in an understated fashion as both volume and volatility remained muted. The first quarter earnings season mostly exceeded expectations, but enthusiasm was tempered as valuations were considered stretched compared to long-term averages. Stock gains were also aided by favorable economic data that indicated the factors contributing to the winter slowdown were indeed transitory.
In emerging markets, while Latin American indices largely gained, the story centered on China, namely the government’s attempts to catalyze sluggish growth and combat equity market excesses.
PERFORMANCE DISCUSSION
Our seven global sector teams employ a bottom-up, fundamental approach to identify what we consider the best global opportunities. Our analysts take a long-term view of companies with a focus on value creation and duration of growth, which lead to high returns on invested capital. The Portfolio directly captures the insights of our teams through their highest-conviction ideas. In building a diversified portfolio, we seek to minimize macroeconomic risks while generating superior performance over longer periods.
Our stock selection in the financial and health care sectors were the top contributors to relative performance during the period. Within the health care sector, Pharmacyclics and Valeant Pharmaceuticals led absolute contributors. Pharmacyclics’s stock surged in January on consensus-beating earnings from the prior quarter as well as upbeat guidance for its blood-cancer drug, Imbruvica. It was then announced that AbbVie would acquire the company for $21 billion. This commercial-stage biotechnology company is focused on discovering and developing innovative small-molecule drugs for the treatment of cancer and immune-mediated diseases.
Valeant’s stock was up after the company announced better-than-expected earnings and raised its guidance after completing its acquisition of Salix Pharmaceuticals, a maker of gastrointestinal treatments. The acquisition is another example of the same successful playbook Valeant has been running for much of the past decade. We feel this strategy has set the company apart from many of its competitors. High research and development costs have been value destructive for many pharmaceutical companies, but Valeant has largely avoided high R&D spending by making a series of value accretive acquisitions of pharmaceutical companies with lower product risk. Valeant then takes many of the costs out of those companies and essentially acts as a distributor of a
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Janus Aspen Global Research Portfolio (unaudited)
number of valuable drugs, rather than a company dependent on new drug discovery for growth.
Beyond the health care sector, Apple was also a top contributor. The electronic-device company benefited from positive sentiment in the aftermath of its astounding fourth quarter earnings results. In February, the company’s stock reached a new record, pushing its market capitalization above $700 billion. We think Apple still has strong opportunities as its ecosystem continues to attract new and potentially long-term subscribers onto its platform and increase its addressable market as lower price points draw new customers. We also appreciate management’s commitment to returning capital to shareholders via dividends and stock repurchases. While we still favor the stock, given Apple’s large representation of the benchmark, we continue to adjust our exposure to the stock to manage single-company risk.
Our industrial holdings, led lower by Canadian Pacific and United Continental, were the most significant relative detractors during the period, followed by the consumer sector. Railroad operator Canadian Pacific’s performance suffered as the transportation sector – and especially railroads – fell out of favor with the market. Investors have perhaps, at least in our view, tied railroads too closely to the fate of North American crude. We, on the other hand, are attracted to Canadian Pacific in part due to the diverse line of products it carries. During the period, the company released an earnings report which beat consensus on both revenue and earnings per share. The company also exhibited continued improvement in rationalizing costs. Later in the period, the stock was punished when an important coal customer said it would be idling several mines.
The period was not kind to airlines, which led to United Continental Holdings becoming one of the period’s largest detractors. The company reporting consensus-beating first quarter earnings was not enough to outweigh the industry-wide concerns over capacity. During the period, a leading competitor announced that it was slightly raising capacity, igniting fear that the recent discipline exercised by the industry leaders may possibly fray. While the U.S. airline fleet is roughly 5% below its 2007 peak, available seat miles (ASM) – a measure combining total seats and miles flown – has crept up in recent quarters. Perspective is needed here as, in our view, this increase is very meager when compared to previous cycles when the industry subjected itself to debilitating overcapacity.
MarkWest Energy Partners was another detractor. The master limited partnership (MLP) gathers and processes natural gas and also transports and stores natural gas liquids (NGLs). Rising rates were a headwind for real estate investment trusts (REITs) and MLPs such as MarkWest during the period. We added to our position on the weakness. While higher interest rates will increase borrowing costs for MarkWest in the short term, we believe the company’s return on capital is strong enough that it can still continue to grow. MarkWest is well positioned in the lowest-cost natural gas basin in the U.S., which means it is likely to experience strong demand for its gathering and processing services even in a weak pricing environment. We also like the management team, and feel the company remains attractively valued relative to equities.
OUTLOOK
Our belief that politicians ultimately find reasonable solutions blew up like a SpaceX rocket as the period ended. Greece, as Falcon 9’s brief flight did in June, will make a lot of noise but not amount to much of anything. Our long-held belief remains that, this Greek tragedy notwithstanding, equity market gains are not over. It’s hard to argue equity markets are cheap on average but investors should not seek to be average. In a market more about alpha than beta, the global equity market backdrop still lends itself to stock picking and active investing.
After Greek voters rejected an austerity plan, markets traded off but the reaction was generally mild, especially compared to less substantial but noisier Greek crises on the past. Most indices ended the second quarter flat to down. It is a quieter year so far but after six straight years of up markets, a calmer S&P 500 Index is welcome. (By comparison, the 1990s had nine up years – 1991 to 1999 – although that didn’t end too well.) We remain positive on U.S. equities, however, and do not feel that markets are stretched. Price-earnings ratio (P/E) multiples are at the higher range of recent years but they are not extraordinary for a low-inflation environment, which implies lower longer-term rates. Based on cash flow metrics, valuations are more reasonable.
Remember that the math of a 2.3% 10-year yield implies a P/E of more than 40, if you compare the price to the interest income. There’s no risk in the Treasury, but no growth either. Meanwhile, we are seeing growth in equities. Estimated earnings growth for 2016 vs. 2015 for the S&P 500 companies looks healthy if you take out the oil sector. Furthermore, we think there will be a broad range of growth rates for companies. It takes analysis, but it remains possible to find companies that are using acquisitions, breakthrough products or market share gains to drive earnings growth and to justify valuations.
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Growth matters in Europe too, and we are seeing a firming of conditions there. Greece represents less than 2% of European gross domestic product (GDP). So while it is not ideal to have social and political unrest on your periphery – and economic depressions can bring on those conditions – the Greek problem will not undermine Europe. It is different from the last time a Greek default threatened the stability of other banking systems in Europe.
Quantitative easing (QE) is gaining traction in Europe. The weaker euro helps fuel export growth while stronger auto sales, positive loan growth and better bank balance sheets portend a local recovery. The scope for margin expansion remains. Our European financial analyst sees green shoots and expects lower loan losses, rising returns and the all-important increasing of dividend payments, bullish signs for financials and perhaps for equities more broadly.
In Japan, Prime Minister Shinzo Abe’s administration has engineered a favorable backdrop for Japanese equities in terms of supply and demand: corporates are buying their own shares back, the Bank of Japan is buying Japanese equities as part of its QE, the government’s main pension fund is buying Japanese equities and moving away from bonds, and the market is running out of sellers. The message once again, however, centers on stock picking. New initiatives are also encouraging better corporate governance. Companies are raising dividends and appointing outside directors. More importantly, some companies are restructuring whole industries.
China and the rest of Asia are vexing. While China, too, has the ability to stimulate its economy, it is not a country without challenges. The industrial sector is slowing, part of a rationalization plan that ultimately leads to a more efficient economy. We expect over time that the consumer sector will offset some growth pressures in the country; in the shorter term, however, we are seeing contrary signs such as slower car sales and a continued lull in luxury spending. The rise in the Shanghai stock market and recently, a government attempt to prop it up after a pullback, are worrisome.
A slowdown in China is touching economies elsewhere in Asia. India is an exception as political reform (in true Indian style) slowly grinds forward. Brazil, with political and economic troubles, looks like more of a market where you pick a few cheap stocks but understand it is a difficult slog ahead.
Thank you for your investment in Janus Aspen Global Research Portfolio.
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Janus Aspen Global Research Portfolio (unaudited)
Janus Aspen Global Research Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Pharmacyclics, Inc. | 0.61% | |||
Valeant Pharmaceuticals International, Inc. (U.S. Shares) | 0.52% | |||
AIA Group, Ltd. | 0.40% | |||
Apple, Inc. | 0.34% | |||
Blackstone Group LP | 0.33% |
5 Bottom Performers – Holdings
Contribution | ||||
Canadian Pacific Railway, Ltd. | –0.38% | |||
United Continental Holdings, Inc. | –0.24% | |||
Enterprise Products Partners LP | –0.20% | |||
MarkWest Energy Partners LP | –0.19% | |||
Hershey Co. | –0.18% |
3 Top Performers – Sectors*
Portfolio Weighting | MSCI | |||||||||||
Portfolio Contribution | (Average % of Equity) | World IndexSM Weighting | ||||||||||
Financials | 1.63% | 21.77% | 21.59% | |||||||||
Health Care | 1.13% | 13.90% | 13.86% | |||||||||
Technology | 1.12% | 10.49% | 10.43% |
4 Bottom Performers – Sectors*
Portfolio Weighting | MSCI | |||||||||||
Portfolio Contribution | (Average % of Equity) | World IndexSM Weighting | ||||||||||
Industrials | –1.45% | 18.91% | 19.32% | |||||||||
Consumer | –0.19% | 14.45% | 14.64% | |||||||||
Energy | –0.12% | 10.71% | 10.74% | |||||||||
Communications | –0.12% | 9.38% | 9.42% |
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 seven analyst teams who comprise the Janus Research Team. |
4 | JUNE 30, 2015
Table of Contents
(unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
AIA Group, Ltd. Insurance | 2.3% | |||
Canadian Pacific Railway, Ltd. Road & Rail | 1.9% | |||
Google, Inc. – Class C Internet Software & Services | 1.5% | |||
NGK Spark Plug Co., Ltd. Auto Components | 1.5% | |||
Brenntag AG Trading Companies & Distributors | 1.5% | |||
8.7% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
* Includes Other of (0.7)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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Janus Aspen Global Research Portfolio (unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Global Research Portfolio – Institutional Shares | 4.74% | 6.24% | 12.83% | 6.45% | 8.49% | 0.61% | |||||||
Janus Aspen Global Research Portfolio – Service Shares | 4.59% | 5.98% | 12.55% | 6.18% | 8.21% | 0.86% | |||||||
MSCI World IndexSM | 2.63% | 1.43% | 13.10% | 6.38% | 6.85% | ||||||||
MSCI All Country World IndexSM | 2.66% | 0.71% | 11.93% | 6.41% | N/A** | ||||||||
Morningstar Quartile – Institutional Shares | – | 1st | 2nd | 3rd | 2nd | ||||||||
Morningstar Ranking – based on total returns for World Stock Funds | – | 135/1,264 | 368/853 | 299/549 | 97/211 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
See important disclosures on the next page.
6 | JUNE 30, 2015
Table of Contents
(unaudited)
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | 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. |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,047.40 | $ | 3.91 | $ | 1,000.00 | $ | 1,020.98 | $ | 3.86 | 0.77% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,045.90 | $ | 5.17 | $ | 1,000.00 | $ | 1,019.74 | $ | 5.11 | 1.02% | |||||||||||||||||
† | 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 Aspen Global Research Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 98.3% | ||||||||||
Aerospace & Defense – 0.6% | ||||||||||
44,115 | United Technologies Corp. | $ | 4,893,677 | |||||||
Air Freight & Logistics – 0.9% | ||||||||||
59,287 | Panalpina Welttransport Holding AG | 7,484,611 | ||||||||
Airlines – 1.0% | ||||||||||
146,428 | United Continental Holdings, Inc.* | 7,762,148 | ||||||||
Auto Components – 1.5% | ||||||||||
437,600 | NGK Spark Plug Co., Ltd. | 12,140,655 | ||||||||
Beverages – 2.9% | ||||||||||
86,781 | PepsiCo, Inc. | 8,100,139 | ||||||||
53,600 | Pernod Ricard SA | 6,189,901 | ||||||||
162,182 | SABMiller PLC | 8,418,156 | ||||||||
22,708,196 | ||||||||||
Biotechnology – 5.7% | ||||||||||
48,904 | Actelion, Ltd.* | 7,157,449 | ||||||||
54,779 | Amgen, Inc. | 8,409,672 | ||||||||
24,337 | Biogen, Inc.* | 9,830,688 | ||||||||
62,033 | Celgene Corp.* | 7,179,389 | ||||||||
444,379 | Ironwood Pharmaceuticals, Inc.* | 5,359,211 | ||||||||
14,525 | Regeneron Pharmaceuticals, Inc.* | 7,409,638 | ||||||||
45,346,047 | ||||||||||
Capital Markets – 2.3% | ||||||||||
194,507 | Blackstone Group LP | 7,949,501 | ||||||||
214,405 | E*TRADE Financial Corp.* | 6,421,430 | ||||||||
185,199 | UBS Group AG* | 3,929,064 | ||||||||
18,299,995 | ||||||||||
Chemicals – 1.9% | ||||||||||
59,312 | Air Products & Chemicals, Inc. | 8,115,661 | ||||||||
505,154 | Alent PLC | 2,935,503 | ||||||||
40,141 | LyondellBasell Industries NV – Class A | 4,155,396 | ||||||||
15,206,560 | ||||||||||
Commercial Banks – 7.6% | ||||||||||
96,349 | BNP Paribas SA | 5,815,738 | ||||||||
131,240 | Citigroup, Inc. | 7,249,698 | ||||||||
623,781 | HSBC Holdings PLC | 5,586,727 | ||||||||
641,579 | ING Groep NV | 10,591,668 | ||||||||
112,766 | JPMorgan Chase & Co. | 7,641,024 | ||||||||
6,959,356 | Lloyds Banking Group PLC | 9,319,375 | ||||||||
1,311,700 | Mitsubishi UFJ Financial Group, Inc. | 9,430,691 | ||||||||
110,825 | US Bancorp | 4,809,805 | ||||||||
60,444,726 | ||||||||||
Communications Equipment – 0.7% | ||||||||||
92,795 | CommScope Holding Co., Inc.* | 2,831,176 | ||||||||
47,054 | Motorola Solutions, Inc. | 2,698,076 | ||||||||
5,529,252 | ||||||||||
Consumer Finance – 0.8% | ||||||||||
82,015 | American Express Co. | 6,374,206 | ||||||||
Containers & Packaging – 1.0% | ||||||||||
143,269 | Crown Holdings, Inc.* | 7,580,363 | ||||||||
Diversified Financial Services – 0.7% | ||||||||||
23,516 | Intercontinental Exchange, Inc. | 5,258,413 | ||||||||
Electric Utilities – 0.7% | ||||||||||
122,571 | Brookfield Infrastructure Partners LP | 5,470,344 | ||||||||
Electrical Equipment – 2.0% | ||||||||||
124,642 | Schneider Electric SE | 8,604,480 | ||||||||
145,162 | Sensata Technologies Holding NV* | 7,655,844 | ||||||||
16,260,324 | ||||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||||
63,027 | TE Connectivity, Ltd. (U.S. Shares) | 4,052,636 | ||||||||
Energy Equipment & Services – 0.8% | ||||||||||
99,098 | Baker Hughes, Inc. | 6,114,346 | ||||||||
Food & Staples Retailing – 1.7% | ||||||||||
150,914 | Kroger Co. | 10,942,774 | ||||||||
70,292 | Whole Foods Market, Inc. | 2,772,317 | ||||||||
13,715,091 | ||||||||||
Food Products – 1.2% | ||||||||||
104,961 | Hershey Co. | 9,323,686 | ||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||||
371,719 | Boston Scientific Corp.* | 6,579,426 | ||||||||
Health Care Providers & Services – 0.6% | ||||||||||
33,946 | Universal Health Services, Inc. – Class B | 4,823,727 | ||||||||
Hotels, Restaurants & Leisure – 1.9% | ||||||||||
1,188,963 | Bwin.Party Digital Entertainment PLC | 1,827,694 | ||||||||
3,780 | Chipotle Mexican Grill, Inc.* | 2,286,862 | ||||||||
508,000 | Galaxy Entertainment Group, Ltd. | 2,025,105 | ||||||||
165,362 | Starbucks Corp. | 8,865,884 | ||||||||
15,005,545 | ||||||||||
Household Durables – 0.4% | ||||||||||
111,700 | Sony Corp. | 3,159,676 | ||||||||
Household Products – 0.9% | ||||||||||
114,149 | Colgate-Palmolive Co. | 7,466,486 | ||||||||
Information Technology Services – 2.7% | ||||||||||
77,158 | Amdocs, Ltd. (U.S. Shares) | 4,212,055 | ||||||||
115,347 | MasterCard, Inc. – Class A | 10,782,637 | ||||||||
93,104 | Visa, Inc. – Class A | 6,251,934 | ||||||||
21,246,626 | ||||||||||
Insurance – 4.6% | ||||||||||
2,812,600 | AIA Group, Ltd. | 18,414,905 | ||||||||
86,149 | Aon PLC | 8,587,332 | ||||||||
382,696 | Prudential PLC | 9,213,586 | ||||||||
36,215,823 | ||||||||||
Internet & Catalog Retail – 1.0% | ||||||||||
9,188 | Amazon.com, Inc.* | 3,988,419 | ||||||||
3,183 | Priceline Group, Inc.* | 3,664,811 | ||||||||
7,653,230 | ||||||||||
Internet Software & Services – 2.8% | ||||||||||
42,997 | Alibaba Group Holding, Ltd. (ADR)* | 3,537,363 | ||||||||
79,772 | Facebook, Inc. – Class A* | 6,841,646 | ||||||||
23,592 | Google, Inc. – Class C | 12,279,872 | ||||||||
22,658,881 | ||||||||||
Leisure Products – 0.4% | ||||||||||
130,715 | Mattel, Inc. | 3,358,068 | ||||||||
Machinery – 2.4% | ||||||||||
90,152 | Colfax Corp.* | 4,160,515 | ||||||||
48,501 | Dover Corp. | 3,403,800 | ||||||||
1,452,000 | Mitsubishi Heavy Industries, Ltd. | 8,836,352 | ||||||||
107,838 | Rexnord Corp.* | 2,578,407 | ||||||||
18,979,074 | ||||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Media – 3.7% | ||||||||||
106,758 | Comcast Corp. – Class A | $ | 6,420,426 | |||||||
132,819 | Liberty Global PLC – Class C* | 6,724,626 | ||||||||
17,170 | Time Warner Cable, Inc. | 3,059,179 | ||||||||
172,689 | Twenty-First Century Fox, Inc. – Class A | 5,620,163 | ||||||||
63,863 | Walt Disney Co. | 7,289,323 | ||||||||
29,113,717 | ||||||||||
Metals & Mining – 0.7% | ||||||||||
214,218 | ThyssenKrupp AG | 5,572,151 | ||||||||
Oil, Gas & Consumable Fuels – 8.3% | ||||||||||
122,172 | Anadarko Petroleum Corp. | 9,536,746 | ||||||||
304,194 | Enterprise Products Partners LP | 9,092,359 | ||||||||
119,128 | Exxon Mobil Corp. | 9,911,450 | ||||||||
409,900 | Inpex Corp. | 4,661,076 | ||||||||
165,189 | MarkWest Energy Partners LP | 9,313,356 | ||||||||
246,675 | MEG Energy Corp.* | 4,029,604 | ||||||||
120,958 | Phillips 66 | 9,744,376 | ||||||||
205,993 | Total SA | 10,004,587 | ||||||||
66,293,554 | ||||||||||
Pharmaceuticals – 7.0% | ||||||||||
92,657 | Eli Lilly & Co. | 7,735,933 | ||||||||
122,405 | Endo International PLC* | 9,749,558 | ||||||||
1,236,217 | Indivior PLC* | 4,365,815 | ||||||||
64,895 | Mallinckrodt PLC* | 7,639,440 | ||||||||
357,203 | Meda AB – Class A | 4,975,044 | ||||||||
80,564 | Pacira Pharmaceuticals, Inc.* | 5,697,486 | ||||||||
178,466 | Pfizer, Inc. | 5,983,965 | ||||||||
44,222 | Valeant Pharmaceuticals International, Inc. (U.S. Shares)* | 9,823,917 | ||||||||
55,971,158 | ||||||||||
Professional Services – 0.7% | ||||||||||
7,912 | IHS, Inc. – Class A* | 1,017,720 | ||||||||
67,609 | Verisk Analytics, Inc. – Class A* | 4,919,231 | ||||||||
5,936,951 | ||||||||||
Real Estate Investment Trusts (REITs) – 1.4% | ||||||||||
51,214 | American Tower Corp. | 4,777,754 | ||||||||
227,121 | Lexington Realty Trust | 1,925,986 | ||||||||
26,088 | Simon Property Group, Inc. | 4,513,746 | ||||||||
11,217,486 | ||||||||||
Real Estate Management & Development – 1.8% | ||||||||||
208,059 | Brookfield Asset Management, Inc. – Class A (U.S. Shares) | 7,267,501 | ||||||||
41,903 | Jones Lang LaSalle, Inc. | 7,165,413 | ||||||||
14,432,914 | ||||||||||
Road & Rail – 2.9% | ||||||||||
89,384 | Canadian National Railway Co. | 5,157,760 | ||||||||
92,192 | Canadian Pacific Railway, Ltd. | 14,766,371 | ||||||||
32,586 | Kansas City Southern | 2,971,843 | ||||||||
22,895,974 | ||||||||||
Semiconductor & Semiconductor Equipment – 2.9% | ||||||||||
468,760 | ARM Holdings PLC | 7,636,662 | ||||||||
264,192 | Atmel Corp. | 2,603,612 | ||||||||
31,496 | Avago Technologies, Ltd. | 4,186,763 | ||||||||
88,309 | Freescale Semiconductor, Ltd.* | 3,529,711 | ||||||||
1,133,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 5,159,682 | ||||||||
23,116,430 | ||||||||||
Software – 2.4% | ||||||||||
6,792 | Constellation Software, Inc. | 2,696,894 | ||||||||
21,327 | NetSuite, Inc.* | 1,956,752 | ||||||||
26,700 | Nintendo Co., Ltd. | 4,466,364 | ||||||||
118,615 | Oracle Corp. | 4,780,185 | ||||||||
65,281 | Solera Holdings, Inc. | 2,908,921 | ||||||||
14,468 | Ultimate Software Group, Inc.* | 2,377,671 | ||||||||
19,186,787 | ||||||||||
Specialty Retail – 2.8% | ||||||||||
37,860 | Advance Auto Parts, Inc. | 6,030,719 | ||||||||
2,512,780 | Chow Tai Fook Jewellery Group, Ltd. | 2,710,106 | ||||||||
2,187,725 | L’Occitane International SA | 6,237,499 | ||||||||
110,725 | Lowe’s Cos., Inc. | 7,415,253 | ||||||||
22,393,577 | ||||||||||
Technology Hardware, Storage & Peripherals – 3.0% | ||||||||||
93,495 | Apple, Inc. | 11,726,610 | ||||||||
96,519 | EMC Corp. | 2,547,137 | ||||||||
8,681 | Samsung Electronics Co., Ltd. | 9,870,434 | ||||||||
24,144,181 | ||||||||||
Textiles, Apparel & Luxury Goods – 2.9% | ||||||||||
60,342 | Cie Financiere Richemont SA | 4,909,606 | ||||||||
171,012 | Gildan Activewear, Inc. | 5,684,439 | ||||||||
52,460 | NIKE, Inc. – Class B | 5,666,729 | ||||||||
1,942,183 | Samsonite International SA | 6,715,068 | ||||||||
22,975,842 | ||||||||||
Thrifts & Mortgage Finance – 0.6% | ||||||||||
451,468 | MGIC Investment Corp.* | 5,137,706 | ||||||||
Trading Companies & Distributors – 2.5% | ||||||||||
211,420 | Brenntag AG | 12,120,533 | ||||||||
63,873 | MSC Industrial Direct Co., Inc. – Class A | 4,456,419 | ||||||||
160,369 | NOW, Inc.*,# | 3,192,947 | ||||||||
19,769,899 | ||||||||||
Wireless Telecommunication Services – 1.7% | ||||||||||
146,645 | T-Mobile US, Inc.* | 5,685,427 | ||||||||
3,901,700 | Tower Bersama Infrastructure Tbk PT* | 2,700,164 | ||||||||
1,427,333 | Vodafone Group PLC | 5,153,996 | ||||||||
13,539,587 | ||||||||||
Total Common Stocks (cost $668,456,783) | 782,809,752 | |||||||||
Preferred Stocks – 1.2% | ||||||||||
Automobiles – 1.2% | ||||||||||
41,449 | Volkswagen AG (cost $10,774,551) | 9,610,291 | ||||||||
Investment Companies – 1.2% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending – 0.3% | ||||||||||
2,494,150 | Janus Cash Collateral Fund LLC, 0.1304%°°,£ | 2,494,150 | ||||||||
Money Markets – 0.9% | ||||||||||
7,305,000 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 7,305,000 | ||||||||
Total Investment Companies (cost $9,799,150) | 9,799,150 | |||||||||
Total Investments (total cost $689,030,484) – 100.7% | 802,219,193 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.7)% | (5,649,554) | |||||||||
Net Assets – 100% | $ | 796,569,639 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Janus Aspen Global Research Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 495,609,945 | 61 | .8% | ||||
United Kingdom | 61,182,140 | 7 | .6 | |||||
Canada | 49,426,486 | 6 | .2 | |||||
Japan | 42,694,814 | 5 | .3 | |||||
France | 36,852,205 | 4 | .6 | |||||
Germany | 32,988,402 | 4 | .1 | |||||
Switzerland | 23,480,730 | 2 | .9 | |||||
Hong Kong | 23,150,116 | 2 | .9 | |||||
Netherlands | 10,591,668 | 1 | .3 | |||||
South Korea | 9,870,434 | 1 | .2 | |||||
Taiwan | 5,159,682 | 0 | .7 | |||||
Sweden | 4,975,044 | 0 | .6 | |||||
China | 3,537,363 | 0 | .5 | |||||
Indonesia | 2,700,164 | 0 | .3 | |||||
Total | $ | 802,219,193 | 100 | .0% | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World IndexSM | An unmanaged, free float-adjusted market capitalization weighted index composed of stocks of companies located in countries throughout the world. It is designed to measure equity market performance in global developed and emerging markets. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
MSCI World IndexSM | A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed market countries in North America, Europe, and the Asia/Pacific Region. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
ADR | American Depositary Receipt | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
# | Loaned security; a portion of the security is on loan at June 30, 2015. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Global Research Portfolio | |||||||||||||||||||||
Janus Cash Collateral Fund LLC | – | 11,062,494 | (8,568,344) | 2,494,150 | $ | – | $ | 68,455(1) | $ | 2,494,150 | |||||||||||
Janus Cash Liquidity Fund LLC | – | 80,673,896 | (73,368,896) | 7,305,000 | – | 1,268 | 7,305,000 | ||||||||||||||
Total | $ | – | $ | 69,723 | $ | 9,799,150 | |||||||||||||||
(1) | 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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | ||||||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||
Janus Aspen Global Research Portfolio | |||||||||||
Assets | |||||||||||
Investments in Securities: | |||||||||||
Common Stocks | $ | 782,809,752 | $ | – | $ | – | |||||
Preferred Stocks | – | 9,610,291 | – | ||||||||
Investment Companies | – | 9,799,150 | – | ||||||||
Total Assets | $ | 782,809,752 | $ | 19,409,441 | $ | – | |||||
Janus Aspen Series | 11
Table of Contents
Statement of Assets and Liabilities
Janus Aspen Global | ||||||||||
As of June 30, 2015 (unaudited) | Research Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 689,030,484 | ||||||||
Unaffiliated investments, at value(1) | $ | 792,420,043 | ||||||||
Affiliated investments, at value | 9,799,150 | |||||||||
Cash | 53,249 | |||||||||
Cash denominated in foreign currency(2) | 19,012 | |||||||||
Non-interested Trustees’ deferred compensation | 15,931 | |||||||||
Receivables: | ||||||||||
Investments sold | 6,896,881 | |||||||||
Portfolio shares sold | 116,712 | |||||||||
Dividends | 785,419 | |||||||||
Dividends from affiliates | 47 | |||||||||
Foreign dividend tax reclaim | 495,365 | |||||||||
Other assets | 8,317 | |||||||||
Total Assets | 810,610,126 | |||||||||
Liabilities: | ||||||||||
Collateral for securities loaned (Note 2) | 2,494,150 | |||||||||
Payables: | ||||||||||
Investments purchased | 10,513,645 | |||||||||
Portfolio shares repurchased | 360,151 | |||||||||
Advisory fees | 495,766 | |||||||||
Portfolio administration fees | 6,382 | |||||||||
Transfer agent fees and expenses | 584 | |||||||||
12b-1 Distribution and shareholder servicing fees | 46,987 | |||||||||
Non-interested Trustees’ fees and expenses | 5,165 | |||||||||
Non-interested Trustees’ deferred compensation fees | 15,931 | |||||||||
Accrued expenses and other payables | 101,726 | |||||||||
Total Liabilities | 14,040,487 | |||||||||
Net Assets | $ | 796,569,639 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 806,370,511 | ||||||||
Undistributed net investment income/(loss) | 3,288,977 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | (126,231,520) | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 113,141,671 | |||||||||
Total Net Assets | $ | 796,569,639 | ||||||||
Net Assets - Institutional Shares | $ | 572,321,623 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 13,235,520 | |||||||||
Net Asset Value Per Share | $ | 43.24 | ||||||||
Net Assets - Service Shares | $ | 224,248,016 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 5,275,949 | |||||||||
Net Asset Value Per Share | $ | 42.50 |
(1) | Includes $2,418,424 of securities on loan. See Note 2 in Notes to Financial Statements. | |
(2) | Includes cost of $19,012. |
See Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Statement of Operations
Janus Aspen Global | ||||||
For the period ended June 30, 2015 (unaudited) | Research Portfolio | |||||
Investment Income: | ||||||
Affiliated securities lending income, net | $ | 68,455 | ||||
Dividends | 7,289,003 | |||||
Dividends from affiliates | 1,268 | |||||
Other income | 473 | |||||
Foreign tax withheld | (352,885) | |||||
Total Investment Income | 7,006,314 | |||||
Expenses: | ||||||
Advisory fees | 2,938,066 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 275,932 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 2,243 | |||||
Service Shares | 527 | |||||
Shareholder reports expense | 44,905 | |||||
Registration fees | 12,395 | |||||
Custodian fees | 19,356 | |||||
Professional fees | 22,695 | |||||
Non-interested Trustees’ fees and expenses | 10,421 | |||||
Portfolio administration fees | 32,901 | |||||
Other expenses | 20,536 | |||||
Total Expenses | 3,379,977 | |||||
Net Expenses | 3,379,977 | |||||
Net Investment Income/(Loss) | 3,626,337 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 33,716,939 | |||||
Total Net Realized Gain/(Loss) on Investments | 33,716,939 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (575,286) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (575,286) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 36,767,990 |
See Notes to Financial Statements.
Janus Aspen Series | 13
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Global Research | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,626,337 | $ | 9,456,666 | ||||||
Net realized gain/(loss) on investments | 33,716,939 | 71,214,625 | ||||||||
Change in unrealized net appreciation/depreciation | (575,286) | (24,736,142) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 36,767,990 | 55,935,149 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (2,349,858) | (6,210,004) | ||||||||
Service Shares | (753,301) | (2,028,702) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (3,103,159) | (8,238,706) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 8,886,756 | 11,342,511 | ||||||||
Service Shares | 20,322,291 | 24,138,480 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 2,349,858 | 6,210,004 | ||||||||
Service Shares | 753,301 | 2,028,702 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (34,751,460) | (70,209,642) | ||||||||
Service Shares | (20,140,004) | (27,048,191) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | (22,579,258) | (53,538,136) | ||||||||
Net Increase/(Decrease) in Net Assets | 11,085,573 | (5,841,693) | ||||||||
Net Assets: | ||||||||||
Beginning of period | 785,484,066 | 791,325,759 | ||||||||
End of period | $ | 796,569,639 | $ | 785,484,066 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 3,288,977 | $ | 2,765,799 |
See Notes to Financial Statements.
14 | JUNE 30, 2015
Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Global Research Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $41.45 | $38.99 | $30.74 | $25.83 | $30.13 | $26.18 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.21(1) | 0.51(1) | 0.38 | 0.37 | 0.31 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 1.76 | 2.39 | 8.29 | 4.79 | (4.44) | 3.92 | ||||||||||||||||||||
Total from Investment Operations | 1.97 | 2.90 | 8.67 | 5.16 | (4.13) | 4.12 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.18) | (0.44) | (0.42) | (0.25) | (0.17) | (0.17) | ||||||||||||||||||||
Distributions (from capital gains) | – | – | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (0.18) | (0.44) | (0.42) | (0.25) | (0.17) | (0.17) | ||||||||||||||||||||
Net Asset Value, End of Period | $43.24 | $41.45 | $38.99 | $30.74 | $25.83 | $30.13 | ||||||||||||||||||||
Total Return* | 4.74% | 7.44% | 28.43% | 20.08% | (13.74)% | 15.83% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $572,322 | $571,145 | $588,619 | $516,001 | $490,539 | $648,827 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $586,249 | $577,941 | $550,131 | $505,342 | $587,144 | $623,284 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.77% | 0.61% | 0.53% | 0.55% | 0.70% | 0.65% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.77% | 0.61% | 0.53% | 0.55% | 0.70% | 0.65% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.97% | 1.27% | 0.99% | 1.19% | 1.05% | 0.76% | ||||||||||||||||||||
Portfolio Turnover Rate | 26% | 42% | 101% | 56% | 88% | 86% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Global Research Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $40.77 | $38.40 | $30.31 | $25.51 | $29.80 | $25.93 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.15(1) | 0.40(1) | 0.25 | 0.23 | 0.19 | 0.12 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 1.72 | 2.35 | 8.22 | 4.79 | (4.34) | 3.88 | ||||||||||||||||||||
Total from Investment Operations | 1.87 | 2.75 | 8.47 | 5.02 | (4.15) | 4.00 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.14) | (0.38) | (0.38) | (0.22) | (0.14) | (0.13) | ||||||||||||||||||||
Distributions (from capital gains) | – | – | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (0.14) | (0.38) | (0.38) | (0.22) | (0.14) | (0.13) | ||||||||||||||||||||
Net Asset Value, End of Period | $42.50 | $40.77 | $38.40 | $30.31 | $25.51 | $29.80 | ||||||||||||||||||||
Total Return* | 4.59% | 7.18% | 28.12% | 19.77% | (13.95)% | 15.52% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $224,248 | $214,339 | $202,707 | $156,774 | $140,029 | $172,885 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $223,769 | $209,230 | $181,844 | $149,451 | $165,580 | $151,800 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 1.02% | 0.86% | 0.78% | 0.80% | 0.95% | 0.90% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 1.02% | 0.86% | 0.78% | 0.80% | 0.95% | 0.90% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.73% | 1.01% | 0.75% | 0.94% | 0.81% | 0.50% | ||||||||||||||||||||
Portfolio Turnover Rate | 26% | 42% | 101% | 56% | 88% | 86% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Global Research Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in equity securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
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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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | ||||||
Level 2 to | ||||||
Portfolio | Level 1 | |||||
Janus Aspen Global Research Portfolio | $ | 165,154,302 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial
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Notes to Financial Statements (unaudited) (continued)
statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through
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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. As a result, financial markets in the EU have been subject to increased 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.
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 may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and 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.
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Notes to Financial Statements (unaudited) (continued)
Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Deutsche Bank AG | $ | 2,418,424 | $ | – | $ | (2,418,424) | $ | – | ||||||||||
(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. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to qualified parties. Deutsche Bank AG acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment
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opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments. Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
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 “base” fee rate prior to any performance adjustment (expressed as an annual rate).
Base Fee | ||||||
Portfolio | Rate (%) | |||||
Janus Aspen Global Research Portfolio | 0.60 | |||||
The investment advisory fee rate is determined by calculating a base fee (shown in the table above) 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, as shown below:
Portfolio | Benchmark Index | ||||
Janus Aspen Global Research Portfolio | 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 during the applicable performance measurement period.
The Portfolio’s prospectuses and statements 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.
Performance Adjusted | ||||||
Investment Advisory | ||||||
Portfolio | Fee Rate (%) | |||||
Janus Aspen Global Research Portfolio | 0.73 | |||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified
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Notes to Financial Statements (unaudited) (continued)
administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals, investments in partnerships, and investments in passive foreign investment companies.
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Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Global Research Portfolio | $ | 688,820,446 | $ | 144,097,952 | $ | (30,699,205) | $ | 113,398,747 | ||||||||||
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2014, that may be available to offset future realized capital gains and thereby reduce future taxable gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Portfolio is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may more likely expire unused. Also, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The following table shows these capital loss carryovers.
Capital Loss Carryover Expiration Schedule
For the year ended December 31, 2014
December 31, | Accumulated | |||||||||
Portfolio | 2017 | Capital Losses | ||||||||
Janus Aspen Global Research Portfolio | $ | (160,662,917) | $ | (160,662,917) | ||||||
5. | Capital Share Transactions |
Janus Aspen Global Research Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 203,234 | 281,546 | ||||||||
Reinvested dividends and distributions | 53,080 | 150,777 | ||||||||
Shares repurchased | (799,351) | (1,750,114) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (543,037) | (1,317,791) | ||||||||
Shares Outstanding, Beginning of Period | 13,778,557 | 15,096,348 | ||||||||
Shares Outstanding, End of Period | 13,235,520 | 13,778,557 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 471,500 | 616,030 | ||||||||
Reinvested dividends and distributions | 17,309 | 50,060 | ||||||||
Shares repurchased | (470,635) | (687,492) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 18,174 | (21,402) | ||||||||
Shares Outstanding, Beginning of Period | 5,257,775 | 5,279,177 | ||||||||
Shares Outstanding, End of Period | 5,275,949 | 5,257,775 |
6. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Global Research Portfolio | $ | 206,965,930 | $ | 226,398,771 | $ | – | $ | – | ||||||
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Notes to Financial Statements (unaudited) (continued)
7. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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Additional Information (unaudited) (continued)
the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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Additional Information (unaudited) (continued)
underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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Additional Information (unaudited) (continued)
noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Notes
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-93922 | 109-24-81112 08-15 |
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semiannual report
June 30, 2015
Janus Aspen Global Technology Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Global Technology Portfolio (unaudited)
PORTFOLIO SNAPSHOT Our mission is to find companies that benefit from the high pace of change in technology. We believe technology markets are complex, adaptive systems that demonstrate emergent properties and inherently unpredictable changes. We construct a portfolio with special attention to downside risk that seeks to balance resilience and optionality. Combined with deep fundamental industry analysis and thoughtful valuation and scenario analysis, we seek to invest in stocks that have the potential to outperform without relying on difficult predictions about the future. | Brinton Johns co-portfolio manager | J. Bradley Slingerlend co-portfolio manager |
PERFORMANCE OVERVIEW
During the six months ended June 30, 2015, Janus Aspen Global Technology Portfolio’s Institutional Shares and Service Shares returned 3.48% and 3.43%, respectively. By comparison, the Portfolio’s benchmarks, the S&P 500 Index and the MSCI All Country World Information Technology Index, returned 1.23% and 1.82%, respectively.
INVESTMENT ENVIRONMENT
Global technology gained over the first quarter, outpacing broader indices, which recorded flat to negative returns. It then fell slightly during the second quarter, but ultimately finished the first half of 2015 in positive territory. The home entertainment software and electronic components subsectors contributed the most to the benchmark, while the semiconductor equipment and communications equipment subsectors detracted the most during the period.
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. We believe our focus on less-volatile stocks than the secondary benchmark’s holdings, and in companies that can benefit from the high pace of change in technology, can provide superior performance longer-term.
Our stock selection in the semiconductors and Internet retail subsectors were the most significant contributors to relative performance.
Individually, Apple was a top contributor. The electronic-device company benefited from positive sentiment in the aftermath of its impressive fiscal fourth quarter earnings results. In February, the company’s stock reached a new record, pushing its market capitalization above $700 billion. We think Apple still has strong opportunities as its ecosystem continues to attract new and potentially long-term subscribers onto its platform and increase its addressable market as lower price points draw new customers. We also appreciate management’s commitment to returning capital to shareholders via dividends and stock repurchases. While we still favor the stock, given Apple’s large representation of the benchmark, we continue to adjust our exposure to the stock to manage single-company risk.
Netflix, one of the leading providers of on-demand Internet streaming media, was also a top contributor. The stock rose after beating estimates on member growth and margins. Subscription expansion remained positive in the U.S., if slowing, with substantial gains in new international customers. We continue to like the potential for Netflix. The company has now reached a size where creating original content can be more cost-efficient than simply purchasing distribution rights. Coupled with its extensive data about subscribers’ viewing habits, it has built a powerful ability to deliver profitable, targeted entertainment.
After a winter lull, the stock of Chinese travel operator Ctrip.com International bounced back to become another top contributor. The company reported strong revenue gains from the first quarter as recent investments have begun to reap benefits. These have also filtered through to margin improvement. New initiatives have shown impressive growth and the company reported that mobile now accounts for 70% of transactions. Furthermore, management provided strong guidance and reiterated its objective of becoming the one-stop shop for Chinese travel. In late May the company purchased a near 40% stake in online rival eLong from Expedia, a move that was welcomed by investors.
Our holdings in the Internet software and services subsector, along with consumer finance, weighed the most on relative performance.
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Janus Aspen Global Technology Portfolio (unaudited)
Oracle was a top detractor. The stock was down following an earnings miss. We believe the provider of enterprise software and hardware products can continue to grow its revenue as fast, if not faster, than overall IT spending, while continuing to experience ongoing margin expansion. Its products automate mission-critical business processes, resulting in a resilient business model comprised of a highly profitable base of recurring maintenance revenues. Oracle has a structurally attractive business model with levers to drive sustained double-digit earnings growth over a multiyear period.
U.S. chip maker QUALCOMM was another top detractor. The company was hit with the news early in the year that Samsung would not use QUALCOMM chips in the newest model of its popular Galaxy mobile phone. QUALCOMM’s new Snapdragon 810 chip was reported to have had a propensity to overheat in testing by Samsung in its new devices. QUALCOMM did finally manage to get its regulatory issues regarding royalty payments in China resolved, but the agreement was not everything investors had hoped for. We trimmed the position during the period.
ChannelAdvisor was also a large detractor. The company helps other businesses manage, monitor and optimize their merchandise sales in various online channels. The stock was down early in 2015 after the company reported disappointing fourth quarter revenues. The fourth quarter of 2014 saw a rapid shift in buying behavior, with consumers doing more of their holiday shopping on large e-commerce sites that offer a better mobile shopping experience. ChannelAdvisor makes less revenue from the shopping that takes place on these larger platforms.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for derivatives used by the Portfolio.
OUTLOOK
We believe technology stocks continue to offer compelling investment potential, though the rapidly changing dynamics evolving within the sector are pointing to new emerging winners, while many legacy firms lag behind. The rapidly accelerating shift to the cloud continues to open new opportunities at the expense of hardware, servers and on premises data centers. Enterprise hardware companies, in particular, have been slow to react as businesses move to software-designed data centers, with management teams reluctant to consolidate and trim costs.
Similarly, companies with strong mobile application strategies continue to be well positioned with the broad adoption of smartphones and tablets, in our view. We also expect that continuing advances in commercial and consumer applications tied to the Internet of Things (IoT) could be as transformational as the introduction of the Internet itself. The proliferation of devices that now connect to the Internet and interact with one another is an exciting multiyear trend still in its infancy.
Semiconductor merger and acquisition activity also remains a key theme in the technology sector. As the industry matures and growth rates slow, these companies are searching for effective strategies to build scale and trim research and development expenses.
All in all, the pace of innovation throughout the sector continues to accelerate. We remain selective as we carefully research the risk/reward profiles of these stocks, balancing growth with valuations. Still, we continue to find ample long-term investment potential as the marketplace continues to shift and evolve.
Thank you for your investment in Janus Aspen Global Technology Portfolio.
2 | JUNE 30, 2015
Table of Contents
(unaudited)
Janus Aspen Global Technology Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Apple, Inc. | 1.52% | |||
Freescale Semiconductor, Ltd. | 0.59% | |||
Netflix, Inc. | 0.50% | |||
Nintendo Co., Ltd. | 0.43% | |||
Ctrip.com International, Ltd. (ADR) | 0.36% |
5 Bottom Performers – Holdings
Contribution | ||||
Oracle Corp. | –0.48% | |||
QUALCOMM, Inc. | –0.43% | |||
EMC Corp. | –0.32% | |||
ChannelAdvisor Corp. | –0.31% | |||
Alibaba Group Holding, Ltd. (ADR) | –0.29% |
4 Top Performers – Sectors*
Portfolio Weighting | ||||||||||||
Portfolio Contribution | (Average % of Equity) | S&P 500® Index Weighting | ||||||||||
Consumer Discretionary | 1.76% | 7.96% | 0.00% | |||||||||
Information Technology | 0.43% | 83.02% | 100.00% | |||||||||
Industrials | 0.13% | 1.81% | 0.00% | |||||||||
Other** | 0.04% | 2.01% | 0.00% |
3 Bottom Performers – Sectors*
Portfolio Weighting | ||||||||||||
Portfolio Contribution | (Average % of Equity) | S&P 500® Index Weighting | ||||||||||
Financials | –0.50% | 4.60% | 0.00% | |||||||||
Health Care | –0.10% | 0.36% | 0.00% | |||||||||
Telecommunication Services | 0.03% | 0.24% | 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. |
Janus Aspen Series | 3
Table of Contents
Janus Aspen Global Technology Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Apple, Inc. Technology Hardware, Storage & Peripherals | 7.7% | |||
Google, Inc. – Class C Internet Software & Services | 7.4% | |||
Oracle Corp. Software | 4.5% | |||
ARM Holdings PLC Semiconductor & Semiconductor Equipment | 4.5% | |||
Samsung Electronics Co., Ltd. Technology Hardware, Storage & Peripherals | 3.9% | |||
28.0% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
Emerging markets comprised 10.9% of total net assets.
*Includes Securities Sold Short of (0.5)% and Other of (3.5)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
4 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Global Technology Portfolio – Institutional Shares | 3.48% | 7.96% | 17.13% | 10.99% | –0.02% | 0.79% | |||||||
Janus Aspen Global Technology Portfolio – Service Shares | 3.43% | 7.71% | 16.85% | 10.72% | –0.27% | 1.04% | |||||||
S&P 500® Index | 1.23% | 7.42% | 17.34% | 7.89% | 4.26% | ||||||||
MSCI All Country World Information Technology Index | 1.82% | 8.18% | 15.12% | 8.33% | –0.68%** | ||||||||
MSCI World Information Technology Index | 1.45% | 9.74% | 15.49% | 8.27% | –0.98%*** | ||||||||
Morningstar Quartile – Institutional Shares | – | 3rd | 2nd | 2nd | 3rd | ||||||||
Morningstar Ranking – based on total returns for Technology Funds | – | 124/216 | 80/208 | 57/200 | 87/143 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
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 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.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
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.
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 and/or rating for the period.
See important disclosures on the next page.
Janus Aspen Series | 5
Table of Contents
Janus Aspen Global Technology Portfolio (unaudited)
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
Effective January 28, 2015, the Portfolio’s secondary benchmark index changed from the MSCI World Information Technology Index to the MSCI All Country World Information Technology Index. Janus Capital believes that the change provides a more appropriate comparison for the Portfolio’s investment strategy.
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. | |
*** | The MSCI World Information Technology Index since inception returns are calculated from January 31, 2000. |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,034.80 | $ | 3.78 | $ | 1,000.00 | $ | 1,021.08 | $ | 3.76 | 0.75% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,034.30 | $ | 5.04 | $ | 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Global Technology Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 98.9% | ||||||||||
Automobiles – 0.2% | ||||||||||
1,544 | Tesla Motors, Inc.*,# | $ | 414,193 | |||||||
Communications Equipment – 2.8% | ||||||||||
33,216 | CommScope Holding Co., Inc.* | 1,013,420 | ||||||||
58,100 | QUALCOMM, Inc. | 3,638,803 | ||||||||
4,652,223 | ||||||||||
Consumer Finance – 1.9% | ||||||||||
39,949 | American Express Co. | 3,104,836 | ||||||||
Electrical Equipment – 0.9% | ||||||||||
25,244 | Sensata Technologies Holding NV* | 1,331,369 | ||||||||
3,199 | SolarCity Corp.*,# | 171,306 | ||||||||
1,502,675 | ||||||||||
Electronic Equipment, Instruments & Components – 8.4% | ||||||||||
70,286 | Amphenol Corp. – Class A | 4,074,479 | ||||||||
38,861 | Belden, Inc. | 3,156,679 | ||||||||
119,679 | National Instruments Corp. | 3,525,743 | ||||||||
47,869 | TE Connectivity, Ltd. (U.S. Shares) | 3,077,977 | ||||||||
13,834,878 | ||||||||||
Health Care Technology – 0.3% | ||||||||||
4,101 | athenahealth, Inc.*,# | 469,893 | ||||||||
Household Durables – 0.8% | ||||||||||
44,900 | Sony Corp. | 1,270,094 | ||||||||
Information Technology Services – 2.4% | ||||||||||
24,208 | Amdocs, Ltd. (U.S. Shares) | 1,321,515 | ||||||||
14,604 | Cognizant Technology Solutions Corp. – Class A* | 892,158 | ||||||||
19,664 | Gartner, Inc.* | 1,686,778 | ||||||||
3,900,451 | ||||||||||
Internet & Catalog Retail – 3.6% | ||||||||||
2,522 | Amazon.com, Inc.* | 1,094,775 | ||||||||
21,082 | Ctrip.com International, Ltd. (ADR)* | 1,530,975 | ||||||||
25,582 | Etsy, Inc.*,# | 359,427 | ||||||||
19,011 | MakeMyTrip, Ltd.* | 374,136 | ||||||||
2,512 | Netflix, Inc.* | 1,650,233 | ||||||||
794 | Priceline Group, Inc.* | 914,188 | ||||||||
5,923,734 | ||||||||||
Internet Software & Services – 21.3% | ||||||||||
36,624 | Alibaba Group Holding, Ltd. (ADR)* | 3,013,057 | ||||||||
89,711 | Care.com, Inc.*,# | 531,089 | ||||||||
52,505 | ChannelAdvisor Corp.* | 627,435 | ||||||||
13,889 | Demandware, Inc.* | 987,230 | ||||||||
64,258 | Endurance International Group Holdings, Inc.*,# | 1,327,570 | ||||||||
11,974 | Envestnet, Inc.* | 484,109 | ||||||||
5,190 | Equinix, Inc. | 1,318,260 | ||||||||
44,506 | Facebook, Inc. – Class A* | 3,817,057 | ||||||||
23,275 | Google, Inc. – Class C | 12,114,870 | ||||||||
30,278 | HomeAway, Inc.* | 942,251 | ||||||||
18,209 | LendingClub Corp.* | 268,583 | ||||||||
2,852 | LinkedIn Corp. – Class A* | 589,309 | ||||||||
15,940 | Mail.Ru Group, Ltd. (GDR)* | 332,349 | ||||||||
8,466 | MercadoLibre, Inc.# | 1,199,632 | ||||||||
77,511 | Okta, Inc.*,§ | 612,947 | ||||||||
16,948 | Shutterstock, Inc.*,# | 993,831 | ||||||||
4,873 | SPS Commerce, Inc.* | 320,643 | ||||||||
85,600 | Tencent Holdings, Ltd. | 1,708,400 | ||||||||
17,132 | Twitter, Inc.* | 620,521 | ||||||||
43,914 | Youku Tudou, Inc. (ADR)* | 1,077,211 | ||||||||
24,941 | Zillow Group, Inc. – Class A*,# | 2,163,382 | ||||||||
35,049,736 | ||||||||||
Media – 4.0% | ||||||||||
35,039 | Comcast Corp. – Class A | 2,107,245 | ||||||||
14,138 | Time Warner Cable, Inc. | 2,518,967 | ||||||||
17,083 | Walt Disney Co. | 1,949,854 | ||||||||
6,576,066 | ||||||||||
Professional Services – 0.7% | ||||||||||
10,011 | CEB, Inc. | 871,558 | ||||||||
1,773 | IHS, Inc. – Class A* | 228,061 | ||||||||
1,099,619 | ||||||||||
Real Estate Investment Trusts (REITs) – 2.9% | ||||||||||
51,148 | American Tower Corp. | 4,771,597 | ||||||||
Semiconductor & Semiconductor Equipment – 12.1% | ||||||||||
450,465 | ARM Holdings PLC | 7,338,615 | ||||||||
147,854 | Atmel Corp. | 1,457,101 | ||||||||
17,407 | Avago Technologies, Ltd. | 2,313,913 | ||||||||
36,571 | Freescale Semiconductor, Ltd.* | 1,461,743 | ||||||||
8,046 | KLA-Tencor Corp. | 452,266 | ||||||||
20,107 | Microchip Technology, Inc.# | 953,574 | ||||||||
15,836 | NVIDIA Corp. | 318,462 | ||||||||
3,320 | NXP Semiconductor NV* | 326,024 | ||||||||
113,101 | ON Semiconductor Corp.* | 1,322,151 | ||||||||
34,100 | Sumco Corp. | 427,190 | ||||||||
767,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 3,492,918 | ||||||||
19,863,957 | ||||||||||
Software – 21.3% | ||||||||||
20,181 | ANSYS, Inc.* | 1,841,314 | ||||||||
25,738 | Apptio, Inc.*,§ | 584,114 | ||||||||
24,853 | AVEVA Group PLC | 705,914 | ||||||||
20,044 | Barracuda Networks, Inc.* | 794,143 | ||||||||
15,180 | Blackbaud, Inc. | 864,501 | ||||||||
172,241 | Cadence Design Systems, Inc.* | 3,386,258 | ||||||||
4,643 | Constellation Software, Inc. | 1,843,592 | ||||||||
89,351 | Microsoft Corp. | 3,944,847 | ||||||||
13,853 | NetSuite, Inc.* | 1,271,013 | ||||||||
25,100 | Nexon Co., Ltd. | 345,415 | ||||||||
21,931 | NICE Systems, Ltd. (ADR) | 1,394,592 | ||||||||
9,632 | Nintendo Co., Ltd. | 1,611,237 | ||||||||
184,204 | Oracle Corp.† | 7,423,421 | ||||||||
46,312 | PROS Holdings, Inc.* | 977,646 | ||||||||
6,783 | Salesforce.com, Inc.* | 472,300 | ||||||||
25,060 | ServiceNow, Inc.* | 1,862,209 | ||||||||
15,672 | Solera Holdings, Inc. | 698,344 | ||||||||
23,625 | SS&C Technologies Holdings, Inc. | 1,476,563 | ||||||||
4,148 | Tyler Technologies, Inc.* | 536,668 | ||||||||
10,056 | Ultimate Software Group, Inc.* | 1,652,603 | ||||||||
7,787 | Workday, Inc. – Class A* | 594,849 | ||||||||
29,114 | Zendesk, Inc.* | 646,622 | ||||||||
34,928,165 | ||||||||||
Technology Hardware, Storage & Peripherals – 15.3% | ||||||||||
100,974 | Apple, Inc.† | 12,664,664 | ||||||||
168,132 | EMC Corp. | 4,437,003 | ||||||||
5,677 | Samsung Electronics Co., Ltd. | 6,454,839 | ||||||||
7,711 | Seagate Technology PLC | 366,272 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Global Technology Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||||
14,472 | Stratasys, Ltd.*,# | $ | 505,507 | |||||||
9,706 | Western Digital Corp. | 761,145 | ||||||||
25,189,430 | ||||||||||
Total Common Stocks (cost $129,391,784) | 162,551,547 | |||||||||
Rights – 0% | ||||||||||
Software – 0% | ||||||||||
1,707 | Constellation Software, Inc.* (cost $494) | 342 | ||||||||
Investment Companies – 5.1% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending – 3.8% | ||||||||||
6,258,770 | Janus Cash Collateral Fund LLC, 0.1304%°°,£ | 6,258,770 | ||||||||
Money Markets – 1.3% | ||||||||||
2,080,440 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 2,080,440 | ||||||||
Total Investment Companies (cost $8,339,210) | 8,339,210 | |||||||||
Total Investments (total cost $137,731,488) – 104.0% | 170,891,099 | |||||||||
Securities Sold Short – (0.5)% | ||||||||||
Common Stocks Sold Short – (0.5)% | ||||||||||
Communications Equipment – (0.1)% | ||||||||||
2,330 | Arista Networks, Inc.* | (190,454) | ||||||||
Household Durables – (0.1)% | ||||||||||
15,600 | Nikon Corp. | (222,205) | ||||||||
Semiconductor & Semiconductor Equipment – (0.2)% | ||||||||||
2,805 | Synaptics, Inc.* | (243,292) | ||||||||
Software – (0.1)% | ||||||||||
16,174 | MobileIron, Inc.* | (95,588) | ||||||||
Total Securities Sold Short (proceeds $725,812) | (751,539) | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (3.5)% | (5,793,609) | |||||||||
Net Assets – 100% | $ | 164,345,951 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 137,644,199 | 80 | .6% | ||||
United Kingdom | 8,044,529 | 4 | .7 | |||||
China | 7,329,643 | 4 | .3 | |||||
South Korea | 6,454,839 | 3 | .8 | |||||
Japan | 3,653,936 | 2 | .1 | |||||
Taiwan | 3,492,918 | 2 | .0 | |||||
Canada | 1,843,934 | 1 | .1 | |||||
Israel | 1,394,592 | 0 | .8 | |||||
India | 374,136 | 0 | .2 | |||||
Russia | 332,349 | 0 | .2 | |||||
Netherlands | 326,024 | 0 | .2 | |||||
Total | $ | 170,891,099 | 100 | .0% | ||||
Summary of Investments by Country – (Short Positions) (unaudited)
% of Securities | ||||||||
Country | Value | Sold Short | ||||||
United States | $ | (529,334) | 70 | .4% | ||||
Japan | (222,205) | 29 | .6 | |||||
Total | $ | (751,539) | 100 | .0% | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Schedule of Forward Currency Contracts, Open
Unrealized | ||||||||||||
Currency | Currency | Appreciation/ | ||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | |||||||||
Bank of America: | ||||||||||||
British Pound 7/30/15 | 335,000 | $ | 526,167 | $ | 595 | |||||||
Japanese Yen 7/30/15 | 93,882,000 | 767,499 | (9,671) | |||||||||
1,293,666 | (9,076) | |||||||||||
Citibank NA: Japanese Yen 7/23/15 | 89,600,000 | 732,421 | (3,045) | |||||||||
Credit Suisse International: | ||||||||||||
British Pound 7/16/15 | 594,000 | 933,067 | (14,518) | |||||||||
Japanese Yen 7/16/15 | 48,012,500 | 392,432 | (4,044) | |||||||||
1,325,499 | (18,562) | |||||||||||
HSBC Securities (USA), Inc.: | ||||||||||||
British Pound 7/23/15 | 159,000 | 249,747 | 2,108 | |||||||||
Japanese Yen 7/23/15 | 39,300,000 | 321,252 | (1,898) | |||||||||
570,999 | 210 | |||||||||||
JPMorgan Chase & Co.: | ||||||||||||
British Pound 7/30/15 | 100,000 | 157,065 | 384 | |||||||||
Japanese Yen 7/30/15 | 1,900,000 | 15,533 | (154) | |||||||||
172,598 | 230 | |||||||||||
RBC Capital Markets Corp.: | ||||||||||||
British Pound 7/16/15 | 139,000 | 218,344 | (5,340) | |||||||||
Japanese Yen 7/16/15 | 63,900,000 | 522,289 | (9,788) | |||||||||
740,633 | (15,128) | |||||||||||
Total | $ | 4,835,816 | $ | (45,371) | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World Information Technology Index | Measures the performance of information technology stocks from developed and emerging markets. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
MSCI World Information Technology Index | A capitalization weighted index that monitors the performance of information technology stocks from developed market countries in North America, Europe, and the Asia/Pacific Region. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Global Technology Portfolio | $ | 3,741,379 | |||
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
# | Loaned security; a portion of the security is on loan at June 30, 2015. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Value as a | |||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Global Technology Portfolio | ||||||||||||||
Apptio, Inc. | 5/2/13 | $ | 584,114 | $ | 584,114 | 0.4 | % | |||||||
Okta, Inc. | 5/23/14 | 612,947 | 612,947 | 0.4 | ||||||||||
Total | $ | 1,197,061 | $ | 1,197,061 | 0.8 | % | ||||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015. The issuer incurs all registration costs.
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | |||||||||||||||
Balance | Balance | Realized | Dividend | Value | ||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | ||||||||||
Janus Aspen Global Technology Portfolio | ||||||||||||||||
Janus Cash Collateral Fund LLC | 10,543,200 | 26,788,594 | (31,073,024) | 6,258,770 | $– | $63,926(1) | $6,258,770 | |||||||||
Janus Cash Liquidity Fund LLC | 7,675,623 | 21,603,555 | (27,198,738) | 2,080,440 | – | 1,606 | 2,080,440 | |||||||||
Total | $– | $ 65,532 | $8,339,210 | |||||||||||||
(1) | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
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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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | ||||||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||
Janus Aspen Global Technology Portfolio | |||||||||||
Assets | |||||||||||
Investments in Securities: | |||||||||||
Common Stocks | |||||||||||
Internet Software & Services | $ | 34,436,789 | $ | – | $ | 612,947 | |||||
Software | 34,344,051 | – | 584,114 | ||||||||
All Other | 92,573,646 | – | – | ||||||||
Rights | 342 | – | – | ||||||||
Investment Companies | – | 8,339,210 | – | ||||||||
Total Investments in Securities | $ | 161,354,828 | $ | 8,339,210 | $ | 1,197,061 | |||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 3,087 | $ | – | |||||
Total Assets | $ | 161,354,828 | $ | 8,342,297 | $ | 1,197,061 | |||||
Liabilities | |||||||||||
Investments in Securities Sold Short: | |||||||||||
Common Stocks | $ | 751,539 | $ | – | $ | – | |||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 48,458 | $ | – | |||||
Total Liabilities | $ | 751,539 | $ | 48,458 | $ | – | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
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Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Global | ||||||||||
Technology | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 137,731,488 | ||||||||
Unaffiliated investments, at value(1) | $ | 162,551,889 | ||||||||
Affiliated investments, at value | 8,339,210 | |||||||||
Deposits with broker for short sales | 725,812 | |||||||||
Forward currency contracts | 3,087 | |||||||||
Closed foreign currency contracts | 69 | |||||||||
Non-interested Trustees’ deferred compensation | 3,282 | |||||||||
Receivables: | ||||||||||
Investments sold | 882,065 | |||||||||
Portfolio shares sold | 222,552 | |||||||||
Dividends | 189,556 | |||||||||
Dividends from affiliates | 395 | |||||||||
Foreign dividend tax reclaim | 35,653 | |||||||||
Other assets | 11,653 | |||||||||
Total Assets | 172,965,223 | |||||||||
Liabilities: | ||||||||||
Collateral for securities loaned (Note 3) | 6,258,770 | |||||||||
Short sales, at value(2) | 751,539 | |||||||||
Forward currency contracts | 48,458 | |||||||||
Closed foreign currency contracts | 23,897 | |||||||||
Payables: | ||||||||||
Investments purchased | 1,288,286 | |||||||||
Portfolio shares repurchased | 64,656 | |||||||||
Advisory fees | 89,234 | |||||||||
Portfolio administration fees | 1,324 | |||||||||
Transfer agent fees and expenses | 262 | |||||||||
12b-1 Distribution and shareholder servicing fees | 33,057 | |||||||||
Non-interested Trustees’ fees and expenses | 1,057 | |||||||||
Non-interested Trustees’ deferred compensation fees | 3,282 | |||||||||
Accrued expenses and other payables | 55,450 | |||||||||
Total Liabilities | 8,619,272 | |||||||||
Net Assets | $ | 164,345,951 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 124,413,490 | ||||||||
Undistributed net investment income/(loss) | 149,939 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 6,700,738 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 33,081,784 | |||||||||
Total Net Assets | $ | 164,345,951 | ||||||||
Net Assets - Institutional Shares | $ | 8,529,374 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 1,132,515 | |||||||||
Net Asset Value Per Share | $ | 7.53 | ||||||||
Net Assets - Service Shares | $ | 155,816,577 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 20,343,420 | |||||||||
Net Asset Value Per Share | $ | 7.66 |
(1) | Includes $6,103,127 of securities on loan. See Note 3 in Notes to Financial Statements. | |
(2) | Proceeds $725,812. |
See Notes to Financial Statements.
12 | JUNE 30, 2015
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Statement of Operations
Janus Aspen | ||||||
Global | ||||||
Technology | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Affiliated securities lending income, net | $ | 63,926 | ||||
Interest proceeds from short sales | 92 | |||||
Dividends | 897,892 | |||||
Dividends from affiliates | 1,606 | |||||
Other income | 221 | |||||
Foreign tax withheld | (38,661) | |||||
Total Investment Income | 925,076 | |||||
Expenses: | ||||||
Advisory fees | 527,143 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 195,283 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 28 | |||||
Service Shares | 767 | |||||
Shareholder reports expense | 17,569 | |||||
Custodian fees | 8,927 | |||||
Professional fees | 18,130 | |||||
Non-interested Trustees’ fees and expenses | 2,215 | |||||
Short sales dividend expense | 4,620 | |||||
Stock loan fees | 12,783 | |||||
Portfolio administration fees | 7,016 | |||||
Other expenses | 19,357 | |||||
Total Expenses | 813,838 | |||||
Net Expenses | 813,838 | |||||
Net Investment Income/(Loss) | 111,238 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 6,851,158 | |||||
Short sales | (40,076) | |||||
Written options contracts | 63,418 | |||||
Total Net Realized Gain/(Loss) on Investments | 6,874,500 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (1,600,110) | |||||
Short sales | 20,464 | |||||
Written options contracts | (17,698) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (1,597,344) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 5,388,394 |
See Notes to Financial Statements.
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Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Global Technology | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 111,238 | $ | 145,901 | ||||||
Net realized gain/(loss) on investments | 6,874,500 | 22,724,047 | ||||||||
Change in unrealized net appreciation/depreciation | (1,597,344) | (9,350,587) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 5,388,394 | 13,519,361 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (1,201,143) | (512,641) | ||||||||
Service Shares | (21,452,093) | (8,474,670) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (22,653,236) | (8,987,311) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 810,842 | 2,096,025 | ||||||||
Service Shares | 18,239,891 | 33,611,175 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 1,201,143 | 512,641 | ||||||||
Service Shares | 21,452,093 | 8,474,670 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (1,038,401) | (1,703,215) | ||||||||
Service Shares | (20,762,160) | (29,274,671) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 19,903,408 | 13,716,625 | ||||||||
Net Increase/(Decrease) in Net Assets | 2,638,566 | 18,248,675 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 161,707,385 | 143,458,710 | ||||||||
End of period | $ | 164,345,951 | $ | 161,707,385 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 149,939 | $ | 38,701 |
See Notes to Financial Statements.
14 | JUNE 30, 2015
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Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, 2015 | Janus Aspen Global Technology Portfolio | |||||||||||||||||||||||||
(unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $8.43 | $8.20 | $6.04 | $5.05 | $5.53 | $4.43 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.02(1) | 0.03(1) | –(2) | 0.02 | 0.03 | (0.04) | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.31 | 0.73 | 2.16 | 0.97 | (0.51) | 1.14 | ||||||||||||||||||||
Total from Investment Operations | 0.33 | 0.76 | 2.16 | 0.99 | (0.48) | 1.10 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | – | – | – | – | – | – | ||||||||||||||||||||
Distributions (from capital gains) | (1.23) | (0.53) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.23) | (0.53) | – | – | – | – | ||||||||||||||||||||
Net Asset Value, End of Period | $7.53 | $8.43 | $8.20 | $6.04 | $5.05 | $5.53 | ||||||||||||||||||||
Total Return* | 3.48% | 9.64% | 35.76% | 19.60% | (8.68)% | 24.83% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $8,529 | $8,456 | $7,346 | $4,987 | $4,275 | $4,803 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $8,624 | $7,700 | $6,188 | $4,947 | $4,972 | $3,825 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.75% | 0.79% | 0.77% | 0.76% | 0.80% | 0.87% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.75% | 0.79% | 0.77% | 0.76% | 0.80% | 0.87% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.37% | 0.33% | 0.16% | 0.14% | (0.10)% | (0.23)% | ||||||||||||||||||||
Portfolio Turnover Rate | 22% | 57% | 39% | 56% | 83% | 79% |
Service Shares
For a share outstanding during the period ended June 30, 2015 | Janus Aspen Global Technology Portfolio | |||||||||||||||||||||||||
(unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $8.56 | $8.34 | $6.16 | $5.17 | $5.66 | $4.55 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.01(1) | 0.01(1) | (0.01) | 0.01 | –(2) | (0.01) | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.32 | 0.74 | 2.19 | 0.98 | (0.49) | 1.12 | ||||||||||||||||||||
Total from Investment Operations | 0.33 | 0.75 | 2.18 | 0.99 | (0.49) | 1.11 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | – | – | – | – | – | – | ||||||||||||||||||||
Distributions (from capital gains) | (1.23) | (0.53) | – | – | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.23) | (0.53) | – | – | – | – | ||||||||||||||||||||
Net Asset Value, End of Period | $7.66 | $8.56 | $8.34 | $6.16 | $5.17 | $5.66 | ||||||||||||||||||||
Total Return* | 3.43% | 9.35% | 35.39% | 19.15% | (8.66)% | 24.40% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $155,817 | $153,251 | $136,113 | $107,398 | $73,246 | $112,809 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $158,373 | $138,634 | $117,904 | $99,664 | $94,128 | $101,085 | ||||||||||||||||||||
Ratios to Average Net Assets: | �� | |||||||||||||||||||||||||
Ratio of Gross Expenses** | 1.00% | 1.04% | 1.02% | 1.01% | 1.04% | 1.13% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 1.00% | 1.04% | 1.02% | 1.01% | 1.04% | 1.13% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.12% | 0.09% | (0.09)% | (0.10)% | (0.36)% | (0.50)% | ||||||||||||||||||||
Portfolio Turnover Rate | 22% | 57% | 39% | 56% | 83% | 79% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. | |
(2) | Less than $0.005 on a per share basis. |
See Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Global Technology Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in equity securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
16 | JUNE 30, 2015
Table of Contents
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2015.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | ||||||
Level 2 to | ||||||
Portfolio | Level 1 | |||||
Janus Aspen Global Technology Portfolio | $ | 15,304,442 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make
Janus Aspen Series | 17
Table of Contents
Notes to Financial Statements (unaudited) (continued)
estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Derivative Instruments |
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the period ended June 30, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
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
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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:
• | Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio. | |
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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
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Notes to Financial Statements (unaudited) (continued)
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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Global Technology Portfolio | $ | 3,871,748 | ||||
Options Contracts
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price on or before a specified date. The purchaser pays a premium to the seller for this right. The seller has the corresponding obligation to sell or buy a financial instrument if the purchaser (owner) “exercises” the option. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option are adjusted by the amount of premium received or paid. Upon expiration, or closing of the option transaction, a realized gain or loss is reported on the Statement of Operations (if applicable). The difference between the premium paid/received and the market value of the option is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported on the Statement of Operations (if applicable). Option contracts are typically valued using an approved vendor’s option valuation model. To the extent reliable market quotations are available, option contracts are valued using market quotations. In cases when an approved vendor cannot provide coverage for an option and there is no reliable market quotation, a broker quotation or an internal valuation using the Black-Scholes model, the Cox-Rubenstein Binomial Option Pricing Model, or other appropriate option pricing model is used. Certain options contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities as “Variation margin receivable” or “Variation margin payable” (if applicable).
The Portfolio may use options contracts to hedge against changes in interest rates, the values of equities, or foreign currencies. The Portfolio generally invests in options to hedge against adverse movements in the value of portfolio holdings. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. A lack of correlation between the value of an instrument underlying an option and the asset being hedged, or unexpected adverse price movements, could render the Portfolio’s hedging strategy unsuccessful. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased or sold. The Portfolio may be subject to counterparty risk, interest rate risk, liquidity risk, equity risk, commodity risk, and currency risk in the normal course of pursuing its investment objective through its investments in options contracts.
Options traded on an exchange are regulated and the terms of the options are standardized. Options traded OTC expose the Portfolios to counterparty risk in the event that the counterparty does not perform. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by having the counterparty post collateral to cover the Portfolio’s exposure to the counterparty.
In writing an option, the Portfolio bears the risk of an unfavorable change in the price of the security underlying the written option. When an option is written, the Portfolio receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options written are reported as a liability on the Statement of Assets and Liabilities as “Options written, at value” (if applicable). The risk in writing call options is that the Portfolio gives up the opportunity for profit if the market price of the security increases and the options are exercised. The risk in writing put options is that the Portfolio may incur a loss if the market price of the security decreases and the options are exercised. The risk in buying options is that the Portfolio pays a premium whether or not the options are exercised. Exercise of an option written by the Portfolio could result in the Portfolio buying or selling a security at a price different from the current market value.
During the period, the Portfolio wrote put options on various equity securities for the purpose of increasing exposure to individual equity risk and/or generating income.
The following table provides average ending monthly market value amounts on written put options during the period ended June 30, 2015.
Portfolio | Written Put Options | |||||
Janus Aspen Global Technology Portfolio | $ | 19,380 | ||||
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Written option activity for the period ended June 30, 2015 is indicated in the table below:
Number of | Premiums | |||||||||
Put Options | Contracts | Received | ||||||||
Janus Aspen Global Technology Portfolio | ||||||||||
Options outstanding at December 31, 2014 | 117 | $ | 63,418 | |||||||
Options written | – | – | ||||||||
Options closed | – | – | ||||||||
Options expired | (117) | (63,418) | ||||||||
Options exercised | – | – | ||||||||
Options outstanding at June 30, 2015 | – | $ | – | |||||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Asset Derivatives | Liability Derivatives | ||||||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Janus Aspen Global Technology Portfolio | ||||||||||||
Currency Contracts | Forward currency contracts | $ | 3,087 | Forward currency contracts | $ | 48,458 | ||||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as | ||||||||||||
hedging instruments | Investments and foreign currency transactions | Written options contracts | Total | |||||||||
Janus Aspen Global Technology Portfolio | ||||||||||||
Currency Contracts | $ | 67,268 | $ | – | $ | 67,268 | ||||||
Equity Contracts | – | 63,418 | 63,418 | |||||||||
Total | $ | 67,268 | $ | 63,418 | $ | 130,686 | ||||||
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||||||||||
Investments, foreign | ||||||||||||
currency translations and | ||||||||||||
Derivatives not accounted for as | non-interested Trustees’ | |||||||||||
hedging instruments | deferred compensation | Written options contracts | Total | |||||||||
Janus Aspen Global Technology Portfolio | ||||||||||||
Currency Contracts | $ | (54,201 | ) | $ | – | $ | (54,201 | ) | ||||
Equity Contracts | – | (17,698 | ) | (17,698 | ) | |||||||
Total | $ | (54,201 | ) | $ | (17,698 | ) | $ | (71,899 | ) | |||
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
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
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Notes to Financial Statements (unaudited) (continued)
understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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.
Emerging Market Investing
Within the parameters of its specific investment policies, the Portfolio may invest in securities of issuers or companies from or with exposure to one or more “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
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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. Additionally, foreign and emerging market risks, including, but not limited to, price controls, expropriation or confiscatory taxation, imposition or enforcement of foreign ownership limits, nationalization, and restrictions on repatriation of assets may be heightened to the extent the Portfolio invests in Chinese local market securities (also known as “A Shares”).
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ | 595 | $ | (595) | $ | – | $ | – | ||||||||||
Deutsche Bank AG | 6,103,127 | – | (6,103,127) | – | ||||||||||||||
HSBC Securities (USA), Inc. | 2,108 | (1,898) | – | 210 | ||||||||||||||
JPMorgan Chase & Co. | 384 | (154) | – | 230 | ||||||||||||||
Total | $ | 6,106,214 | $ | (2,647) | $ | (6,103,127) | $ | 440 | ||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ | 9,671 | $ | (595) | $ | – | $ | 9,076 | ||||||||||
Citibank NA | 3,045 | – | – | 3,045 | ||||||||||||||
Credit Suisse International | 18,562 | – | – | 18,562 | ||||||||||||||
HSBC Securities (USA), Inc. | 1,898 | (1,898) | – | – | ||||||||||||||
JPMorgan Chase & Co. | 154 | (154) | – | – | ||||||||||||||
RBC Capital Markets Corp. | 15,128 | – | – | 15,128 | ||||||||||||||
Goldman Sachs International | 751,539 | – | (751,539) | – | ||||||||||||||
Total | $ | 799,997 | $ | (2,647) | $ | (751,539) | $ | 45,811 | ||||||||||
(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. 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
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Notes to Financial Statements (unaudited) (continued)
permitted by the SEC. The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
Goldman Sachs International is the prime broker for short sales. Short sales held by the Portfolio are fully collateralized by restricted cash or other securities, which are denoted on the accompanying Schedule of Investments.
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to qualified parties. Deutsche Bank AG acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Cash Collateral Fund LLC, but it may not receive a fee for
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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. 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.
Short Sales
The Portfolio may engage in “short sales against the box.” Short sales against the box involve either selling short a security that the Portfolio owns or selling short a security that the Portfolio has the right to obtain, for delivery at a specified date in the future. The Portfolio may enter into short sales against the box to hedge against anticipated declines in the market price of portfolio securities. The Portfolio does not deliver from its portfolio the securities sold short and does not immediately receive the proceeds of the short sale. The Portfolio borrows the securities sold short and receives proceeds from the short sale only when it delivers the securities to the lender. If the value of the securities sold short increases prior to the scheduled delivery date, the Portfolio loses the opportunity to participate in the gain.
The Portfolio may also engage in other short sales. The Portfolio may engage in short sales when the portfolio managers anticipate that a security’s market purchase price will be less than its borrowing price. To complete the transaction, the Portfolio must borrow the security to deliver it to the purchaser and buy that same security in the market to return it to the lender. No more than 10% of the Portfolio’s net assets may be invested in short positions (through short sales of stocks, structured products, futures, swaps, and uncovered written calls). The Portfolio may engage in short sales “against the box” and options for hedging purposes that are not subject to this 10% limit. Although the potential for gain as a result of a short sale is limited to the price at which the Portfolio sold the security short less the cost of borrowing the security, the potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. There is no assurance the Portfolio will be able to close out a short position at a particular time or at an acceptable price. A gain or a loss will be recognized upon termination of a short sale. Short sales held by the Portfolio are fully collateralized by restricted cash or other securities, which are denoted on the accompanying Schedule of Investments. The Portfolio is also required to pay the lender of the security any dividends or interest that accrue on a borrowed security during the period of the loan. Depending on the arrangements made with the broker or custodian, the Portfolio may or may not receive any payments (including interest) on collateral it has deposited with the broker. The Portfolio pays stock loan fees, disclosed on the Statement of Operations, on assets borrowed from the security broker.
The Portfolio may also enter into short positions through derivative instruments, such as options contracts, futures contracts, and swap agreements, which may expose the Portfolio to similar risks. To the extent that the Portfolio enters into short derivative positions, the Portfolio may be exposed to risks similar to those associated with short sales, including the risk that the Portfolio’s losses are theoretically unlimited.
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 following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily | Contractual | |||||||||
Net Assets | Investment | |||||||||
Portfolio | of the Portfolio | Advisory Fee (%) | ||||||||
Janus Aspen Global Technology Portfolio | All Asset Levels | 0.64 | ||||||||
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the transfer agency agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
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Notes to Financial Statements (unaudited) (continued)
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen Global Technology Portfolio | 1.08 | |||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money
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market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in passive foreign investment companies.
Net Tax | ||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||
Janus Aspen Global Technology Portfolio | $137,887,775 | $37,101,208 | $(4,097,884) | $33,003,324 | ||||||
Information on the tax components of securities sold short as of June 30, 2015 is as follows:
Net Tax | ||||||||||
Federal Tax | Unrealized | Unrealized | (Appreciation)/ | |||||||
Portfolio | Cost | (Appreciation) | Depreciation | Depreciation | ||||||
Janus Aspen Global Technology Portfolio | $(725,812) | $(144,651) | $118,924 | $(25,727) | ||||||
6. | Capital Share Transactions |
Janus Aspen Global Technology Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 92,948 | 254,050 | ||||||||
Reinvested dividends and distributions | 154,786 | 64,080 | ||||||||
Shares repurchased | (118,360) | (211,179) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 129,374 | 106,951 | ||||||||
Shares Outstanding, Beginning of Period | 1,003,141 | 896,190 | ||||||||
Shares Outstanding, End of Period | 1,132,515 | 1,003,141 |
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Notes to Financial Statements (unaudited) (continued)
Janus Aspen Global Technology Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 2,067,595 | 4,082,307 | ||||||||
Reinvested dividends and distributions | 2,718,896 | 1,041,114 | ||||||||
Shares repurchased | (2,337,817) | (3,550,625) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 2,448,674 | 1,572,796 | ||||||||
Shares Outstanding, Beginning of Period | 17,894,746 | 16,321,950 | ||||||||
Shares Outstanding, End of Period | 20,343,420 | 17,894,746 |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen Global Technology Portfolio | $39,163,063 | $36,005,535 | $– | $– | ||||||
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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Additional Information (unaudited) (continued)
the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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Additional Information (unaudited) (continued)
underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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Additional Information (unaudited) (continued)
noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-93921 | 109-24-81119 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Global Unconstrained Bond Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio
1 | ||
13 | ||
15 | ||
16 | ||
17 | ||
18 | ||
19 | ||
38 | ||
40 |
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio (unaudited)
PORTFOLIO SNAPSHOT This dynamic, opportunistic bond portfolio seeks to achieve long-term positive returns in diverse market environments over full market cycles. The Portfolio invests broadly across global fixed income markets and is not constrained by benchmark-specific guidelines. The unconstrained nature of the strategy allows us to fully express our high-conviction active views and avoid areas of the market where we see greater downside risk. |
Janus Aspen Global Unconstrained Bond Portfolio began investment operations on January 29, 2015. The information provided for Janus Aspen Global Unconstrained Bond Portfolio reflects investment activity for the period January 29, 2015 to June 30, 2015.
Janus Aspen Series | 1
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio (unaudited)
Janus Aspen Global Unconstrained Bond Portfolio At A Glance
Portfolio Profile
June 30, 2015
Weighted Average Maturity | 1.9 Years | |
Average Effective Duration* | 1.0 Years | |
30-day Current Yield** | ||
Institutional Shares at NAV | ||
Without Reimbursement | -1.95% | |
With Reimbursement | 0.49% | |
Service Shares at NAV | ||
Without Reimbursement | -2.12% | |
With Reimbursement | 0.31% | |
Number of Bonds/Notes | 61 |
* | A theoretical measure of price volatility | |
** | Yield will fluctuate |
Ratings† Summary – (% of Total Investments)
June 30, 2015
AA | 12.9% | |
A | 7.8% | |
BBB | 39.1% | |
BB | 12.0% | |
B | 1.8% | |
D | 2.6% | |
Not Rated | 13.4% | |
Other | 10.4% |
† | 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. |
Significant Areas of Investment – (% of Net Assets)
As of June 30, 2015
Asset Allocation – (% of Net Assets)
As of June 30, 2015
Emerging markets comprised 8.7% of total net assets.
2 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance
Cumulative Total Return – for the period ended June 30, 2015 | Expense Ratios – per the January 29, 2015 prospectuses (estimated for the fiscal year) | ||||||
Since | Total Annual Fund | Total Annual Fund Operating | |||||
Inception* | Operating Expenses | Expenses After Expense Recoupment | |||||
Janus Aspen Global Unconstrained Bond Portfolio – Institutional Shares | –2.10% | 0.94% | 0.83% | ||||
Janus Aspen Global Unconstrained Bond Portfolio – Service Shares | –2.20% | 1.18% | 1.07% | ||||
3-Month USD LIBOR | 0.11% | ||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
Net expense ratios reflect the expense waiver, if any, Janus Capital has contractually agreed to through May 1, 2016.
The expense ratios shown reflect estimated annualized expenses that the Portfolio expects to incur during its initial fiscal year.
Performance for very short time periods may not be indicative of future performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Fixed income securities are subject to interest rate, inflation, credit and default risk. As interest rates rise, bond prices usually fall, and vice versa. High-yield bonds, or “junk” bonds, involve a greater risk of default and price volatility. Foreign securities, including sovereign debt, are subject to currency fluctuations, political and economic uncertainty, increased volatility and lower liquidity, all of which are magnified in emerging markets.
Derivatives involve risks in addition to the risks of the underlying securities, including gains or losses which, as a result of leverage, can be substantially greater than the derivatives’ original cost. Short sales are speculative transactions with potentially unlimited losses, and the use of leverage can magnify the effect of losses. No investment strategy can ensure a profit or eliminate the risk of loss.
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.
Until the earlier of three years from inception or the Portfolio’s assets meeting the first fee breakpoint, Janus Capital may recover expenses previously waived or reimbursed if the expense ratio falls below certain limits.
Rankings are not provided for Portfolios that are less than one year old.
See important disclosures on the next page
Janus Aspen Series | 3
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio (unaudited)
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – January 29, 2015 |
4 | JUNE 30, 2015
Table of Contents
(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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/29/15) | (6/30/15) | (1/29/15 - 6/30/15)* | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/29/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 979.00 | $ | 3.61 | $ | 1,000.00 | $ | 1,020.48 | $ | 4.36 | 0.87% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 978.00 | $ | 4.60 | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 | 1.11% | |||||||||||||||||
* | Actual Expenses Paid During Period reflect only the inception period for the Portfolio (January 29, 2015 to June 30, 2015) and are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 153/365 (to reflect the period). Therefore, actual expenses shown are lower than would be expected for a six-month period. | |
† | Hypothetical 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 | 5
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 11.2% | ||||||||||
$4,880 | Banc of America Funding 2006-7 Trust 6.0000%, 9/25/36‡ | $ | 4,794 | |||||||
160,900 | Credit Suisse First Boston Mortgage Securities Corp. 5.5000%, 12/25/34† | 159,310 | ||||||||
296,611 | Morgan Stanley Mortgage Loan Trust 2006-2 5.7500%, 2/25/36† | 280,538 | ||||||||
100,000 | Springleaf Mortgage Loan Trust 2012-2 6.0000%, 10/25/57 (144A)†,‡ | 100,749 | ||||||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $541,915) | 545,391 | |||||||||
Common Stocks – 5.1% | ||||||||||
Chemicals – 5.1% | ||||||||||
1,786 | Sigma-Aldrich Corp.† | 248,879 | ||||||||
Real Estate Investment Trusts (REITs) – 0% | ||||||||||
30 | American Capital Agency Corp. | 551 | ||||||||
114 | Annaly Capital Management, Inc. | 1,048 | ||||||||
1,599 | ||||||||||
Total Common Stocks (cost $248,107) | 250,478 | |||||||||
Corporate Bonds – 55.8% | ||||||||||
Banking – 12.9% | ||||||||||
220,000 | Ally Financial, Inc. 3.1250%, 1/15/16† | 220,825 | ||||||||
2,000 | Ally Financial, Inc. 3.2500%, 9/29/17† | 2,000 | ||||||||
120,000 | Ally Financial, Inc. 3.2500%, 2/13/18† | 119,250 | ||||||||
25,000 | Ally Financial, Inc. 8.0000%, 12/31/18† | 27,906 | ||||||||
244,000 | Royal Bank of Scotland Group PLC 2.5500%, 9/18/15† | 244,682 | ||||||||
100,000 | Toll Road Investors Partnership II LP 0%, 2/15/43†,§ | 17,471 | ||||||||
632,134 | ||||||||||
Basic Industry – 0.2% | ||||||||||
8,000 | ArcelorMittal 4.5000%, 8/5/15† | 8,002 | ||||||||
1,000 | United States Steel Corp. 6.0500%, 6/1/17† | 1,040 | ||||||||
9,042 | ||||||||||
Capital Goods – 4.0% | ||||||||||
8,000 | Harris Corp. 2.7000%, 10/15/15† | 8,000 | ||||||||
150,000 | Masco Corp. 6.1250%, 10/3/16 | 157,875 | ||||||||
16,000 | Pentair Finance SA 1.3500%, 12/1/15† | 16,021 | ||||||||
14,000 | SPX Corp. 6.8750%, 9/1/17† | 15,085 | ||||||||
196,981 | ||||||||||
Communications – 2.7% | ||||||||||
2,000 | CenturyLink, Inc. 5.1500%, 6/15/17† | 2,075 | ||||||||
119,000 | DISH DBS Corp. 7.1250%, 2/1/16† | 122,124 | ||||||||
1,000 | Embarq Corp. 7.0820%, 6/1/16 | 1,040 | ||||||||
4,000 | Qwest Corp. 6.5000%, 6/1/17† | 4,324 | ||||||||
129,563 | ||||||||||
Consumer Cyclical – 12.5% | ||||||||||
5,000 | Dillard’s, Inc. 6.6250%, 1/15/18† | 5,481 | ||||||||
100,000 | Ford Motor Credit Co. LLC 5.6250%, 9/15/15† | 100,908 | ||||||||
100,000 | Ford Motor Credit Co. LLC 4.2070%, 4/15/16† | 102,274 | ||||||||
200,000 | Ford Motor Credit Co. LLC 1.4610%, 3/27/17† | 199,106 | ||||||||
12,000 | Lennar Corp. 4.5000%, 11/15/19† | 12,150 | ||||||||
32,000 | MGM Resorts International 6.6250%, 7/15/15† | 31,995 | ||||||||
5,000 | MGM Resorts International 6.8750%, 4/1/16† | 5,162 | ||||||||
150,000 | MGM Resorts International 7.5000%, 6/1/16† | 156,375 | ||||||||
613,451 | ||||||||||
Consumer Non-Cyclical – 0.4% | ||||||||||
3,000 | Fresenius US Finance II, Inc. 9.0000%, 7/15/15 (144A),† | 3,005 | ||||||||
2,000 | Reynolds American, Inc. 1.0500%, 10/30/15 | 1,993 | ||||||||
15,000 | RJ Reynolds Tobacco Co. 3.5000%, 8/4/16 | 15,337 | ||||||||
20,335 | ||||||||||
Electric – 0.5% | ||||||||||
20,000 | LG&E and KU Energy LLC 2.1250%, 11/15/15 | 20,074 | ||||||||
5,000 | Talen Energy Supply LLC 5.7000%, 10/15/15† | 5,000 | ||||||||
25,074 | ||||||||||
Energy – 1.0% | ||||||||||
12,000 | Chesapeake Energy Corp. 3.2500%, 3/15/16† | 11,955 | ||||||||
15,000 | Enterprise Products Operating LLC 1.2500%, 8/13/15† | 15,007 | ||||||||
13,000 | Marathon Oil Corp. 0.9000%, 11/1/15† | 12,997 | ||||||||
8,000 | Spectra Energy Partners LP 2.9500%, 6/15/16† | 8,112 | ||||||||
48,071 | ||||||||||
Finance Companies – 3.7% | ||||||||||
5,000 | Aviation Capital Group Corp. 3.8750%, 9/27/16 (144A),† | 5,089 | ||||||||
16,000 | CIT Group, Inc. 5.0000%, 5/15/17† | 16,499 | ||||||||
152,000 | International Lease Finance Corp. 8.6250%, 9/15/15† | 153,900 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
6 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Finance Companies – (continued) | ||||||||||
$2,000 | International Lease Finance Corp. 5.7500%, 5/15/16† | $ | 2,050 | |||||||
3,000 | iStar Financial, Inc. 3.8750%, 7/1/16† | 3,011 | ||||||||
180,549 | ||||||||||
Government Sponsored – 0.7% | ||||||||||
6,000 | Eksportfinans ASA 2.0000%, 9/15/15 | 6,003 | ||||||||
22,000 | Eksportfinans ASA 2.3750%, 5/25/16 | 22,000 | ||||||||
5,000 | Eksportfinans ASA 5.5000%, 5/25/16 | 5,144 | ||||||||
33,147 | ||||||||||
Insurance – 2.1% | ||||||||||
100,000 | American International Group, Inc. 5.0500%, 10/1/15† | 101,010 | ||||||||
2,000 | Prudential Financial, Inc. 4.7500%, 9/17/15† | 2,016 | ||||||||
103,026 | ||||||||||
Natural Gas – 0.1% | ||||||||||
6,000 | Sempra Energy 6.5000%, 6/1/16† | 6,286 | ||||||||
Owned No Guarantee – 5.8% | ||||||||||
209,000 | Petrobras Global Finance BV 3.8750%, 1/27/16† | 209,892 | ||||||||
3,000 | Petrobras Global Finance BV 2.0000%, 5/20/16 | 2,965 | ||||||||
25,000 | Petrobras Global Finance BV 3.5000%, 2/6/17 | 24,731 | ||||||||
45,000 | Petrobras Global Finance BV 3.2500%, 3/17/17 | 44,375 | ||||||||
281,963 | ||||||||||
Real Estate Investment Trusts (REITs) – 6.6% | ||||||||||
210,000 | Highwoods Realty LP 5.8500%, 3/15/17† | 224,194 | ||||||||
100,000 | Regency Centers LP 5.2500%, 8/1/15† | 100,322 | ||||||||
324,516 | ||||||||||
Technology – 2.6% | ||||||||||
13,000 | Avnet, Inc. 6.0000%, 9/1/15† | 13,098 | ||||||||
5,000 | Dell, Inc. 2.3000%, 9/10/15† | 5,000 | ||||||||
106,000 | Hewlett-Packard Co. 2.1250%, 9/13/15† | 106,351 | ||||||||
124,449 | ||||||||||
Total Corporate Bonds (cost $2,731,346) | 2,728,587 | |||||||||
Inflation-Indexed Bonds – 2.9% | ||||||||||
MXN 1,947,129 | Mexican Udibonos 4.5000%, 12/4/25 (cost $144,954) | 141,452 | ||||||||
Short-Term Taxable Variable Rate Demand Notes – 1.3% | ||||||||||
15,000 | Chicago Board of Education 6.0380%, 12/1/29† | 13,185 | ||||||||
20,000 | City of Chicago, IL 5.3640%, 12/1/29† | 16,492 | ||||||||
40,000 | City of Chicago, IL 6.2070%, 1/1/32† | 35,642 | ||||||||
Total Short-Term Taxable Variable Rate Demand Notes (cost $66,235) | 65,319 | |||||||||
Investment Companies – 5.2% | ||||||||||
Closed-End Funds – 0.9% | ||||||||||
2,142 | BlackRock Build America Bond Trust | $ | 42,562 | |||||||
Exchange-Traded Funds (ETFs) – 0% | ||||||||||
23 | iShares US Preferred Stock | 901 | ||||||||
Money Markets – 4.3% | ||||||||||
211,000 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 211,000 | ||||||||
Total Investment Companies (cost $261,644) | 254,463 | |||||||||
Total Investments (total cost $3,994,201) – 81.5% | 3,985,690 | |||||||||
Cash, Receivables and Other Assets, net of Liabilities – 18.5% | 904,859 | |||||||||
Net Assets – 100% | $ | 4,890,549 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 3,257,418 | 81 | .7% | ||||
Brazil | 281,963 | 7 | .1 | |||||
United Kingdom | 260,703 | 6 | .5 | |||||
Mexico | 141,452 | 3 | .6 | |||||
Norway | 33,147 | 0 | .8 | |||||
Luxembourg | 8,002 | 0 | .2 | |||||
Germany | 3,005 | 0 | .1 | |||||
Total | $ | 3,985,690 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | |||||||||||||
Currency | Currency | Appreciation/ | |||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | ||||||||||
JPMorgan Chase & Co.: Mexican Peso 7/30/15 | 2,219,000 | $ | 140,892 | $ | 608 | ||||||||
Schedule of Futures – Short
Unrealized | |||
Appreciation/ | |||
Description | (Depreciation) | ||
S&P® 500 E-mini expires September 2015 12 contracts principal amount $1,239,984 Market value $1,232,640 | $ | 7,344 | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Schedule of Exchange-Traded Written Options – Calls
Description | Value | ||
S&P® 500 E-mini Future expires July 2015 1 contracts exercise price $2,190.00 | $ | (10) | |
S&P® 500 E-mini Future expires August 2015 15 contracts exercise price $2,180.00 | (1,800) | ||
S&P® 500 E-mini Future expires August 2015 14 contracts exercise price $2,190.00 | (1,190) | ||
S&P® 500 E-mini Future expires August 2015 8 contracts exercise price $2,200.00 | (480) | ||
U.S. Treasury Long Bond Future expires August 2015 5 contracts exercise price $155.00 | (7,969) | ||
U.S. Treasury Long Bond Future expires August 2015 5 contracts exercise price $156.00 | (6,641) | ||
U.S. Treasury Long Bond Future expires August 2015 4 contracts exercise price $158.00 | (3,687) | ||
Total Exchange-Traded Written Options – Calls (premiums received $41,666) | $ | (21,777) | |
Schedule of Exchange-Traded Written Options – Calls with Variation Margin
Unrealized | |||
Appreciation/ | |||
Description | (Depreciation) | ||
Euro-Bund Future expires August 2015 10 contracts exercise price EUR 156.00 | $ | 662 | |
Euro-Bund Future expires August 2015 6 contracts exercise price EUR 157.00 | 983 | ||
Total Exchange-Traded Written Options – Calls with Variation Margin | $ | 1,645 | |
Schedule of Exchange-Traded Written Options – Puts
Description | Value | ||
10-Year U.S. Treasury Note Future expires August 2015 27 contracts exercise price $124.00 | $ | (10,969) | |
S&P® 500 E-mini Future expires July 2015 4 contracts exercise price $1960.00 | (1,750) | ||
S&P® 500 E-mini Future expires July 2015 16 contracts exercise price $1970.00 | (8,200) | ||
S&P® 500 E-mini Future expires July 2015 8 contracts exercise price $1,980.00 | (4,600) | ||
S&P® 500 E-mini Future expires July 2015 14 contracts exercise price $2,020.00 | (13,650) | ||
S&P® 500 E-mini Future expires August 2015 3 contracts exercise price $1,970.00 | (3,788) | ||
U.S. Treasury Long Bond Future expires August 2015 3 contracts exercise price $146.00 | (3,891) | ||
U.S. Treasury Long Bond Future expires August 2015 2 contracts exercise price $147.00 | (3,187) | ||
U.S. Treasury Note Future expires August 2015 9 contracts exercise price $117.00 | (703) | ||
U.S. Treasury Note Future expires August 2015 6 contracts exercise price $118.00 | (1,312) | ||
Total Exchange-Traded Written Options – Puts (premiums received $39,490) | $ | (52,050) | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Schedule of OTC Written Options – Calls
Counterparty/Reference Asset | Value | ||
JPMorgan Chase & Co.: | |||
EUR Currency expires August 2015 746,164 contracts exercise price EUR 1.17 | $ | (2,368) | |
JPY Currency expires August 2015 230,500 contracts exercise price JPY 127.00 | (369) | ||
MXN Currency expires July 2015 114,330 contracts exercise price MXN 15.50 | (2,122) | ||
Total OTC Written Options – Calls (premiums received $5,751) | $ | (4,859) | |
Schedule of OTC Written Options – Puts
Counterparty/Reference Asset | Value | ||
JPMorgan Chase & Co.: | |||
EUR Currency expires August 2015 374,833 contracts exercise price EUR 1.08 | $ | (3,212) | |
JPY Currency expires July 2015 689,227 contracts exercise price JPY 117.00 | (577) | ||
JPY Currency expires July 2015 230,246 contracts exercise price JPY 120.00 | (838) | ||
MXN Currency expires July 2015 686,485 contracts exercise price MXN 14.80 | (40) | ||
Total OTC Written Options – Puts (premiums received $6,632) | $ | (4,667) | |
Schedule of OTC Written Interest Rate Swaptions
Pay/ | |||||||||||||||||||||||||
Receive | Unrealized | Swaptions | |||||||||||||||||||||||
Floating | Floating | Fixed | Expiration | Notional | Premiums | Appreciation/ | Written, | ||||||||||||||||||
Counterparty | Description | Rate | Rate | Rate | Date | Amount | Received | (Depreciation) | at Value | ||||||||||||||||
Written Call Swaptions: | |||||||||||||||||||||||||
Citigroup Global Markets | Interest Rate Swap maturing 7/13/45 | Receive | 6-Month EURIBOR | 0.70 | % | 7/9/15 | 55,000 | EUR | $ | 1,045 | $ | 1,045 | $ | – | |||||||||||
Morgan Stanley | Interest Rate Swap maturing 7/15/45 | Receive | 3-Month USD LIBOR | 2.40 | 7/13/15 | 117,000 | USD | 3,759 | 3,756 | (3) | |||||||||||||||
Morgan Stanley | Interest Rate Swap maturing 7/9/45 | Receive | 6-Month GBP LIBOR | 1.80 | 7/9/15 | 32,000 | GBP | 1,054 | 1,054 | – | |||||||||||||||
Total | $ | 5,858 | $ | 5,855 | $ | (3) | |||||||||||||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Schedule of OTC Written Credit Default Swaptions
Unrealized | Swaptions | ||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Expiration | Notional | Premiums | Appreciation/ | Written, | ||||||||||||||||
Counterparty | Asset | Description | Protection | Rate | Date | Amount | Received | (Depreciation) | at Value | ||||||||||||||
Written Call Swaptions: | |||||||||||||||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | % | 9/16/15 | $1,047,000 | $ | 838 | $ | 322 | $ | (516) | ||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 746,000 | 690 | 323 | (367) | ||||||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 746,000 | 578 | 211 | (367) | ||||||||||||||
Goldman Sachs International | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 746,000 | 429 | 62 | (367) | ||||||||||||||
Goldman Sachs International | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 748,000 | 426 | 58 | (368) | ||||||||||||||
Morgan Stanley | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 746,000 | 500 | 133 | (367) | ||||||||||||||
Morgan Stanley | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Buy | 1.00 | 9/16/15 | 748,000 | 400 | 32 | (368) | ||||||||||||||
$ | 3,861 | $ | 1,141 | $ | (2,720) | ||||||||||||||||||
Written Put Swaptions: | |||||||||||||||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | % | 9/16/15 | $746,000 | $ | 373 | $ | (388) | $ | (761) | ||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 1,047,000 | 963 | (103) | (1,066) | ||||||||||||||
Bank of America | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 746,000 | 727 | (444) | (1,171) | ||||||||||||||
Goldman Sachs International | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 750,000 | 473 | (21) | (494) | ||||||||||||||
Goldman Sachs International | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 750,000 | 525 | 31 | (494) | ||||||||||||||
Morgan Stanley | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 746,000 | 507 | (253) | (760) | ||||||||||||||
Morgan Stanley | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 748,000 | 733 | (29) | (762) | ||||||||||||||
Morgan Stanley | CDX.NA.IG.24 | Credit Default Swap maturing 6/20/20 | Sell | 1.00 | 9/16/15 | 748,000 | 471 | (291) | (762) | ||||||||||||||
$ | 4,772 | $ | (1,498) | $ | (6,270) | ||||||||||||||||||
Total | $ | 8,633 | $ | (357) | $ | (8,990) | |||||||||||||||||
Centrally Cleared Interest Rate Swaps outstanding at June 30, 2015
Variation | |||||||||||||||||||||||
Premiums | Unrealized | Margin | |||||||||||||||||||||
Pay/Receive | Floating | Fixed | Maturity | Notional | Paid/ | Appreciation/ | Asset/ | ||||||||||||||||
Floating Rate | Rate | Rate | Date | Amount | (Received) | (Depreciation) | (Liability) | ||||||||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.4000 | % | 5/14/25 | 1,747,000 | MXN | $ | 755 | $ | (1,723) | $ | 192 | |||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.4020 | 5/20/25 | 1,781,000 | MXN | 751 | (1,741) | 196 | |||||||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.5500 | 5/21/25 | 1,771,000 | MXN | 746 | (1,143) | 201 | |||||||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.8750 | 5/29/25 | 1,782,000 | MXN | 750 | 136 | 214 | |||||||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.7750 | 5/30/25 | 2,311,000 | MXN | 749 | (122) | 273 | |||||||||||||||
Pay | Mexico Interbank TIIE 28 Days | 7.8250 | 5/30/25 | 2,320,000 | MXN | 749 | 141 | 276 | |||||||||||||||
Receive | 6-Month EURIBOR | 0.7190 | 4/21/25 | 117,000 | EUR | 753 | 5,946 | (222) | |||||||||||||||
Receive | 6-Month EURIBOR | 2.0125 | 6/11/25 | 125,000 | EUR | 752 | (1,966) | (264) | |||||||||||||||
Receive | 6-Month EURIBOR | 2.0150 | 6/12/25 | 101,000 | EUR | 756 | (1,747) | (214) | |||||||||||||||
Receive | 6-Month EURIBOR | 1.8875 | 6/15/25 | 134,000 | EUR | 754 | (1,156) | (281) | |||||||||||||||
Receive | 6-Month EURIBOR | 1.9220 | 6/15/25 | 134,000 | EUR | 756 | (1,402) | (281) | |||||||||||||||
Receive | 6-Month EURIBOR | 1.8900 | 6/16/25 | 134,000 | EUR | 751 | (1,168) | (281) | |||||||||||||||
Total | $ | 9,022 | $ | (5,945) | $ | (191) | |||||||||||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
OTC Interest Rate Swaps outstanding at June 30, 2015
Pay/ | Outstanding | ||||||||||||||||||||||
Receive | Unrealized | Swap Contracts, | |||||||||||||||||||||
Floating | Floating | Fixed | Maturity | Notional | Appreciation/ | at Value | |||||||||||||||||
Counterparty | Rate | Rate | Rate | Date | Amount | (Depreciation) | Asset/(Liability) | ||||||||||||||||
Citigroup Global Markets | Pay | Mexico Interbank TIIE 28 Day | 7.3700 | % | 5/15/25 | 1,755,000 | MXN | $ | (1,093) | $ | (1,093) | ||||||||||||
Citigroup Global Markets | Pay | Mexico Interbank TIIE 28 Day | 7.3600 | 5/19/25 | 1,753,000 | MXN | (1,138) | (1,138) | |||||||||||||||
Goldman Sachs International | Pay | Mexico Interbank TIIE 28 Day | 7.9000 | 5/28/25 | 1,796,000 | MXN | 996 | 996 | |||||||||||||||
Goldman Sachs International | Pay | Mexico Interbank TIIE 28 Day | 7.7750 | 6/2/25 | 2,316,000 | MXN | 621 | 621 | |||||||||||||||
Goldman Sachs International | Pay | Mexico Interbank TIIE 28 Day | 7.4050 | 5/14/25 | 1,747,000 | MXN | (949) | (949) | |||||||||||||||
Goldman Sachs International | Pay | Mexico Interbank TIIE 28 Day | 7.3500 | 5/20/25 | 1,753,000 | MXN | (1,180) | (1,180) | |||||||||||||||
Total | $ | (2,743) | $ | (2,743) | |||||||||||||||||||
OTC Credit Default Swaps outstanding at June 30, 2015
Outstanding | ||||||||||||||||||||||||||
Premiums | Unrealized | Swap Contracts, | ||||||||||||||||||||||||
Reference | Buy/Sell | Fixed | Maturity | Notional | Paid/ | Appreciation/ | at Value | |||||||||||||||||||
Counterparty | Asset | Protection(1) | Rate | Date | Amount(2) | (Received) | (Depreciation) | Asset/(Liability) | ||||||||||||||||||
Barclays Capital, Inc. | Federative Republic of Brazil(3) | Sell | 1.0000 | % | 3/20/16 | $ | 500,000 | $ | (939) | $ | 1,642 | $ | 703 | |||||||||||||
Barclays Capital, Inc. | Israel Electric Corp., Ltd.(3) | Sell | 1.0000 | 9/20/15 | 75,000 | 123 | (110) | 13 | ||||||||||||||||||
Barclays Capital, Inc. | Republic of Indonesia(3) | Sell | 1.0000 | 6/20/17 | 116,000 | 734 | (107) | 627 | ||||||||||||||||||
Barclays Capital, Inc. | Russian Federation(3) | Sell | 1.0000 | 12/20/15 | 114,000 | (552) | (213) | (765) | ||||||||||||||||||
BNP Paribas | Federative Republic of Brazil(3) | Sell | 1.0000 | 12/20/15 | 230,000 | 419 | (187) | 232 | ||||||||||||||||||
BNP Paribas | Federative Republic of Brazil(3) | Sell | 1.0000 | 3/20/16 | 120,000 | 14 | 155 | 169 | ||||||||||||||||||
BNP Paribas | Federative Republic of Brazil(3) | Sell | 1.0000 | 6/20/16 | 230,000 | 417 | (305) | 112 | ||||||||||||||||||
BNP Paribas | People’s Republic of China(4) | Sell | 1.0000 | 6/20/18 | 114,000 | 1,894 | (248) | 1,646 | ||||||||||||||||||
BNP Paribas | People’s Republic of China(4) | Sell | 1.0000 | 3/20/20 | 500,000 | 1,824 | 1,939 | 3,763 | ||||||||||||||||||
BNP Paribas | United Mexican States(3) | Sell | 1.0000 | 6/20/16 | 115,000 | 650 | (88) | 562 | ||||||||||||||||||
BNP Paribas | United Mexican States(3) | Sell | 1.0000 | 6/20/17 | 115,000 | 791 | (188) | 603 | ||||||||||||||||||
BNP Paribas | United Mexican States(3) | Sell | 1.0000 | 3/20/20 | 60,000 | (930) | 341 | (589) | ||||||||||||||||||
Citigroup Global Markets | Bank of America Corp.(5) | Sell | 1.0000 | 3/20/16 | 59,000 | 511 | (155) | 356 | ||||||||||||||||||
Citigroup Global Markets | Goldman Sachs Group, Inc.(5) | Sell | 1.0000 | 3/20/16 | 250,000 | 1,974 | (637) | 1,337 | ||||||||||||||||||
Citigroup Global Markets | JPMorgan Chase & Co.(5) | Sell | 1.0000 | 3/20/16 | 59,000 | 494 | (144) | 350 | ||||||||||||||||||
Citigroup Global Markets | MCDX.NA.23(6) | Sell | 1.0000 | 6/20/20 | 59,000 | 137 | (140) | (3) | ||||||||||||||||||
Citigroup Global Markets | People’s Republic of China(4) | Sell | 1.0000 | 3/20/20 | 250,000 | 1,918 | (37) | 1,881 | ||||||||||||||||||
Credit Suisse International | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 6/20/20 | 57,000 | 1,253 | (368) | 885 | ||||||||||||||||||
Credit Suisse International | United Mexican States(3) | Sell | 1.0000 | 3/20/20 | 500,000 | (3,530) | (1,380) | (4,910) | ||||||||||||||||||
Goldman Sachs International | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 3/20/20 | 59,000 | 1,237 | (267) | 970 | ||||||||||||||||||
Goldman Sachs International | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 3/20/20 | 60,000 | 1,222 | (236) | 986 | ||||||||||||||||||
Goldman Sachs International | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 3/20/20 | 250,000 | 5,119 | (1,009) | 4,110 | ||||||||||||||||||
Goldman Sachs International | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 3/20/20 | 59,000 | 1,266 | (296) | 970 | ||||||||||||||||||
Goldman Sachs International | Kingdom of Spain(7) | Sell | 1.0000 | 3/20/17 | 120,000 | 1,289 | (549) | 740 | ||||||||||||||||||
Goldman Sachs International | MetLife, Inc.(5) | Sell | 1.0000 | 3/20/16 | 250,000 | 2,366 | (680) | 1,686 | ||||||||||||||||||
Goldman Sachs International | MetLife, Inc.(5) | Sell | 1.0000 | 3/20/20 | 60,000 | 751 | 192 | 943 | ||||||||||||||||||
Goldman Sachs International | Republic of Indonesia(3) | Sell | 1.0000 | 3/20/20 | 250,000 | (4,339) | (1,931) | (6,270) | ||||||||||||||||||
Goldman Sachs International | Republic of Italy(8) | Sell | 1.0000 | 3/20/17 | 120,000 | 1,238 | (771) | 467 | ||||||||||||||||||
Goldman Sachs International | United Mexican States(3) | Sell | 1.0000 | 6/20/16 | 116,000 | 682 | (114) | 568 | ||||||||||||||||||
Goldman Sachs International | United Mexican States(3) | Sell | 1.0000 | 6/20/17 | 114,000 | 784 | (187) | 597 | ||||||||||||||||||
Goldman Sachs International | United Mexican States(3) | Sell | 1.0000 | 3/20/20 | 60,000 | (930) | 341 | (589) | ||||||||||||||||||
JPMorgan Chase & Co. | United Mexican States(3) | Sell | 1.0000 | 6/20/16 | 118,000 | 694 | (117) | 577 | ||||||||||||||||||
Morgan Stanley | Berkshire Hathaway, Inc.(5) | Sell | 1.0000 | 3/20/20 | 59,000 | 1,207 | (237) | 970 | ||||||||||||||||||
Total | $ | 19,788 | $ | (6,091) | $ | 13,697 | ||||||||||||||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Janus Aspen Global Unconstrained Bond Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
(1) | If a credit event occurs, the seller of protection will pay a net settlement amount equal to the notional amount of the swap less the recovery value of the reference asset from related offsetting purchase protection. | |
(2) | If a credit event occurs, the notional amount represents the maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection. | |
(3) | Foreign Government Bond – S&P Rating BBB+ to BBB- | |
(4) | Foreign Government Bond – S&P Rating AA- | |
(5) | Corporate Bond – S&P Rating AA to A- | |
(6) | For those index credit default swaps entered into by the Portfolio to sell protection, “Outstanding Swap Contracts, at Value” serves as an indicator of the current status of payment and performance risk and represents the likelihood of an expected gain or loss should the notional amount of the swap be closed or sold at period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference asset’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. | |
(7) | Foreign Corporate Bond – S&P Rating BBB | |
(8) | Foreign Government Bond – S&P Not Rated |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
London Interbank Offered Rate (LIBOR) | A daily reference rate based on the interest rates at which banks offer to lend unsecured funds to other banks in the London wholesale money market (or interbank market). | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
OTC | Over-the-Counter | |
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. 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, 2015 is indicated in the table below: |
Value as a % | ||||||||||
Portfolio | Value | of Net Assets | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 108,843 | 2.2 | % | ||||||
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 3,273,822 | |||
‡ | The interest rate on floating rate notes is based on an index or market interest rates and is subject to change. Rate in the security description is as of period end. | |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Acquisition | Value as a | ||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||||||
Toll Road Investors Partnership II LP, 0%, 2/15/43 | 1/29/15 | $ | 17,858 | $ | 17,471 | 0.4 | % | |||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015. The issuer incurs all registration costs.
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | |||||||||||||||
Balance | Balance | Realized | Dividend | Value | ||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | ||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||||||||
Janus Cash Liquidity Fund LLC | – | 11,176,128 | (10,965,128) | 211,000 | $– | $205 | $211,000 | |||||||||
Janus Aspen Series | 13
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ – | $ 545,391 | $– | |||||
Common Stocks | 250,478 | – | – | |||||
Corporate Bonds | – | 2,728,587 | – | |||||
Inflation-Indexed Bonds | – | 141,452 | – | |||||
Short-Term Taxable Variable Rate Demand Notes | – | 65,319 | – | |||||
Investment Companies | 43,463 | 211,000 | – | |||||
Total Investments in Securities | $293,941 | $3,691,749 | $– | |||||
Other Financial Instruments(a): | ||||||||
Forward Currency Contracts | $ – | $ 608 | $– | |||||
Outstanding Swap Contracts, at Value | – | 28,440 | – | |||||
Variation Margin Receivable | – | 1,352 | – | |||||
Total Assets | $293,941 | $3,722,149 | $– | |||||
Liabilities | ||||||||
Other Financial Instruments(a): | ||||||||
Options Written, at Value | $ – | $ 83,353 | $– | |||||
Outstanding Swap Contracts, at Value | – | 17,486 | – | |||||
Swaptions Written, at Value | – | 8,993 | – | |||||
Variation Margin Payable | 1,995 | 1,833 | – | |||||
Total Liabilities | $ 1,995 | $ 111,665 | $– | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
14 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
As of June 30, 2015 (unaudited) | Janus Aspen Global Unconstrained Bond Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 3,994,201 | ||||||||
Unaffiliated investments, at value | $ | 3,774,690 | ||||||||
Affiliated investments, at value | 211,000 | |||||||||
Cash | 520 | |||||||||
Cash denominated in foreign currency(1) | 19,436 | |||||||||
Restricted cash (Note 1) | 947,000 | |||||||||
Forward currency contracts | 608 | |||||||||
Outstanding swap contracts, at value(2) | 28,440 | |||||||||
Variation margin receivable | 1,352 | |||||||||
Non-interested Trustees’ deferred compensation | 98 | |||||||||
Receivables: | ||||||||||
Investments sold | 3,908 | |||||||||
Dividends | 40 | |||||||||
Interest | 39,836 | |||||||||
Due from adviser | 9,955 | |||||||||
Other assets | 204 | |||||||||
Total Assets | 5,037,087 | |||||||||
Liabilities: | ||||||||||
Options written, at value(3) | 83,353 | |||||||||
Swaptions written, at value(4) | 8,993 | |||||||||
Outstanding swap contracts, at value(5) | 17,486 | |||||||||
Variation margin payable | 3,828 | |||||||||
Payables: | ||||||||||
Investments purchased | 4,856 | |||||||||
Advisory fees | 2,611 | |||||||||
Portfolio administration fees | 38 | |||||||||
Transfer agent fees and expenses | 37 | |||||||||
12b-1 Distribution and shareholder servicing fees | 887 | |||||||||
Non-interested Trustees’ fees and expenses | 393 | |||||||||
Non-interested Trustees’ deferred compensation fees | 98 | |||||||||
Accrued expenses and other payables | 23,958 | |||||||||
Total Liabilities | 146,538 | |||||||||
Net Assets | $ | 4,890,549 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 5,000,000 | ||||||||
Undistributed net investment income/(loss) | 11,468 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | (122,910) | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 1,991 | |||||||||
Total Net Assets | $ | 4,890,549 | ||||||||
Net Assets - Institutional Shares | $ | 978,884 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 100,000 | |||||||||
Net Asset Value Per Share | $ | 9.79 | ||||||||
Net Assets - Service Shares | $ | 3,911,665 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 400,000 | |||||||||
Net Asset Value Per Share | $ | 9.78 |
(1) | Includes cost of $18,354. | |
(2) | Net premiums paid $29,932. | |
(3) | Premiums received $93,539. | |
(4) | Premiums received $14,491. | |
(5) | Net premiums received $10,144. |
See Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Statement of Operations
For the period ended June 30, 2015 (unaudited) | Janus Aspen Global Unconstrained Bond Portfolio | |||||
Investment Income: | ||||||
Interest | $ | 30,930 | ||||
Dividends | 2,298 | |||||
Dividends from affiliates | 205 | |||||
Total Investment Income | 33,433 | |||||
Expenses: | ||||||
Advisory fees | 13,476 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 4,146 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 80 | |||||
Service Shares | 84 | |||||
Shareholder reports expense | 3,498 | |||||
Registration fees | 51,004 | |||||
Custodian fees | 3,427 | |||||
Professional fees | 18,625 | |||||
Non-interested Trustees’ fees and expenses | 425 | |||||
Short sales interest expense | 565 | |||||
Portfolio administration fees | 203 | |||||
Accounting systems fee expense | 6,312 | |||||
Other expenses | 163 | |||||
Total Expenses | 102,008 | |||||
Less: Excess Expense Reimbursement | (80,043) | |||||
Net Expenses | 21,965 | |||||
Net Investment Income/(Loss) | 11,468 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 9,136 | |||||
Futures contracts | (105,601) | |||||
Short sales | 10,170 | |||||
Swap contracts | 15,620 | |||||
Written options contracts | (55,734) | |||||
Written swaptions contracts | 3,499 | |||||
Total Net Realized Gain/(Loss) on Investments | (122,910) | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (7,903) | |||||
Futures contracts | 7,344 | |||||
Swap contracts | (14,779) | |||||
Written options contracts | 11,831 | |||||
Written swaptions contracts | 5,498 | |||||
Total Change in Unrealized Net Appreciation/Depreciation | 1,991 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (109,451) |
See Notes to Financial Statements.
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Statement of Changes in Net Assets
Janus Aspen | ||||||
Global Unconstrained Bond | ||||||
Portfolio | ||||||
For the period ended June 30 (unaudited) | 2015(1) | |||||
Operations: | ||||||
Net investment income/(loss) | $ | 11,468 | ||||
Net realized gain/(loss) on investments | (122,910) | |||||
Change in unrealized net appreciation/depreciation | 1,991 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | (109,451) | |||||
Capital Share Transactions: | ||||||
Shares Sold | ||||||
Institutional Shares | 1,000,000 | |||||
Service Shares | 4,000,000 | |||||
Net Increase/(Decrease) from Capital Share Transactions | 5,000,000 | |||||
Net Increase/(Decrease) in Net Assets | 4,890,549 | |||||
Net Assets: | ||||||
Beginning of period | – | |||||
End of period | $ | 4,890,549 | ||||
Undistributed Net Investment Income/(Loss) | $ | 11,468 |
(1) | Period from January 29, 2015 (inception date) through June 30, 2015. |
See Notes to Financial Statements.
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Financial Highlights
Institutional Shares
Janus Aspen | ||||||
Global Unconstrained Bond | ||||||
Portfolio | ||||||
For a share outstanding during the period ended June 30 (unaudited) | 2015(1) | |||||
Net Asset Value, Beginning of Period | $10.00 | |||||
Income/(Loss) from Investment Operations: | ||||||
Net investment income/(loss)(2) | 0.03 | |||||
Net realized and unrealized gain/(loss) | (0.24) | |||||
Total from Investment Operations | (0.21) | |||||
Less Dividends and Distributions: | ||||||
Dividends (from net investment income) | – | |||||
Distributions (from capital gains) | – | |||||
Total Dividends and Distributions | – | |||||
Net Asset Value, End of Period | $9.79 | |||||
Total Return* | (2.10)% | |||||
Net Assets, End of Period (in thousands) | $979 | |||||
Average Net Assets for the Period (in thousands) | $990 | |||||
Ratios to Average Net Assets: | ||||||
Ratio of Gross Expenses** | 4.73% | |||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.87% | |||||
Ratio of Net Investment Income/(Loss)** | 0.74% | |||||
Portfolio Turnover Rate | 39% |
Service Shares
Janus Aspen | ||||||
Global Unconstrained Bond | ||||||
Portfolio | ||||||
For a share outstanding during the period ended June 30 (unaudited) | 2015(1) | |||||
Net Asset Value, Beginning of Period | $10.00 | |||||
Income/(Loss) from Investment Operations: | ||||||
Net investment income/(loss)(2) | 0.02 | |||||
Net realized and unrealized gain/(loss) | (0.24) | |||||
Total from Investment Operations | (0.22) | |||||
Less Dividends and Distributions: | ||||||
Dividends (from net investment income) | – | |||||
Distributions (from capital gains) | – | |||||
Total Dividends and Distributions | – | |||||
Net Asset Value, End of Period | $9.78 | |||||
Total Return* | (2.20)% | |||||
Net Assets, End of Period (in thousands) | $3,912 | |||||
Average Net Assets for the Period (in thousands) | $3,956 | |||||
Ratios to Average Net Assets: | ||||||
Ratio of Gross Expenses** | 4.97% | |||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 1.11% | |||||
Ratio of Net Investment Income/(Loss)** | 0.51% | |||||
Portfolio Turnover Rate | 39% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Period from January 29, 2015 (inception date) through June 30, 2015. | |
(2) | Per share amounts are calculated based on average shares outstanding during the period. |
See Notes to Financial Statements.
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Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Global Unconstrained Bond Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in income-producing securities. The Portfolio is classified as nondiversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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.
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 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
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Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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
20 | JUNE 30, 2015
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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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
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.
Restricted Cash
As of June 30, 2015, the Portfolio had restricted cash in the amount of $947,000. The restricted cash represents collateral pledged in relation to derivatives and/or securities with extended settlement dates. The carrying value of the restricted cash approximates fair value.
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, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
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:
• | 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. |
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Notes to Financial Statements (unaudited) (continued)
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 20,127 | ||||
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Futures Contracts
A futures contract is an exchange-traded agreement to take or make delivery of an underlying asset at a specific time in the future for a specific predetermined negotiated price. The Portfolio may enter into futures contracts to gain exposure to the stock market or other markets pending investment of cash balances or to meet liquidity needs. The Portfolio is subject to interest rate risk, equity risk, and currency risk in the normal course of pursuing its investment objective through its investments in futures contracts. The Portfolio may also use such derivative instruments to hedge or protect from adverse movements in securities prices, currency rates or interest rates. The use of futures contracts may involve risks such as the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
Futures contracts on commodities are valued at the settlement price on valuation date on the commodities exchange as reported by an approved vendor. Mini contracts, as defined in the description of the contract, shall be valued using the Actual Settlement Price or “ASET” price type as reported by an approved vendor. In the event that foreign futures trade when the foreign equity markets are closed, the last foreign futures trade price shall be used. Futures contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities (if applicable). The change in unrealized net appreciation/(depreciation) is reported on the Statement of Operations (if applicable). When a contract is closed, a realized gain or loss is reported on the Statement of Operations (if applicable), equal to the difference between the opening and closing value of the contract. Securities held by the Portfolio that are designated as collateral for market value on futures contracts are noted on the Schedule of Investments (if applicable). Such collateral is in the possession of the Portfolio’s futures commission merchant.
With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
During the period, the Portfolio purchased interest rate futures to increase exposure to interest rate risk.
During the period, the Portfolio sold interest rate futures to decrease exposure to interest rate risk.
During the period, the Portfolio purchased futures on equity indices to increase exposure to equity risk.
During the period, the Portfolio sold futures on equity indices to decrease exposure to equity risk.
During the period, the Portfolio sold futures on currency indices to decrease exposure to currency risk.
The following table provides average ending monthly market value amounts on purchased and sold futures contracts during the period ended June 30, 2015.
Portfolio | Purchased | Sold | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 463,687 | $ | 1,234,939 | ||||||
Options Contracts
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price on or before a specified date. The purchaser pays a premium to the seller for this right. The seller has the corresponding obligation to sell or buy a financial instrument if the purchaser (owner) “exercises” the option. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option are adjusted by the amount of premium received or paid. Upon expiration, or closing of the option transaction, a realized gain or loss is reported on the Statement of Operations (if applicable). The difference between the premium paid/received and the market value of the option is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported on the Statement of Operations (if applicable). Option contracts are typically valued using an approved vendor’s option valuation model. To the extent reliable market quotations are available, option contracts are valued using market quotations. In cases when an approved vendor cannot provide coverage for an option and there is no reliable market quotation, a broker quotation or an internal valuation using the Black-Scholes model, the Cox-Rubenstein Binomial Option Pricing Model, or other appropriate option pricing model is used. Certain options contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities as “Variation margin receivable” or “Variation margin payable” (if applicable).
The Portfolio may use options contracts to hedge against changes in interest rates, the values of equities, or foreign currencies. The Portfolio generally invests in options to hedge against adverse movements in the value of portfolio holdings. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. A lack of correlation between the value of an instrument underlying an option and the asset being
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Notes to Financial Statements (unaudited) (continued)
hedged, or unexpected adverse price movements, could render the Portfolio’s hedging strategy unsuccessful. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased or sold. The Portfolio may be subject to counterparty risk, interest rate risk, liquidity risk, equity risk, commodity risk, and currency risk in the normal course of pursuing its investment objective through its investments in options contracts.
Options traded on an exchange are regulated and the terms of the options are standardized. Options traded OTC expose the Portfolios to counterparty risk in the event that the counterparty does not perform. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by having the counterparty post collateral to cover the Portfolio’s exposure to the counterparty.
In writing an option, the Portfolio bears the risk of an unfavorable change in the price of the security underlying the written option. When an option is written, the Portfolio receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options written are reported as a liability on the Statement of Assets and Liabilities as “Options written, at value” (if applicable). The risk in writing call options is that the Portfolio gives up the opportunity for profit if the market price of the security increases and the options are exercised. The risk in writing put options is that the Portfolio may incur a loss if the market price of the security decreases and the options are exercised. The risk in buying options is that the Portfolio pays a premium whether or not the options are exercised. Exercise of an option written by the Portfolio could result in the Portfolio buying or selling a security at a price different from the current market value.
During the period, the Portfolio wrote call options on bond futures in order to reduce interest rate risk where reducing this exposure via other markets such as the cash bond market was less attractive.
During the period, the Portfolio wrote put options on bond futures in order to increase interest rate risk where increasing this exposure via other markets such as the cash bond market was less attractive.
During the period, the Portfolio wrote call options on various equity index futures for the purpose of decreasing exposure to broad equity risk and/or generating carry.
During the period, the Portfolio wrote put options on various equity index futures for the purpose of increasing exposure to broad equity risk and/or generating carry.
During the period, the Portfolio wrote call options on foreign exchanges rates vs. the U.S. dollar in order to reduce currency risk where reducing this exposure via the foreign exchange forward markets was less attractive.
During the period, the Portfolio wrote put options on foreign exchanges rates vs. the U.S. dollar in order to increase currency risk where increasing this exposure via the foreign exchange forward markets was less attractive.
The following table provides average ending monthly market value amounts on written call and put options during the period ended June 30, 2015.
Portfolio | Written Call Options | Written Put Options | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 7,540 | $ | 4,208 | ||||||
Written option activity for the period ended June 30, 2015 is indicated in the tables below:
Number of | Premiums | |||||||||
Call Options | Contracts | Received | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||
Options outstanding at January 29, 2015 | – | $ | – | |||||||
Options written | 3,966,067 | 159,498 | ||||||||
Options closed | (240,836) | (73,653) | ||||||||
Options expired | (2,519,059) | (36,968) | ||||||||
Options exercised | (115,110) | (1,495) | ||||||||
Options outstanding at June 30, 2015 | 1,091,062 | $ | 47,382 | |||||||
Number of | Premiums | |||||||||
Put Options | Contracts | Received | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||
Options outstanding at January 29, 2015 | – | $ | – | |||||||
Options written | 13,310,002 | 223,487 | ||||||||
Options closed | (2,164,045) | (77,750) | ||||||||
Options expired | (8,033,047) | (85,745) | ||||||||
Options exercised | (1,132,027) | (13,870) | ||||||||
Options outstanding at June 30, 2015 | 1,980,883 | $ | 46,122 | |||||||
Options on Swap Contracts (Swaptions)
The Portfolio may purchase or write covered and uncovered put and call options on swap contracts, commonly referred to as “swaptions”. Swaption contracts grant the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time.
Swaptions can be used for a variety of purposes, including to manage the Portfolio’s overall exposure to changes in interest or foreign currency exchange rates and credit quality; as an efficient means of adjusting the Portfolio’s exposure to certain markets; in an effort to enhance income or total return or protect the value of portfolio securities; to serve as a cash management tool; and to adjust portfolio duration or credit risk. Because the use of swaptions generally does not involve the delivery of securities or other underlying assets or principal, the risk
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of loss with respect to swaptions generally is limited to the net amount of payments that the Portfolio is contractually obligated to make. There is also a risk of a default by the other party to a swaption, in which case the Portfolio may not receive the net amount of payments that it contractually is entitled to receive. Entering into a swaption contract involves, to varying degrees, the elements of credit, market, and interest rate risk, associated with both option contracts and swap contracts.
Interest rate written receiver swaptions, if exercised by the purchaser, allow the Portfolio to short interest rates by entering into a pay fixed/receive float interest rate swap. Selling the interest rate receiver option reduces the exposure to interest rates and the short position becomes more valuable to the Portfolio as interest rates rise and/or implied interest rate volatility decreases. Interest rate written payer swaptions, if exercised by the purchaser, allow the Portfolio to take a long position on interest rates by entering into a receive fixed/pay float interest rate swap. Selling the interest rate payer option increases the exposure to interest rates and the short position becomes more valuable to the Portfolio as interest rates fall and/or implied interest rate volatility decreases. Credit default written receiver swaptions, if exercised by the purchaser, allow the Portfolio to buy credit protection through credit default swaps. Selling the credit default receiver option reduces the exposure to the credit risk of the individual issuers and/or indices of issuers and the short position becomes more valuable to the Portfolio as the likelihood of a credit event on the reference asset(s) increases. Credit default written payer swaptions, if exercised by the purchaser, allow the Portfolio to sell credit protection through credit default swaps. Selling the credit default payer option increases the exposure to the credit risk of the individual issuers and/or indices of issuers and the short position becomes more valuable to the Portfolio as the likelihood of a credit event on the reference asset(s) decreases. Swaptions purchased are reported in the Schedule of Investments (if applicable). Swaptions written are reported as a liability on the Statement of Assets and Liabilities as “Swaptions written, at value” (if applicable).
During the period, the Portfolio sold interest rate receiver swaptions (call) in order to gain interest rate volatility exposure and to reduce interest rate exposure.
During the period, the Portfolio sold interest rate payer swaptions (put) in order to gain interest rate volatility exposure and to also gain interest rate exposure.
During the period, the Portfolio sold credit default receiver swaptions (call) in order to gain credit market volatility exposure and to reduce credit exposure.
During the period, the Portfolio sold credit default payer swaptions (put) in order to gain credit market volatility exposure and to gain credit exposure.
The following table provides average ending monthly market value amounts on written call and put swaptions during the period ended June 30, 2015.
Written Call | ||||||||||
Portfolio | Swaptions | Written Put Swaptions | ||||||||
Janus Aspen Global Unconstrained Bond Fund | $ | 7,540 | $ | 4,208 | ||||||
Written swaption activity for the period ended June 30, 2015 is indicated in the tables below:
Notional | Premiums | |||||||||
Call Swaptions | Amount | Received | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||
Swaptions outstanding at January 29, 2015 | – | $ | – | |||||||
Swaptions written | 7,166,000 | 42,018 | ||||||||
Swaptions closed | (117,000) | (1,228) | ||||||||
Swaptions expired | (1,318,000) | (31,071) | ||||||||
Swaptions exercised | – | – | ||||||||
Swaptions outstanding at June 30, 2015 | 5,731,000 | $ | 9,719 | |||||||
Notional | Premiums | |||||||||
Put Swaptions | Amount | Received | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||
Swaptions outstanding at January 29, 2015 | – | $ | – | |||||||
Swaptions written | 6,634,000 | 11,586 | ||||||||
Swaptions closed | (353,000) | (6,814) | ||||||||
Swaptions expired | – | – | ||||||||
Swaptions exercised | – | – | ||||||||
Swaptions outstanding at June 30, 2015 | 6,281,000 | $ | 4,772 | |||||||
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
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Notes to Financial Statements (unaudited) (continued)
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 over-the-counter 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 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 that 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.
The Portfolio may enter into various types of credit default swap agreements, including OTC credit default swap agreements and index credit default swaps (“CDX”), for investment purposes and to add leverage to its portfolio. Credit default swaps are a specific kind of counterparty agreement that allow the transfer of third party credit risk from one party to the other. One party in the swap is a lender and faces credit risk from a third party, and the counterparty in the credit default swap agrees to insure this risk in exchange for regular periodic payments. Credit default swaps could result in losses if the Portfolio does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the Portfolio had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity risk, counterparty risk, and credit risk. The Portfolio will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Portfolio may lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. As seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Portfolio, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to the Portfolio.
As a buyer of credit protection, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation from the counterparty to the contract in the event of a default or other credit event by a third party, such as a U.S. or foreign issuer, on the debt obligation. In return, the Portfolio as buyer would pay to the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and potentially received no benefit from the contract.
If the Portfolio is the seller of credit protection against a particular security, the Portfolio would receive an up-front or periodic payment to compensate against potential credit events. As the seller in a credit default swap contract, the Portfolio would be required to pay the par value (the “notional value”) (or other agreed-upon value) of a referenced debt obligation to the counterparty in the
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event of a default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Portfolio would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Portfolio would keep the stream of payments and would have no payment obligations. As the seller, the Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional value of the swap. The maximum potential amount of future payments (undiscounted) that the Portfolio as a seller could be required to make in a credit default transaction would be the notional amount of the agreement.
The Portfolio may invest in single-name credit default swaps (“CDS”) to buy or sell credit protection to hedge its credit exposure, gain issuer exposure without owning the underlying security, or increase the Portfolio’s total return. Single-name CDS enable the Portfolio to buy or sell protection against a credit event of a specific issuer. Single-name CDS provide exposure to a single reference entity. When the Portfolio buys a single-name CDS, the Portfolio will receive a return on its investment only in the event of a credit event, such as default by the issuer of the underlying obligation (as opposed to a credit downgrade or other indication of financial difficulty). If a single-name CDS transaction is particularly large, or if the relevant market is illiquid, it may not be possible for the Portfolio to initiate a single-name CDS transaction or to liquidate its position at an advantageous time or price, which may result in significant losses. Moreover, the Portfolio bears the risk of loss of the amount expected to be received under a single-name CDS in the event of the default or bankruptcy of the counterparty. The risks associated with cleared single-name CDS may be lower than that for uncleared single-name CDS because for cleared single-name CDS, the counterparty is a clearinghouse (to the extent such a trading market is available). However, there can be no assurance that a clearinghouse or its members will satisfy their obligations to the Portfolio.
The Portfolio may invest in index credit default swaps (“CDX”). A CDX is a swap on an index of credit default swaps. CDXs allow an investor to manage credit risk or take a position on a basket of credit entities (such as credit default swaps or commercial mortgage-backed securities) in a more efficient manner than transacting in a single-name CDS. If a credit event occurs in one of the underlying companies, the protection is paid out via the delivery of the defaulted bond by the buyer of protection in return for a payment of notional value of the defaulted bond by the seller of protection or it may be settled through a cash settlement between the two parties. The underlying company is then removed from the index. If the Portfolio holds a long position in a CDX, the Portfolio would indirectly bear its proportionate share of any expenses paid by a CDX. By investing in CDXs, the Portfolio could be exposed to illiquidity risk, counterparty risk, and credit risk of the issuers of the underlying loan obligations and of the CDX markets. If there is a default by the CDX counterparty, the Portfolio will have contractual remedies pursuant to the agreements related to the transaction. CDXs also bear the risk that the Portfolio will not be able to meet its obligation to the counterparty.
During the period, the Portfolio sold protection via the credit default swap market in order to gain credit risk exposure to individual corporates, countries and/or credit indices where gaining this exposure via the cash bond market was less attractive.
The following table provides average ending monthly market value amounts on credit default swaps which are long the reference asset during the period ended June 30, 2015.
Portfolio | Long | |||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 12,234 | ||||
The Portfolio’s use of interest rate swaps involves investment techniques and risks different from those associated with ordinary portfolio security transactions. Interest rate swaps do not involve the delivery of securities, other underlying assets, or principal. Interest rate swaps involve the exchange by two parties of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments). Interest rate swaps may result in potential losses if interest rates do not move as expected or if the counterparties are unable to satisfy their obligations. Interest rate swaps are generally entered into on a net basis. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that the Portfolio is contractually obligated to make.
During the period, the Portfolio entered into interest rate swaps paying a fixed interest rate and receiving a floating interest rate in order to decrease interest rate risk (duration) exposure. As interest rates rise, the Portfolio benefits by receiving a higher expected future floating rate, while paying a fixed rate that has not increased.
During the period, the Portfolio entered into interest rate swaps paying a floating interest rate and receiving a fixed interest rate in order to increase interest rate risk (duration) exposure. As interest rates fall, the Portfolio
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Notes to Financial Statements (unaudited) (continued)
benefits by paying a lower future floating rate, while receiving a fixed rate that has not decreased.
The following table provides average ending monthly market value amounts on interest rate swaps which are long the reference asset during the period ended June 30, 2015.
Portfolio | Long | |||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 1,109 | ||||
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.
During the period, the Portfolio entered into total return swaps on equity securities or indices to decrease exposure to equity risk. These total return swaps require the Portfolio to pay an amount equal to the positive price movement of securities or an index multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities. The Portfolio will receive payments of a floating reference interest rate and an amount equal to the negative price movement of the same securities or index multiplied by the notional amount of the contract.
The following table provides average ending monthly market value amounts on total return swaps which are short the reference asset during the period ended June 30, 2015.
Portfolio | Short | |||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 9 | ||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted for as | Asset Derivatives | Liability Derivatives | ||||||||||
hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||||
Credit Contracts | Outstanding swap contracts, at value | $ | 26,823 | Outstanding swap contracts, at value | $ | 13,126 | ||||||
Credit Contracts | Swaptions written, at value | 8,990 | ||||||||||
Currency Contracts | Forward currency contracts | 608 | ||||||||||
Currency Contracts | Options written, at value | 9,526 | ||||||||||
Equity Contracts | Options written, at value | 35,468 | ||||||||||
Equity Contracts | Variation margin payable | 1,995 | ||||||||||
Interest Rate Contracts | Options written, at value | 38,359 | ||||||||||
Interest Rate Contracts | Outstanding swap contracts, at value | 1,617 | Outstanding swap contracts, at value | 4,360 | ||||||||
Interest Rate Contracts | Swaptions written, at value | 3 | ||||||||||
Interest Rate Contracts | Variation margin receivable | 1,352 | Variation margin payable | 1,833 | ||||||||
Total | $ | 30,400 | $ | 113,660 | ||||||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Investments and foreign | Futures | Swap | Written options | Written swaptions | |||||||||||||||||||
instruments | currency transactions | contracts | contracts | contracts | contracts | Total | ||||||||||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||||||||||||||||
Credit Contracts | $ | – | $ | – | $ | 15,556 | $ | – | $ | – | $ | 15,556 | ||||||||||||
Currency Contracts | – | 3,906 | – | 17,020 | – | 20,926 | ||||||||||||||||||
Equity Contracts | – | (4,421 | ) | 64 | 5,066 | – | 709 | |||||||||||||||||
Interest Rate Contracts | – | (105,086 | ) | – | (77,820 | ) | 3,499 | (179,407 | ) | |||||||||||||||
Total | $ | – | $ | (105,601 | ) | $ | 15,620 | $ | (55,734 | ) | $ | 3,499 | $ | (142,216 | ) | |||||||||
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Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Investments, foreign | ||||||||||||||||||||||||
currency translations and | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | non-interested Trustees’ | Futures | Swap | Written options | Written swaptions | |||||||||||||||||||
instruments | deferred compensation | contracts | contracts | contracts | contracts | Total | ||||||||||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | ||||||||||||||||||||||||
Credit Contracts | $ | – | $ | – | $ | (6,091 | ) | $ | – | $ | (357 | ) | $ | (6,448 | ) | |||||||||
Currency Contracts | 608 | – | – | 2,858 | – | 3,466 | ||||||||||||||||||
Equity Contracts | – | 7,344 | – | (816 | ) | – | 6,528 | |||||||||||||||||
Interest Rate Contracts | – | – | (8,688 | ) | 9,789 | 5,855 | 6,956 | |||||||||||||||||
Total | $ | 608 | $ | 7,344 | $ | (14,779 | ) | $ | 11,831 | $ | 5,498 | $ | 10,502 | |||||||||||
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
3. | Other Investments and Strategies |
Additional Investment Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes or adverse developments specific to the issuer.
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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
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Notes to Financial Statements (unaudited) (continued)
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.
Emerging Market Investing
The Portfolio may invest in securities of issuers or companies from or with exposure to one or more “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.
Exchange-Traded Funds
The Portfolio may invest in exchange-traded funds (“ETFs”) to gain exposure to a particular portion of the market. ETFs are typically open-end investment companies, which may be managed or unmanaged, that generally seek to track the performance of a specific index. ETFs are traded on a national securities exchange at market prices that may vary from the net asset value of their underlying investments. Accordingly, there may be times when an ETF trades at a premium or discount. When the Portfolio invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETFs expenses. ETFs have certain inherent risks generally associated with investments in a portfolio of securities in which the ETF is invested, including the risk that the general level of stock prices may decline, thereby adversely affecting the value of each unit of the ETF. ETFs also involve the risk that an active trading market for an ETF’s shares may not develop or be maintained. Similarly, because the value of ETF shares depends on the demand in the market, the Portfolio may not be able to purchase or sell an ETF at the most optimal time, which could adversely affect the Portfolio’s performance. In addition, ETFs that track particular indices may be unable to match the performance of such underlying indices due to the temporary unavailability of certain index securities in the secondary market or other factors, such as discrepancies with respect to the weighting of securities. Because the Portfolio may invest in a broad range of ETFs, such risks may include, but are not limited to, leverage risk, foreign exposure risk, interest rate risk, and commodity-linked investments risk.
Inflation-Linked Securities
The Portfolio may invest in inflation-indexed bonds, including municipal inflation-indexed bonds and corporate inflation-indexed bonds, or in derivatives that are linked to these securities. Inflation-linked bonds are fixed-income securities that may have a principal value that is periodically adjusted according to the rate of inflation. If an index measuring inflation falls, the principal value of
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inflation-indexed bonds will typically be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Because of their inflation adjustment feature, inflation-linked bonds typically have lower yields than conventional fixed-rate bonds. In addition, inflation-linked bonds also normally decline in price when real interest rates rise. In the event of deflation, when prices decline over time, the principal and income of inflation-linked bonds would likely decline, resulting in losses to the Portfolio.
In the case of Treasury Inflation-Protected Securities, also known as TIPS, repayment of original bond principal upon maturity (as adjusted for inflation) is guaranteed by the U.S. Treasury. For inflation-linked bonds that do not provide a similar guarantee, the adjusted principal value of the inflation-linked bond repaid at maturity may be less than the original principal. Inflation-linked bonds may also be issued by, or related to, sovereign governments of other developed countries, emerging market countries, or companies or other entities not affiliated with governments.
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, 2015.
• | Bank Loans – Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. A 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 the London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (“borrowers”) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower’s capital structure. The senior position in the borrower’s capital structure generally gives holders of senior loans a claim on certain of the borrower’s assets that is senior to subordinated debt and preferred and common stock in the case of a borrower’s default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. While the Portfolio generally expects to invest in fully funded term loans, certain of the loans in which the Portfolio may invest include revolving loans, bridge loans, and delayed draw term loans. |
Purchasers of floating rate loans may pay and/or receive certain fees. The Portfolio may receive fees such as covenant waiver fees or prepayment penalty fees. The Portfolio may pay fees such as facility fees. Such fees may affect the Portfolio’s return. |
• | Mezzanine Loans – Mezzanine loans are secured by the stock of the company that owns the assets. Mezzanine loans are a hybrid of debt and equity financing that is typically used to fund the expansion of existing companies. A mezzanine loan is composed of debt capital that gives the lender the right to convert to an ownership or equity interest in the company if the loan is not paid back in time and in full. Mezzanine loans typically are the most subordinated debt obligation in an issuer’s capital structure. |
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
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Notes to Financial Statements (unaudited) (continued)
(“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 automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying assets fail to perform, these investment vehicles could be forced to sell the assets and recognize losses on such assets, which could impact the Portfolio’s yield and your return.
Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Prepayment risk, which results from prepayments of the principal of underlying loans at a faster pace than expected, may shorten the effective maturities of these securities and may result in the Portfolio having to reinvest proceeds at a lower interest rate.
In addition to prepayment risk, investments in mortgage-backed securities, including those comprised of subprime mortgages, and investments in other asset-backed securities comprised of under-performing assets may be subject to a higher degree of credit risk, valuation risk, and liquidity risk. Additionally, although mortgages and mortgage-related 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.
Mortgage- and asset-backed securities are also subject to extension risk, which is the risk that rising interest rates could cause mortgages or other obligations underlying these securities to be paid more slowly than expected, increasing the Portfolio’s sensitivity to interest rate changes and causing its price to decline.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
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Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Barclays Capital, Inc. | $ | 1,343 | $ | (765) | $ | – | $ | 578 | ||||||||||
BNP Paribas | 7,087 | (589) | – | 6,498 | ||||||||||||||
Citigroup Global Markets | 3,924 | (2,234) | – | 1,690 | ||||||||||||||
Credit Suisse International | 885 | (885) | – | – | ||||||||||||||
Goldman Sachs International | 13,654 | (10,711) | – | 2,943 | ||||||||||||||
JPMorgan Chase & Co. | 1,185 | (1,185) | – | – | ||||||||||||||
Morgan Stanley | 970 | (970) | – | – | ||||||||||||||
Total | $ | 29,048 | $ | (17,339) | $ | – | $ | 11,709 | ||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ | 4,248 | $ | – | $ | – | $ | 4,248 | ||||||||||
Barclays Capital, Inc. | 765 | (765) | – | – | ||||||||||||||
BNP Paribas | 589 | (589) | – | – | ||||||||||||||
Citigroup Global Markets | 2,234 | (2,234) | – | – | ||||||||||||||
Credit Suisse International | 4,910 | (885) | – | 4,025 | ||||||||||||||
Goldman Sachs International | 10,711 | (10,711) | – | – | ||||||||||||||
JPMorgan Chase & Co. | 9,526 | (1,185) | – | 8,341 | ||||||||||||||
Morgan Stanley | 3,022 | (970) | – | 2,052 | ||||||||||||||
Total | $ | 36,005 | $ | (17,339) | $ | – | $ | 18,666 | ||||||||||
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | |
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
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.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Short Sales
The Portfolio may engage in “short sales against the box.” Short sales against the box involve either selling short a security that the Portfolio owns or selling short a security that the Portfolio has the right to obtain, for delivery at a
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Notes to Financial Statements (unaudited) (continued)
specified date in the future. The Portfolio may enter into short sales against the box to hedge against anticipated declines in the market price of portfolio securities. The Portfolio does not deliver from its portfolio the securities sold short and does not immediately receive the proceeds of the short sale. The Portfolio borrows the securities sold short and receives proceeds from the short sale only when it delivers the securities to the lender. If the value of the securities sold short increases prior to the scheduled delivery date, the Portfolio loses the opportunity to participate in the gain.
The Portfolio may also engage in other short sales. The Portfolio may engage in short sales when the portfolio managers anticipate that a security’s market purchase price will be less than its borrowing price. To complete the transaction, the Portfolio must borrow the security to deliver it to the purchaser and buy that same security in the market to return it to the lender. No more than 10% of the Portfolio’s net assets may be invested in short positions (through short sales of stocks, structured products, futures, swaps, and uncovered written calls). The Portfolio may engage in short sales “against the box” and options for hedging purposes that are not subject to this 10% limit. Although the potential for gain as a result of a short sale is limited to the price at which the Portfolio sold the security short less the cost of borrowing the security, the potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. There is no assurance the Portfolio will be able to close out a short position at a particular time or at an acceptable price. A gain or a loss will be recognized upon termination of a short sale. Short sales held by the Portfolio are fully collateralized by restricted cash or other securities, which are denoted on the accompanying Schedule of Investments. The Portfolio is also required to pay the lender of the security any dividends or interest that accrue on a borrowed security during the period of the loan. Depending on the arrangements made with the broker or custodian, the Portfolio may or may not receive any payments (including interest) on collateral it has deposited with the broker. The Portfolio pays stock loan fees, disclosed on the Statement of Operations, on assets borrowed from the security broker.
The Portfolio may also enter into short positions through derivative instruments, such as options contracts, futures contracts, and swap agreements, which may expose the Portfolio to similar risks. To the extent that the Portfolio enters into short derivative positions, the Portfolio may be exposed to risks similar to those associated with short sales, including the risk that the Portfolio’s losses are theoretically unlimited.
When-Issued and Delayed Delivery Securities
The Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Portfolio may invest include U.S. Treasury Securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio may hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
4. | Investment Advisory Agreements and Other Transactions with Affiliates |
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily | Contractual | |||||||||
Net Assets | Investment | |||||||||
Portfolio | of the Portfolio | Advisory Fee (%) | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio | First $ | 1 Billion | 0.65 | |||||||
Next $ | 2 Billion | 0.62 | ||||||||
Over $ | 3 Billion | 0.60 | ||||||||
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the transfer agency agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen Global Unconstrained Bond Portfolio | 0.82 | |||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
For a period of three years subsequent to the Portfolio’s commencement of operations, Janus Capital may recover from the Portfolio fees and expenses previously waived or reimbursed, which could then be considered a deferral, if
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the Portfolio’s expense ratio, including recovered expenses, falls below the expense limit. If applicable, this amount is disclosed as “Recoupment expense” on the Statement of Operations. During the period ended June 30, 2015, Janus Capital reimbursed the Portfolio $80,043 of fees and expenses that are eligible for recoupment. As of June 30, 2015, the aggregate amount of recoupment that may potentially be made to Janus Capital is $80,043. The recoupment of such reimbursements expires January 29, 2018.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As
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Notes to Financial Statements (unaudited) (continued)
adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
As of June 30, 2015, shares of the Portfolio were owned by Janus Capital and/or other funds advised by Janus Capital, as indicated in the table below:
% of Class | % of Portfolio | |||||||||
Portfolio | Owned | Owned | ||||||||
Janus Aspen Global Unconstrained Bond Portfolio - Institutional Shares | 100 | % | 20 | % | ||||||
Janus Aspen Global Unconstrained Bond Portfolio - Service Shares | 100 | 80 | ||||||||
In addition, other 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).
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 3,994,201 | $ | 11,172 | $ | (19,683) | $ | (8,511) | ||||||||||
6. | Capital Share Transactions |
Janus Aspen Global | ||||||
Unconstrained Bond Portfolio | ||||||
For the period ended June 30 (unaudited) | 2015(1) | |||||
Transactions in Portfolio Shares – Institutional Shares: | ||||||
Shares sold | 100,000 | |||||
Reinvested dividends and distributions | – | |||||
Shares repurchased | – | |||||
Net Increase/(Decrease) in Portfolio Shares | 100,000 | |||||
Shares Outstanding, Beginning of Period | N/A | |||||
Shares Outstanding, End of Period | 100,000 |
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Janus Aspen Global | ||||||
Unconstrained Bond Portfolio | ||||||
For the period ended June 30 (unaudited) | 2015(1) | |||||
Transactions in Portfolio Shares – Service Shares: | ||||||
Shares sold | 400,000 | |||||
Reinvested dividends and distributions | – | |||||
Shares repurchased | – | |||||
Net Increase/(Decrease) in Portfolio Shares | 400,000 | |||||
Shares Outstanding, Beginning of Period | N/A | |||||
Shares Outstanding, End of Period | 400,000 |
(1) | Period from January 29, 2015 (inception date) through June 30, 2015. |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Global Unconstrained Bond Portfolio | $ | 4,086,517 | $ | 275,467 | $ | 993,651 | $ | 1,003,831 | ||||||
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), and none of whom is affiliated with Janus Capital, the investment adviser of Janus Aspen Global Unconstrained Bond Portfolio (the “New Portfolio”), met on November 5, 2014 to consider the proposed investment advisory agreement for the New Portfolio. In the course of their consideration of this agreement, the Trustees met in executive session and were advised by their independent legal counsel. In this regard, prior to the meeting and at earlier meetings, the Trustees received and reviewed extensive information provided by Janus Capital in response to requests of the Trustees and their counsel, and also considered information provided by their independent fee consultant. The Trustees also had been provided and had considered, and were in the process of considering, various data and information in connection with their annual consideration of the investment advisory agreements in place with Janus Capital, and certain of that data was relevant to their consideration of the proposed agreement with Janus Capital for the New Portfolio. Based on their evaluation of the information available to them, the Trustees unanimously approved the investment advisory agreement for the New Portfolio for an initial term through May 2016, subject to earlier termination as provided for in the agreements.
In considering the agreements and reaching their conclusions, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent, and quality of the services to be provided by Janus Capital, taking into account the investment objective and strategies of the New Portfolio and the similar type services currently provided by Janus Capital to other funds in the complex, including other fixed-income funds and Janus Global Unconstrained Bond Fund. In addition, the Trustees reviewed the resources and key personnel of Janus Capital that will be providing investment and risk management services to the New Portfolio. The Trustees also considered other services provided to the New Portfolio by Janus Capital, such as managing the execution of portfolio transactions and the broker selection process. The Trustees considered Janus Capital’s role as administrator to the New Portfolio, 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 New Portfolio’s investment restrictions, providing support services for the Trustees and Trustee committees, communicating with shareholders and overseeing the activities of other service providers, including monitoring compliance with various policies and procedures of the New Portfolio and with applicable securities laws and regulations.
The Trustees concluded that the nature, extent, and quality of the services to be provided by Janus Capital were appropriate and consistent with the terms of the proposed investment advisory agreement. They also concluded that Janus Capital had sufficient personnel, with the appropriate education and experience, to serve the New Portfolio effectively.
Costs of Services Provided
The Trustees noted the information regarding the proposed fees and expenses of the New Portfolio in comparison to similar information for other comparable funds. The Trustees noted that they had previously reviewed, and were currently in the process of reviewing, management fees charged by Janus Capital to non-mutual fund clients, including those for which Janus Capital provides only portfolio management services. The Trustees noted servicing that is to be provided by Janus Capital for the New Portfolio relative to those other clients, including regulatory compliance and administration
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services, and that, in serving the New Portfolio, Janus Capital assumes many legal risks that it does not assume in servicing its other clients.
The Trustees concluded that the proposed annual advisory fee rate, including the potential breakpoints, to be paid by the New Portfolio was reasonable in relation to the nature, extent and quality of the services to be provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital charges to other clients, and the expense limitation agreement agreed to 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 New Portfolio increases. The Trustees noted that the proposed annual advisory fee rate, which included the potential breakpoints as assets increased, provided the opportunity for shareholders to share the benefits of any economies of scale that may be present. The Trustees also noted that the New Portfolio is part of the overall Janus funds complex, which means, among other things, that the New Portfolio shares 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 funds.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates from their relationship with the New Portfolio. They recognized that two affiliates of Janus Capital will separately serve the New Portfolio as transfer agent and distributor, respectively. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates pursuant to the agreements, and the fees to be paid by the New Portfolio under those agreements, the New Portfolio and Janus Capital may potentially benefit from their relationship with each other in other ways. The Trustees concluded that the success of the New Portfolio could attract other business to Janus Capital or other Janus funds, and that the success of Janus Capital could enhance Janus Capital’s ability to serve the New Portfolio.
After full consideration of the above factors, as well as other factors, the Trustees, all of whom are independent Trustees, determined to approve the investment advisory agreement for the New Portfolio.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Notes
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94123 | 109-24-93060 08-15 |
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semiannual report
June 30, 2015
Janus Aspen INTECH U.S. Low Volatility Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen INTECH U.S. Low Volatility Portfolio
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Janus Aspen INTECH U.S. Low Volatility Portfolio (unaudited)
PORTFOLIO SNAPSHOT We seek to add value using natural stock price volatility through a mathematically based, risk-managed process. We do not pick individual stocks or forecast excess returns, but use natural stock price volatility and correlation characteristics. | Managed by INTECH Investment Management LLC |
PERFORMANCE OVERVIEW
For the six-month period ended June 30, 2015, Janus Aspen INTECH U.S. Low Volatility Portfolio’s Service Shares returned 0.62%. This compares to the 1.23% return posted by the S&P 500 Index, the Portfolio’s benchmark.
INVESTMENT STRATEGY
INTECH’s mathematical investment process is designed to determine potentially more efficient equity weightings of the securities in the benchmark index, utilizing a specific mathematical optimization and disciplined rebalancing routine. Rather than trying to predict the future direction of stock prices, the process seeks to use the volatility and correlation characteristics of stocks to construct portfolios with similar returns to the S&P 500 Index over time, but with lower return volatility. In particular, the Portfolio attempts to achieve market-like returns over the long-term and lower the volatility of the Portfolio’s absolute returns.
The investment process begins with the stocks in the Portfolio’s benchmark, the S&P 500 Index. Within specific risk constraints, INTECH’s mathematical process attempts to identify stocks that have high volatility relative to the index, and low correlation to one another. Once the stocks are identified and the portfolio of stocks is constructed, it is then rebalanced and re-optimized periodically. The Portfolio aims to generate market-like returns overtime with significantly lower return fluctuations. Although the Portfolio may underperform its benchmark in strong up markets, the strategy seeks to reduce losses in down markets. Therefore, while some downside protection and a more consistent experience are expected over the long-term, the tracking-error (a divergence between the price behavior of the Portfolio versus its benchmark) relative to the S&P 500 Index is expected to be high.
PERFORMANCE REVIEW
On average, the Portfolio was overweight lower beta stocks or stocks with lower sensitivity to market movements which tend to be less volatile. During the period lower beta stocks underperformed higher beta stocks and the overall market, on average. Consequently, the Portfolio’s overweight to lower beta stocks detracted from the Portfolio’s relative return for the period.
From a sector perspective, the Portfolio’s overweight to the defensive utilities and consumer staples sectors, which both posted negative returns during the period, detracted from relative performance. However, stock selection, which is a residual of the investment process, contributed to the Portfolio’s relative performance during the period, especially within the health care sector.
OUTLOOK
Because INTECH does not conduct traditional economic or fundamental analysis, INTECH has no view on individual stocks, sectors, economic, or market conditions.
Going forward, we will continue building portfolios in a disciplined and deliberate manner, with risk management remaining the hallmark of our investment process. As INTECH’s ongoing research efforts yield modest improvements, we will continue implementing changes that we believe are likely to improve the long-term results for our Portfolio shareholders.
Thank you for your investment in Janus Aspen INTECH U.S. Low Volatility Portfolio.
Janus Aspen Series | 1
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Janus Aspen INTECH U.S. Low Volatility Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Southern Co. Electric Utilities | 5.2% | |||
Procter & Gamble Co. Household Products | 4.5% | |||
General Mills, Inc. Food Products | 4.0% | |||
Kimberly-Clark Corp. Household Products | 3.6% | |||
Johnson & Johnson Pharmaceuticals | 3.2% | |||
20.5% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (0.4)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectus | ||||||||
Fiscal | One | Since | Total Annual Fund | ||||||
Year-to-Date | Year | Inception* | Operating Expenses | ||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio – Service Shares | 0.62% | 8.91% | 14.72% | 0.79% | |||||
S&P 500® Index | 1.23% | 7.42% | 16.28% | ||||||
Morningstar Quartile – Service Shares | – | 1st | 3rd | ||||||
Morningstar Ranking – based on total returns for Large Blend Funds | – | 204/1,658 | 1,071/1,542 | ||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
The proprietary mathematical process used by INTECH may not achieve the desired results. Since the portfolio is periodically re-balanced, this may result in a higher portfolio turnover rate and higher expenses compared to a “buy and hold” or index fund strategy. INTECH’s low volatility strategy may underperform its benchmark during certain periods of up markets and may not achieve the desired level of protection in down markets.
Until three years from inception, Janus Capital may recover expenses previously waived or reimbursed if the expense ratio falls below certain limits.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See important disclosures on the next page.
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Janus Aspen INTECH U.S. Low Volatility Portfolio (unaudited)
When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – September 6, 2012 |
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; 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 the 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. These fees are fully described in the Portfolio’s prospectus. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,006.20 | $ | 3.88 | $ | 1,000.00 | $ | 1,020.93 | $ | 3.91 | 0.78% | |||||||||||||||||
† | 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 prospectus for more information regarding waivers and/or reimbursements. |
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Janus Aspen INTECH U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 98.4% | ||||||||||
Aerospace & Defense – 0.5% | ||||||||||
10,900 | Lockheed Martin Corp. | $ | 2,026,310 | |||||||
2,100 | Precision Castparts Corp. | 419,727 | ||||||||
2,300 | Raytheon Co. | 220,064 | ||||||||
2,666,101 | ||||||||||
Air Freight & Logistics – 0.2% | ||||||||||
6,500 | CH Robinson Worldwide, Inc. | 405,535 | ||||||||
10,500 | Expeditors International of Washington, Inc. | 484,103 | ||||||||
889,638 | ||||||||||
Beverages – 1.6% | ||||||||||
27,300 | Coca-Cola Co. | 1,070,979 | ||||||||
90,600 | PepsiCo, Inc. | 8,456,604 | ||||||||
9,527,583 | ||||||||||
Biotechnology – 0.2% | ||||||||||
8,500 | Gilead Sciences, Inc. | 995,180 | ||||||||
Building Products – 0.1% | ||||||||||
14,000 | Allegion PLC | 841,960 | ||||||||
Capital Markets – 0.2% | ||||||||||
14,200 | Bank of New York Mellon Corp. | 595,974 | ||||||||
6,700 | Northern Trust Corp. | 512,282 | ||||||||
1,108,256 | ||||||||||
Chemicals – 2.3% | ||||||||||
4,100 | Airgas, Inc. | 433,698 | ||||||||
11,200 | FMC Corp. | 588,560 | ||||||||
12,100 | Monsanto Co. | 1,289,739 | ||||||||
3,300 | Praxair, Inc. | 394,515 | ||||||||
13,500 | Sherwin-Williams Co. | 3,712,770 | ||||||||
53,300 | Sigma-Aldrich Corp. | 7,427,355 | ||||||||
13,846,637 | ||||||||||
Commercial Banks – 0.9% | ||||||||||
12,600 | Bank of America Corp. | 214,452 | ||||||||
18,400 | BB&T Corp. | 741,704 | ||||||||
16,600 | M&T Bank Corp. | 2,073,838 | ||||||||
144,400 | People’s United Financial, Inc. | 2,340,724 | ||||||||
5,370,718 | ||||||||||
Commercial Services & Supplies – 1.0% | ||||||||||
4,300 | Cintas Corp. | 363,737 | ||||||||
76,600 | Republic Services, Inc. | 3,000,422 | ||||||||
11,000 | Stericycle, Inc.* | 1,473,010 | ||||||||
29,500 | Waste Management, Inc. | 1,367,325 | ||||||||
6,204,494 | ||||||||||
Communications Equipment – 0.2% | ||||||||||
4,700 | F5 Networks, Inc.* | 565,645 | ||||||||
11,900 | Motorola Solutions, Inc. | 682,346 | ||||||||
1,247,991 | ||||||||||
Consumer Finance – 0.1% | ||||||||||
21,700 | Navient Corp. | 395,157 | ||||||||
Containers & Packaging – 0.1% | ||||||||||
12,500 | Ball Corp. | 876,875 | ||||||||
Diversified Financial Services – 1.2% | ||||||||||
4,800 | Berkshire Hathaway, Inc. – Class B* | 653,328 | ||||||||
25,600 | CME Group, Inc. | 2,382,336 | ||||||||
17,102 | Intercontinental Exchange, Inc. | 3,824,178 | ||||||||
6,000 | NASDAQ OMX Group, Inc. | 292,860 | ||||||||
7,152,702 | ||||||||||
Diversified Telecommunication Services – 0.9% | ||||||||||
63,800 | AT&T, Inc. | 2,266,176 | ||||||||
9,400 | Level 3 Communications, Inc.* | 495,098 | ||||||||
61,700 | Verizon Communications, Inc. | 2,875,837 | ||||||||
5,637,111 | ||||||||||
Electric Utilities – 9.3% | ||||||||||
92,300 | Duke Energy Corp. | 6,518,226 | ||||||||
6,000 | Edison International | 333,480 | ||||||||
52,800 | Entergy Corp. | 3,722,400 | ||||||||
22,600 | Eversource Energy | 1,026,266 | ||||||||
50,300 | Exelon Corp. | 1,580,426 | ||||||||
2,600 | FirstEnergy Corp. | 84,630 | ||||||||
227,700 | Pepco Holdings, Inc. | 6,134,238 | ||||||||
85,900 | PPL Corp. | 2,531,473 | ||||||||
745,300 | Southern Co. | 31,228,070 | ||||||||
74,600 | Xcel Energy, Inc. | 2,400,628 | ||||||||
55,559,837 | ||||||||||
Energy Equipment & Services – 0.6% | ||||||||||
8,700 | Baker Hughes, Inc. | 536,790 | ||||||||
61,900 | Diamond Offshore Drilling, Inc.# | 1,597,639 | ||||||||
8,700 | FMC Technologies, Inc.* | 360,963 | ||||||||
14,600 | National Oilwell Varco, Inc. | 704,888 | ||||||||
7,300 | Transocean, Ltd. (U.S. Shares)# | 117,676 | ||||||||
3,317,956 | ||||||||||
Food & Staples Retailing – 3.2% | ||||||||||
5,000 | Costco Wholesale Corp. | 675,300 | ||||||||
4,400 | CVS Health Corp. | 461,472 | ||||||||
39,700 | Kroger Co. | 2,878,647 | ||||||||
50,500 | Sysco Corp. | 1,823,050 | ||||||||
167,700 | Wal-Mart Stores, Inc. | 11,894,961 | ||||||||
5,700 | Walgreens Boots Alliance, Inc. | 481,308 | ||||||||
20,200 | Whole Foods Market, Inc. | 796,688 | ||||||||
19,011,426 | ||||||||||
Food Products – 11.7% | ||||||||||
31,300 | Campbell Soup Co. | 1,491,445 | ||||||||
361,900 | ConAgra Foods, Inc. | 15,822,268 | ||||||||
427,600 | General Mills, Inc. | 23,825,872 | ||||||||
97,300 | Hershey Co. | 8,643,159 | ||||||||
11,100 | JM Smucker Co. | 1,203,351 | ||||||||
236,100 | Kellogg Co. | 14,803,470 | ||||||||
2,500 | Keurig Green Mountain, Inc. | 191,575 | ||||||||
41,300 | McCormick & Co., Inc. | 3,343,235 | ||||||||
800 | Mead Johnson Nutrition Co. | 72,176 | ||||||||
4,700 | Tyson Foods, Inc. – Class A | 200,361 | ||||||||
69,596,912 | ||||||||||
Gas Utilities – 0.2% | ||||||||||
22,700 | AGL Resources, Inc. | 1,056,912 | ||||||||
Health Care Equipment & Supplies – 2.3% | ||||||||||
22,000 | Baxter International, Inc. | 1,538,460 | ||||||||
33,289 | Becton Dickinson and Co. | 4,715,387 | ||||||||
29,500 | CR Bard, Inc. | 5,035,650 | ||||||||
3,100 | DENTSPLY International, Inc. | 159,805 | ||||||||
1,700 | Edwards Lifesciences Corp.* | 242,131 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
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Janus Aspen INTECH U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Health Care Equipment & Supplies – (continued) | ||||||||||
2,300 | Intuitive Surgical, Inc.* | $ | 1,114,350 | |||||||
11,500 | Varian Medical Systems, Inc.* | 969,795 | ||||||||
13,775,578 | ||||||||||
Health Care Providers & Services – 8.1% | ||||||||||
54,464 | Aetna, Inc. | 6,941,981 | ||||||||
23,200 | AmerisourceBergen Corp. | 2,467,088 | ||||||||
8,700 | Anthem, Inc. | 1,428,018 | ||||||||
30,300 | Cigna Corp. | 4,908,600 | ||||||||
31,100 | DaVita HealthCare Partners, Inc.* | 2,471,517 | ||||||||
25,900 | Express Scripts Holding Co.* | 2,303,546 | ||||||||
8,000 | HCA Holdings, Inc.* | 725,760 | ||||||||
41,900 | Humana, Inc. | 8,014,632 | ||||||||
57,100 | Laboratory Corp. of America Holdings* | 6,921,662 | ||||||||
6,600 | McKesson Corp. | 1,483,746 | ||||||||
33,800 | Quest Diagnostics, Inc. | 2,451,176 | ||||||||
35,000 | Tenet Healthcare Corp.* | 2,025,800 | ||||||||
45,400 | UnitedHealth Group, Inc. | 5,538,800 | ||||||||
4,900 | Universal Health Services, Inc. – Class B | 696,290 | ||||||||
48,378,616 | ||||||||||
Hotels, Restaurants & Leisure – 3.3% | ||||||||||
6,400 | Chipotle Mexican Grill, Inc.* | 3,871,936 | ||||||||
2,400 | Darden Restaurants, Inc. | 170,592 | ||||||||
146,900 | McDonald’s Corp. | 13,965,783 | ||||||||
35,800 | Starbucks Corp. | 1,919,417 | ||||||||
19,927,728 | ||||||||||
Household Durables – 0.1% | ||||||||||
11,300 | Garmin, Ltd.# | 496,409 | ||||||||
Household Products – 11.4% | ||||||||||
135,600 | Clorox Co. | 14,105,112 | ||||||||
81,500 | Colgate-Palmolive Co. | 5,330,915 | ||||||||
204,000 | Kimberly-Clark Corp. | 21,617,880 | ||||||||
339,000 | Procter & Gamble Co. | 26,523,360 | ||||||||
67,577,267 | ||||||||||
Information Technology Services – 0.4% | ||||||||||
13,600 | International Business Machines Corp. | 2,212,176 | ||||||||
Insurance – 0.2% | ||||||||||
2,300 | Allstate Corp. | 149,201 | ||||||||
2,500 | Travelers Cos., Inc. | 241,650 | ||||||||
17,700 | XL Group PLC | 658,440 | ||||||||
1,049,291 | ||||||||||
Internet & Catalog Retail – 1.1% | ||||||||||
1,900 | Amazon.com, Inc.* | 824,771 | ||||||||
9,100 | Netflix, Inc.* | 5,978,154 | ||||||||
6,802,925 | ||||||||||
Internet Software & Services – 1.2% | ||||||||||
36,400 | eBay, Inc.* | 2,192,736 | ||||||||
44,500 | Facebook, Inc. – Class A* | 3,816,543 | ||||||||
18,200 | VeriSign, Inc.*,# | 1,123,304 | ||||||||
7,132,583 | ||||||||||
Leisure Products – 1.0% | ||||||||||
41,100 | Hasbro, Inc. | 3,073,869 | ||||||||
104,600 | Mattel, Inc. | 2,687,174 | ||||||||
5,761,043 | ||||||||||
Life Sciences Tools & Services – 0.1% | ||||||||||
4,600 | Waters Corp.* | 590,548 | ||||||||
Machinery – 0.9% | ||||||||||
52,700 | Deere & Co. | 5,114,535 | ||||||||
Media – 1.0% | ||||||||||
28,400 | DIRECTV* | 2,635,236 | ||||||||
20,600 | Scripps Networks Interactive, Inc. – Class A | 1,346,622 | ||||||||
9,500 | Time Warner Cable, Inc. | 1,692,615 | ||||||||
5,100 | Time Warner, Inc. | 445,791 | ||||||||
6,120,264 | ||||||||||
Metals & Mining – 1.5% | ||||||||||
345,100 | Newmont Mining Corp. | 8,061,536 | ||||||||
15,100 | Nucor Corp. | 665,457 | ||||||||
8,726,993 | ||||||||||
Multi-Utilities – 3.7% | ||||||||||
319,300 | Consolidated Edison, Inc. | 18,481,084 | ||||||||
1,800 | DTE Energy Co. | 134,352 | ||||||||
40,400 | PG&E Corp. | 1,983,640 | ||||||||
2,600 | Sempra Energy | 257,244 | ||||||||
28,249 | WEC Energy Group, Inc. | 1,309,525 | ||||||||
22,165,845 | ||||||||||
Multiline Retail – 2.7% | ||||||||||
26,200 | Dollar General Corp. | 2,036,788 | ||||||||
9,200 | Dollar Tree, Inc.* | 726,708 | ||||||||
68,700 | Family Dollar Stores, Inc. | 5,414,247 | ||||||||
40,400 | Kohl’s Corp. | 2,529,444 | ||||||||
20,300 | Macy’s, Inc. | 1,369,641 | ||||||||
8,200 | Nordstrom, Inc. | 610,900 | ||||||||
40,200 | Target Corp. | 3,281,526 | ||||||||
15,969,254 | ||||||||||
Oil, Gas & Consumable Fuels – 1.0% | ||||||||||
135,700 | Cabot Oil & Gas Corp. | 4,279,978 | ||||||||
31,100 | Range Resources Corp. | 1,535,718 | ||||||||
5,815,696 | ||||||||||
Personal Products – 0.1% | ||||||||||
7,400 | Estee Lauder Cos., Inc. – Class A | 641,284 | ||||||||
Pharmaceuticals – 4.1% | ||||||||||
1,498 | Allergan PLC* | 454,583 | ||||||||
7,600 | Bristol-Myers Squibb Co. | 505,704 | ||||||||
1,900 | Eli Lilly & Co. | 158,631 | ||||||||
8,100 | Hospira, Inc.* | 718,551 | ||||||||
195,800 | Johnson & Johnson | 19,082,668 | ||||||||
46,400 | Merck & Co., Inc. | 2,641,552 | ||||||||
3,500 | Perrigo Co. PLC | 646,905 | ||||||||
1,500 | Zoetis, Inc. | 72,330 | ||||||||
24,280,924 | ||||||||||
Professional Services – 0.1% | ||||||||||
3,900 | Equifax, Inc. | 378,651 | ||||||||
10,100 | Nielsen NV | 452,177 | ||||||||
830,828 | ||||||||||
Real Estate Investment Trusts (REITs) – 5.6% | ||||||||||
20,000 | American Tower Corp. | 1,865,800 | ||||||||
38,400 | Apartment Investment & Management Co. – Class A | 1,418,112 | ||||||||
24,200 | AvalonBay Communities, Inc. | 3,868,854 | ||||||||
9,500 | Boston Properties, Inc. | 1,149,880 | ||||||||
3,200 | Crown Castle International Corp. | 256,960 | ||||||||
53,100 | Equity Residential | 3,726,027 | ||||||||
9,700 | Essex Property Trust, Inc. | 2,061,250 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
6 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Real Estate Investment Trusts (REITs) – (continued) | ||||||||||
133,700 | HCP, Inc. | $ | 4,876,039 | |||||||
64,000 | Health Care REIT, Inc. | 4,200,320 | ||||||||
18,700 | Macerich Co. | 1,395,020 | ||||||||
16,000 | Plum Creek Timber Co., Inc. | 649,120 | ||||||||
4,000 | Public Storage | 737,480 | ||||||||
2,100 | Simon Property Group, Inc. | 363,342 | ||||||||
4,300 | SL Green Realty Corp. | 472,527 | ||||||||
78,700 | Ventas, Inc. | 4,886,483 | ||||||||
8,600 | Vornado Realty Trust | 816,398 | ||||||||
22,800 | Weyerhaeuser Co. | 718,200 | ||||||||
33,461,812 | ||||||||||
Road & Rail – 0.1% | ||||||||||
6,000 | Norfolk Southern Corp. | 524,160 | ||||||||
Software – 0.5% | ||||||||||
34,500 | Citrix Systems, Inc.* | 2,420,520 | ||||||||
5,600 | Intuit, Inc. | 564,312 | ||||||||
2,984,832 | ||||||||||
Specialty Retail – 6.6% | ||||||||||
24,600 | AutoZone, Inc.* | 16,405,740 | ||||||||
9,500 | Bed Bath & Beyond, Inc.* | 655,310 | ||||||||
18,800 | Best Buy Co., Inc. | 613,068 | ||||||||
20,000 | Gap, Inc. | 763,400 | ||||||||
26,000 | L Brands, Inc. | 2,228,980 | ||||||||
27,800 | O’Reilly Automotive, Inc.* | 6,282,244 | ||||||||
57,400 | Ross Stores, Inc. | 2,790,214 | ||||||||
310,500 | Staples, Inc. | 4,753,755 | ||||||||
23,100 | TJX Cos., Inc. | 1,528,527 | ||||||||
92,800 | Urban Outfitters, Inc.* | 3,248,000 | ||||||||
39,269,238 | ||||||||||
Technology Hardware, Storage & Peripherals – 1.6% | ||||||||||
63,100 | Apple, Inc. | 7,914,317 | ||||||||
55,200 | NetApp, Inc. | 1,742,112 | ||||||||
9,656,429 | ||||||||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||||||||
39,300 | Coach, Inc. | 1,360,173 | ||||||||
14,000 | Fossil Group, Inc.* | 971,040 | ||||||||
46,700 | Michael Kors Holdings, Ltd.* | 1,965,603 | ||||||||
7,000 | PVH Corp. | 806,400 | ||||||||
1,800 | Ralph Lauren Corp. | 238,248 | ||||||||
16,900 | Under Armour, Inc. – Class A* | 1,410,136 | ||||||||
7,400 | VF Corp. | 516,076 | ||||||||
7,267,676 | ||||||||||
Thrifts & Mortgage Finance – 0.2% | ||||||||||
137,300 | Hudson City Bancorp, Inc. | 1,356,524 | ||||||||
Tobacco – 3.8% | ||||||||||
293,300 | Altria Group, Inc. | 14,345,303 | ||||||||
5,000 | Philip Morris International, Inc. | 400,850 | ||||||||
106,223 | Reynolds American, Inc. | 7,930,609 | ||||||||
22,676,762 | ||||||||||
Total Common Stocks (cost $544,474,126) | 585,870,666 | |||||||||
Investment Companies – 2.0% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending – 0.3% | ||||||||||
1,800,112 | Janus Cash Collateral Fund LLC, 0.1304%°°,£ | 1,800,112 | ||||||||
Money Markets – 1.7% | ||||||||||
10,294,669 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 10,294,669 | ||||||||
Total Investment Companies (cost $12,094,781) | 12,094,781 | |||||||||
Total Investments (total cost $556,568,907) – 100.4% | 597,965,447 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.4)% | (2,589,283) | |||||||||
Net Assets – 100% | $ | 595,376,164 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
S&P 500® Index | Measures broad U.S. equity performance. | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
# | Loaned security; a portion of the security is on loan at June 30, 2015. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | |||||||||||||||
Balance | Balance | Realized | Dividend | Value | ||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | ||||||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | ||||||||||||||||
Janus Cash Collateral Fund LLC | 3,728,969 | 34,594,183 | (36,523,040) | 1,800,112 | $– | $84,395(1) | $ 1,800,112 | |||||||||
Janus Cash Liquidity Fund LLC | 8,207,338 | 118,048,331 | (115,961,000) | 10,294,669 | – | 5,810 | 10,294,669 | |||||||||
Total | $– | $ 90,205 | $12,094,781 | |||||||||||||
(1) | 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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Common Stocks | $585,870,666 | $ – | $– | |||||
Investment Companies | – | 12,094,781 | – | |||||
Total Assets | $585,870,666 | $12,094,781 | $– | |||||
8 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
INTECH U.S. | ||||||||||
Low Volatility | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 556,568,907 | ||||||||
Unaffiliated investments, at value(1) | $ | 585,870,666 | ||||||||
Affiliated investments, at value | 12,094,781 | |||||||||
Cash | 154,547 | |||||||||
Non-interested Trustees’ deferred compensation | 11,880 | |||||||||
Receivables: | ||||||||||
Investments sold | 13,040 | |||||||||
Portfolio shares sold | 1,214,504 | |||||||||
Dividends | 747,400 | |||||||||
Dividends from affiliates | 1,147 | |||||||||
Total Assets | 600,107,965 | |||||||||
Liabilities: | ||||||||||
Collateral for securities loaned (Note 2) | 1,800,112 | |||||||||
Payables: | ||||||||||
Investments purchased | 2,440,308 | |||||||||
Portfolio shares repurchased | 79,756 | |||||||||
Advisory fees | 242,297 | |||||||||
Portfolio administration fees | 4,604 | |||||||||
Transfer agent fees and expenses | 344 | |||||||||
12b-1 Distribution and shareholder servicing fees | 121,148 | |||||||||
Non-interested Trustees’ fees and expenses | 3,173 | |||||||||
Non-interested Trustees’ deferred compensation fees | 11,880 | |||||||||
Accrued expenses and other payables | 28,179 | |||||||||
Total Liabilities | 4,731,801 | |||||||||
Net Assets | $ | 595,376,164 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 545,587,309 | ||||||||
Undistributed net investment income/(loss) | 1,640,892 | |||||||||
Undistributed net realized gain/(loss) from investments | 6,750,831 | |||||||||
Unrealized net appreciation/(depreciation) of investments and non-interested Trustees’ deferred compensation | 41,397,132 | |||||||||
Total Net Assets | $ | 595,376,164 | ||||||||
Net Assets - Service Shares | $ | 595,376,164 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 42,596,955 | |||||||||
Net Asset Value Per Share | $ | 13.98 |
(1) | Includes $1,754,765 of securities on loan. See Note 2 in Notes to Financial Statements. |
See Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Statement of Operations
Janus Aspen | ||||||
INTECH U.S. | ||||||
Low Volatility | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Affiliated securities lending income, net | $ | 84,395 | ||||
Dividends | 6,331,949 | |||||
Dividends from affiliates | 5,810 | |||||
Other income | 593 | |||||
Foreign tax withheld | (803) | |||||
Total Investment Income | 6,421,944 | |||||
Expenses: | ||||||
Advisory fees | 1,314,756 | |||||
12b-1 Distribution and shareholder servicing fees | 657,378 | |||||
Other transfer agent fees and expenses | 1,432 | |||||
Shareholder reports expense | 9,927 | |||||
Registration fees | 24 | |||||
Custodian fees | 6,377 | |||||
Professional fees | 15,186 | |||||
Non-interested Trustees’ fees and expenses | 7,364 | |||||
Portfolio administration fees | 25,109 | |||||
Other expenses | 20,936 | |||||
Total Expenses | 2,058,489 | |||||
Net Expenses | 2,058,489 | |||||
Net Investment Income/(Loss) | 4,363,455 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments | 6,986,352 | |||||
Total Net Realized Gain/(Loss) on Investments | 6,986,352 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments and non-interested Trustees’ deferred compensation | (10,066,764) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (10,066,764) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 1,283,043 |
See Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
INTECH U.S. Low Volatility | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 4,363,455 | $ | 5,141,816 | ||||||
Net realized gain/(loss) on investments | 6,986,352 | 10,990,473 | ||||||||
Change in unrealized net appreciation/depreciation | (10,066,764) | 39,792,761 | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 1,283,043 | 55,925,050 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | (5,003,908) | (2,897,257) | ||||||||
Net Realized Gain from Investment Transactions | (11,156,268) | (703,954) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (16,160,176) | (3,601,211) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | 181,237,915 | 251,501,133 | ||||||||
Reinvested Dividends and Distributions | 16,160,176 | 3,601,211 | ||||||||
Shares Repurchased | (36,528,430) | (50,771,808) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 160,869,661 | 204,330,536 | ||||||||
Net Increase/(Decrease) in Net Assets | 145,992,528 | 256,654,375 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 449,383,636 | 192,729,261 | ||||||||
End of period | $ | 595,376,164 | $ | 449,383,636 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 1,640,892 | $ | 2,281,345 |
See Notes to Financial Statements.
Janus Aspen Series | 11
Table of Contents
Financial Highlights
Service Shares
For a share outstanding during the period ended June 30, 2015 (unaudited) and | Janus Aspen INTECH U.S. Low Volatility Portfolio | |||||||||||||||||
each year or period ended December 31 | 2015 | 2014 | 2013 | 2012(1) | ||||||||||||||
Net Asset Value, Beginning of Period | $14.28 | $12.25 | $9.92 | $10.00 | ||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.12(2) | 0.21(2) | 0.09 | 0.04 | ||||||||||||||
Net realized and unrealized gain/(loss) | (0.03) | 1.95 | 2.37 | (0.08) | ||||||||||||||
Total from Investment Operations | 0.09 | 2.16 | 2.46 | (0.04) | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.12) | (0.10) | (0.10) | (0.04) | ||||||||||||||
Distributions (from capital gains) | (0.27) | (0.03) | (0.03) | – | �� | |||||||||||||
Total Dividends and Distributions | (0.39) | (0.13) | (0.13) | (0.04) | ||||||||||||||
Net Asset Value, End of Period | $13.98 | $14.28 | $12.25 | $9.92 | ||||||||||||||
Total Return* | 0.62% | 17.70% | 24.84% | (0.45)% | ||||||||||||||
Net Assets, End of Period (in thousands) | $595,376 | $449,384 | $192,729 | $17,070 | ||||||||||||||
Average Net Assets for the Period (in thousands) | $532,784 | $322,054 | $80,670 | $7,270 | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||
Ratio of Gross Expenses** | 0.78% | 0.79% | 0.98% | 2.69% | ||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.78% | 0.79% | 0.98% | 1.01% | ||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.65% | 1.60% | 1.61% | 2.20% | ||||||||||||||
Portfolio Turnover Rate | 13% | 36% | 21% | 2% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Period from September 6, 2012 (inception date) through December 31, 2012. | |
(2) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
12 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen INTECH U.S. Low Volatility Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
Janus Aspen Series | 13
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata
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share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending 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. As a result, financial markets in the EU have been subject to increased 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.
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
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Notes to Financial Statements (unaudited) (continued)
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 may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and 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 | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Deutsche Bank AG | $1,754,765 | $– | $(1,754,765) | $– | ||||||||||||||
(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. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
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
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stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to qualified parties. Deutsche Bank AG acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments. Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
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 | Contractual | |||||||||
Net Assets | Investment | |||||||||
Portfolio | of the Portfolio | Advisory Fee (%) | ||||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | All Asset Levels | 0.50 | ||||||||
INTECH Investment Management LLC (“INTECH”) serves as subadviser to the Portfolio. As subadviser, INTECH provides day-to-day management of the investment operations of the Portfolio subject to the general oversight of Janus Capital. Janus Capital owns approximately 97% of INTECH.
Janus Capital pays INTECH a subadvisory fee rate equal to 50% of the investment advisory fee paid by the Portfolio to Janus Capital (calculated after any fee waivers and expense reimbursement).
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse
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Notes to Financial Statements (unaudited) (continued)
expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees, 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 shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | 0.74 | |||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
For a period of three years subsequent to the Portfolio’s commencement of operations, Janus Capital may recover from the Portfolio fees and expenses previously waived or reimbursed, which could then be considered a deferral, if the Portfolio’s expense ratio, including recovered expenses, falls below the expense limit. If applicable, this amount is disclosed as “Recoupment expense” on the Statement of Operations. During the period ended June 30, 2015, Janus Capital reimbursed the Portfolio $0 of fees and expenses that are eligible for recoupment. As of June 30, 2015, the aggregate amount of recoupment that may potentially be made to Janus Capital is $0. The recoupment of such reimbursements expires September 6, 2015.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or the subadviser) provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-
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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, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Net Tax | ||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | $556,598,593 | $56,183,814 | $(14,816,960) | $41,366,854 | ||||||
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Notes to Financial Statements (unaudited) (continued)
5. | Capital Share Transactions |
Janus Aspen INTECH U.S. Low Volatility Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 12,506,864 | 19,267,414 | ||||||||
Reinvested dividends and distributions | 1,136,440 | 262,157 | ||||||||
Shares repurchased | (2,522,970) | (3,789,161) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 11,120,334 | 15,740,410 | ||||||||
Shares Outstanding, Beginning of Period | 31,476,621 | 15,736,211 | ||||||||
Shares Outstanding, End of Period | 42,596,955 | 31,476,621 |
6. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen INTECH U.S. Low Volatility Portfolio | $212,775,296 | $70,354,493 | $– | $– | ||||||
7. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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Additional Information (unaudited) (continued)
the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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Additional Information (unaudited) (continued)
underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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Additional Information (unaudited) (continued)
noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Notes
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-93923 | 109-24-81127 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Janus Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Janus Portfolio
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Janus Aspen Janus Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe that buying high-quality growth franchises with sustainable, projected above-average earnings growth for the next five-plus years and a market leadership position driven by a clearly articulated strategy should allow us to outperform the benchmark and peers over the long-term. We perform in-depth, fundamental research to build a diversified, moderately positioned portfolio aiming to deliver peer- and index-beating returns while managing for risk and volatility. | Barney Wilson portfolio manager |
PERFORMANCE OVERVIEW
For the six-month period ended June 30, 2015, Janus Aspen Janus Portfolio’s Institutional Shares and Service Shares returned 5.66% and 5.53%, respectively. Meanwhile, the Portfolio’s primary benchmark, the Russell 1000 Growth Index, returned 3.96% and its secondary benchmark, the S&P 500 Index, returned 1.23%. Meanwhile, another benchmark we use to measure performance, the Core Growth Index, returned 2.59% during the last sixth months. The Core Growth Index is an internally-calculated benchmark combining returns from the Russell 1000 Growth Index (50%) and S&P 500 Index (50%).
INVESTMENT ENVIRONMENT
Large-cap U.S. equities notched gains during the first months of the year. Speculation about how, or when, the Federal Reserve (Fed) would raise interest rates caused volatility in the early months, but stocks popped in mid-March after the Fed indicated it would be cautious and gradual in its attempt to raise interest rates. Stocks were further driven by strong merger and acquisition activity and favorable economic data.
For much of the second quarter, volatility was low and stocks generally traded in a narrow range, as the market began to digest what the eventual end of the Federal Reserve’s accommodative monetary policies will mean for both the stock market and broader economy. The after-effects of a strong dollar and a debate over where oil prices will settle for the long-term were other key questions that hung over equity markets in the spring. After drifting higher during much of the second quarter, equities sold off in late June as Greece moved closer to a potential exit from the eurozone.
PERFORMANCE DISCUSSION
The Portfolio had positive returns and outperformed both its primary benchmark, the Russell 1000 Growth Index, and also its secondary benchmarks, the S&P 500 Index and the Core Growth Index. As part of our investment process, we seek companies with clearly definable and sustainable long-term growth drivers. These companies often have a high barrier to entry, a notable competitive edge in an attractive, growing industry, or a strong management team with a clear vision for the future of their company. We believe that over a long time horizon, a collection of companies with these competitive advantages should lead to compounded growth in excess of the market. During the period, we were pleased to see a number of companies in our Portfolio put up impressive results and further demonstrate their competitive advantages.
Our stock selection in the health care sector was a particularly large driver of relative outperformance. Many of our holdings within the sector fall within a couple of themes. We own a number of biotech companies with breakthrough therapies addressing highly unmet medical needs. We also own a number of specialty pharmaceutical companies with smart management teams who are improving operations for their companies and making what we believe are intelligent acquisitions that help rationalize marketing, sales and research and development costs. Some of our top contributors to the Portfolio during the period fit within both of these themes.
Pharmacyclics was the Portfolio’s top contributor. The company was acquired by AbbVie during the period. The high interest Pharmacyclics received from other companies bidding for it validated our view that its blood cancer treatments are truly innovative and offer significant growth potential.
Outside of the health care sector, Apple was a top contributor to performance. The stock has been a top contributor in previous periods and our views on the company remain the same. Our basic view is that Apple is a strong brand and that as consumers get more familiar with Apple products, they get more deeply entrenched in the Apple ecosystem, branching out to buy new Apple products and returning to the brand when it is time to
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Janus Aspen Janus Portfolio (unaudited)
update existing ones. Recent innovations by the company, such as its mobile pay service, further entrench customers into that ecosystem. We see evidence of this trend by the fact that household spending on Apple products continues to increase.
Freescale Semiconductor was also a top contributor. The stock benefited from a consensus-beating earnings report. In March it was also announced that the company would merge with NXP Semiconductors, creating a powerhouse in the automotive segment. Even before the transaction’s announcement, we believed that Freescale was well positioned in attractive end markets such as automotive, communications infrastructure and industrials.
While pleased with the performance of most stocks in the Portfolio, we still had some stocks that fell during the period and detracted from performance. Precision Castparts was a top detractor. The stock was down after the company missed earnings, due in part to lower demand for some of its products that serve the oil and gas markets, and also due to destocking by some of the customers who use Precision Castparts’ products. After a few disappointing results from the company we are reviewing the stock.
NetSuite was also a large detractor. There have been some marginal concerns about increased competition for NetSuite that may have weighed on the stock in recent quarters, but we believe those concerns are overblown. We believe the company, which provides enterprise resource planning (ERP) software and applications to medium-size businesses, is in a unique position as they bring a simplified, cloud-based ERP offering to the mid-market. In our view, the company’s cloud-based ERP solutions are a favorable choice compared to competitors that serve large businesses, whose offerings are too complex for the typical mid-size enterprise. We expect long growth ahead for NetSuite now that it has reached a critical mass in the number of reference customers who have tried, and are satisfied with, its offerings. With those reference customers in hand, the sales cycle for gaining new customers should be shorter.
Finally, athenahealth was also a detractor. The company’s services help physician groups become more efficient by providing technology solutions around practice management, electronic recordkeeping and care-coordination services. The company has been very successful selling its solutions to the ambulatory market, and is now making a broader push into larger hospitals. There is some concern about the time it will take athenahealth to grow in the hospital market, but as more focus is put on wringing costs from the health care industry, we think the value proposition of athenahealth’s solutions will continue to be in greater demand.
DERIVATIVES USE
Due to certain circumstances and market conditions, we may initiate positions in call and put options in an attempt to hedge risk and generate income for the portfolio. We sometimes sell calls on portions of existing long holdings or optimize positions based on our fundamental view. We do this at stock prices at which we’d be willing to trim the securities. The option trades are initiated to generate income based on fundamental research and our view of volatility. We also sell puts on stocks that we would like to own at prices lower than today’s levels. To the extent we invest in foreign holdings, we may use forward exchange contracts to hedge the foreign currency. During the period, our aggregate derivative positions detracted from relative results. Please see “Notes to Financial Statements” for information about the derivatives used by the Portfolio.
OUTLOOK
We believe the U.S. is set up for moderate growth for an extended period, and that the country’s economic growth is more dependable than anywhere in the world right now. We are also encouraged by some long-term growth trends we see taking shape in some of the largest sectors of the market. The health care sector is going through dynamic changes. The last decade has brought about rapid changes in the way in which drugs are developed and clinical trials are conducted. This has led to more successful research and development efforts and a wave of breakthrough therapies for serious diseases. Meanwhile, we believe a number of technology companies are poised for growth as electronic devices connect and interact with each other and the world around them. Consumer sectors could also be set up for better near- term growth due to the prospects of increased spending by a stronger U.S. consumer. These trends are longer-term trends that should benefit large-cap stocks.
In the near-term, we feel there is now greater appreciation for the relative strength of the U.S. economy, and as such, we are unlikely to see macroeconomic factors play as large of a role in pushing all stocks forward broadly. We welcome this environment, as we believe that a market that is beginning to differentiate the most successful companies should benefit investors that use a strong, bottom-up research process to identify what we believe are superior growth companies.
Thank you for your investment in Janus Aspen Janus Portfolio.
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(unaudited)
Janus Aspen Janus Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Pharmacyclics, Inc. | 1.00% | |||
Apple, Inc. | 0.83% | |||
Freescale Semiconductor, Ltd. | 0.66% | |||
Valeant Pharmaceuticals International, Inc. (U.S. Shares) | 0.52% | |||
Dunkin’ Brands Group, Inc. | 0.44% |
5 Bottom Performers – Holdings
Contribution | ||||
Precision Castparts Corp. | –0.32% | |||
NetSuite, Inc. | –0.30% | |||
athenahealth, Inc. | –0.25% | |||
Canadian Pacific Railway, Ltd. (U.S. Shares) | –0.25% | |||
Union Pacific Corp. | –0.25% |
5 Top Performers – Sectors*
Portfolio Weighting | Russell 1000® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Health Care | 1.72% | 19.82% | 14.46% | |||||||||
Information Technology | 0.52% | 32.26% | 28.58% | |||||||||
Financials | 0.46% | 4.75% | 5.23% | |||||||||
Consumer Discretionary | 0.30% | 17.59% | 18.79% | |||||||||
Telecommunication Services | 0.26% | 0.62% | 2.15% |
5 Bottom Performers – Sectors*
Portfolio Weighting | Russell 1000® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Energy | –0.45% | 3.56% | 4.46% | |||||||||
Industrials | –0.41% | 10.50% | 11.74% | |||||||||
Materials | –0.15% | 3.85% | 3.98% | |||||||||
Other** | –0.13% | 0.77% | 0.00% | |||||||||
Consumer Staples | –0.11% | 5.33% | 10.52% |
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
** | Not a GICS classified sector. |
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Janus Aspen Janus Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Apple, Inc. Technology Hardware, Storage & Peripherals | 5.3% | |||
Allergan PLC Pharmaceuticals | 3.4% | |||
Home Depot, Inc. Specialty Retail | 2.6% | |||
Google, Inc. – Class C Internet Software & Services | 2.6% | |||
MasterCard, Inc. – Class A Information Technology Services | 2.5% | |||
16.4% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (1.2)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Janus Portfolio – Institutional Shares | 5.66% | 13.86% | 16.16% | 8.44% | 8.25% | 0.55% | |||||||
Janus Aspen Janus Portfolio – Service Shares | 5.53% | 13.60% | 15.86% | 8.17% | 7.96% | 0.80% | |||||||
Russell 1000® Growth Index | 3.96% | 10.56% | 18.59% | 9.10% | 8.80% | ||||||||
S&P 500® Index | 1.23% | 7.42% | 17.34% | 7.89% | 9.22% | ||||||||
Core Growth Index | 2.59% | 8.98% | 17.97% | 8.51% | 9.05% | ||||||||
Morningstar Quartile – Institutional Shares | – | 1st | 3rd | 2nd | 3rd | ||||||||
Morningstar Ranking – based on total returns for Large Growth Funds | – | 178/1,743 | 1,048/1,538 | 575/1,314 | 302/544 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Investments in derivatives can be highly volatile and involve additional risks than if the underlying securities were held directly. Such risks include gains or losses which, as a result of leverage, can be substantially greater than the derivatives’ original cost. There is also a possibility that derivatives may not perform as intended, which can reduce opportunity for gain or result in losses by offsetting positive returns in other securities.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
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.
See important disclosures on the next page.
Janus Aspen Series | 5
Table of Contents
Janus Aspen Janus Portfolio (unaudited)
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – September 13, 1993 |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,056.60 | $ | 3.47 | $ | 1,000.00 | $ | 1,021.42 | $ | 3.41 | 0.68% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,055.30 | $ | 4.74 | $ | 1,000.00 | $ | 1,020.18 | $ | 4.66 | 0.93% | |||||||||||||||||
† | 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Janus Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 100.4% | ||||||||||
Aerospace & Defense – 2.0% | ||||||||||
79,421 | Honeywell International, Inc. | $ | 8,098,560 | |||||||
17,390 | Precision Castparts Corp. | 3,475,739 | ||||||||
11,574,299 | ||||||||||
Airlines – 0.4% | ||||||||||
63,451 | Southwest Airlines Co. | 2,099,594 | ||||||||
Auto Components – 0.9% | ||||||||||
58,695 | Delphi Automotive PLC | 4,994,358 | ||||||||
Beverages – 0.3% | ||||||||||
30,744 | SABMiller PLC | 1,595,786 | ||||||||
Biotechnology – 6.0% | ||||||||||
71,325 | Amgen, Inc. | 10,949,814 | ||||||||
27,206 | Biogen, Inc.* | 10,989,592 | ||||||||
56,521 | Celgene Corp.* | 6,541,458 | ||||||||
11,980 | Regeneron Pharmaceuticals, Inc.* | 6,111,357 | ||||||||
34,592,221 | ||||||||||
Capital Markets – 1.6% | ||||||||||
126,467 | Blackstone Group LP | 5,168,706 | ||||||||
115,769 | Charles Schwab Corp. | 3,779,858 | ||||||||
8,948,564 | ||||||||||
Chemicals – 3.4% | ||||||||||
86,896 | Air Products & Chemicals, Inc. | 11,889,980 | ||||||||
65,996 | PPG Industries, Inc. | 7,571,061 | ||||||||
19,461,041 | ||||||||||
Communications Equipment – 0.9% | ||||||||||
89,918 | Motorola Solutions, Inc. | 5,155,898 | ||||||||
Electric Utilities – 1.0% | ||||||||||
125,910 | Brookfield Infrastructure Partners LP | 5,619,363 | ||||||||
Electrical Equipment – 2.3% | ||||||||||
219,093 | Sensata Technologies Holding NV* | 11,554,965 | ||||||||
33,013 | SolarCity Corp.* | 1,767,846 | ||||||||
13,322,811 | ||||||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||||
58,198 | Amphenol Corp. – Class A | 3,373,738 | ||||||||
43,489 | TE Connectivity, Ltd. (U.S. Shares) | 2,796,343 | ||||||||
6,170,081 | ||||||||||
Energy Equipment & Services – 0.4% | ||||||||||
38,697 | Baker Hughes, Inc. | 2,387,605 | ||||||||
Food & Staples Retailing – 2.1% | ||||||||||
103,954 | Kroger Co. | 7,537,704 | ||||||||
129,670 | Sysco Corp. | 4,681,087 | ||||||||
12,218,791 | ||||||||||
Food Products – 1.2% | ||||||||||
78,878 | Hershey Co. | 7,006,733 | ||||||||
Health Care Equipment & Supplies – 0.6% | ||||||||||
187,804 | Boston Scientific Corp.* | 3,324,131 | ||||||||
Health Care Technology – 0.9% | ||||||||||
45,124 | athenahealth, Inc.* | 5,170,308 | ||||||||
Hotels, Restaurants & Leisure – 4.6% | ||||||||||
16,262 | Chipotle Mexican Grill, Inc.*,† | 9,838,347 | ||||||||
105,702 | Dunkin’ Brands Group, Inc. | 5,813,610 | ||||||||
52,223 | Norwegian Cruise Line Holdings, Ltd.* | 2,926,577 | ||||||||
140,491 | Starbucks Corp. | 7,532,425 | ||||||||
26,110,959 | ||||||||||
Household Products – 1.9% | ||||||||||
44,875 | Colgate-Palmolive Co. | 2,935,274 | ||||||||
72,568 | Kimberly-Clark Corp. | 7,690,031 | ||||||||
10,625,305 | ||||||||||
Information Technology Services – 4.2% | ||||||||||
149,991 | MasterCard, Inc. – Class A | 14,021,159 | ||||||||
145,382 | Visa, Inc. – Class A | 9,762,401 | ||||||||
23,783,560 | ||||||||||
Insurance – 0.9% | ||||||||||
54,529 | Aon PLC | 5,435,451 | ||||||||
Internet & Catalog Retail – 2.3% | ||||||||||
16,938 | Amazon.com, Inc.* | 7,352,616 | ||||||||
27,179 | Ctrip.com International, Ltd. (ADR)* | 1,973,739 | ||||||||
3,146 | Priceline Group, Inc.* | 3,622,210 | ||||||||
12,948,565 | ||||||||||
Internet Software & Services – 7.5% | ||||||||||
37,331 | Alibaba Group Holding, Ltd. (ADR)* | 3,071,221 | ||||||||
26,415 | CoStar Group, Inc.* | 5,316,283 | ||||||||
154,179 | Facebook, Inc. – Class A* | 13,223,162 | ||||||||
8,895 | Google, Inc. – Class A*,† | 4,803,656 | ||||||||
28,353 | Google, Inc. – Class C† | 14,758,020 | ||||||||
7,564 | LinkedIn Corp. – Class A* | 1,562,949 | ||||||||
42,735,291 | ||||||||||
Leisure Products – 0.5% | ||||||||||
21,218 | Polaris Industries, Inc. | 3,142,598 | ||||||||
Machinery – 1.5% | ||||||||||
188,017 | Colfax Corp.* | 8,676,985 | ||||||||
Media – 4.7% | ||||||||||
180,983 | Comcast Corp. – Class A | 10,884,318 | ||||||||
80,759 | Liberty Global PLC – Class C* | 4,088,828 | ||||||||
129,201 | Twenty-First Century Fox, Inc. – Class A | 4,204,847 | ||||||||
65,673 | Walt Disney Co. | 7,495,916 | ||||||||
26,673,909 | ||||||||||
Multiline Retail – 0.9% | ||||||||||
62,330 | Dollar Tree, Inc.* | 4,923,447 | ||||||||
Oil, Gas & Consumable Fuels – 1.6% | ||||||||||
29,278 | Anadarko Petroleum Corp. | 2,285,441 | ||||||||
58,643 | Antero Resources Corp.* | 2,013,800 | ||||||||
50,755 | MarkWest Energy Partners LP | 2,861,567 | ||||||||
79,359 | Southwestern Energy Co.* | 1,803,830 | ||||||||
8,964,638 | ||||||||||
Personal Products – 0.6% | ||||||||||
38,558 | Estee Lauder Cos., Inc. – Class A | 3,341,436 | ||||||||
Pharmaceuticals – 12.8% | ||||||||||
160,727 | AbbVie, Inc. | 10,799,247 | ||||||||
63,370 | Allergan PLC* | 19,230,260 | ||||||||
124,935 | Bristol-Myers Squibb Co. | 8,313,175 | ||||||||
63,534 | Eli Lilly & Co. | 5,304,454 | ||||||||
155,977 | Endo International PLC* | 12,423,568 | ||||||||
34,087 | Jazz Pharmaceuticals PLC* | 6,001,698 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Janus Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Pharmaceuticals – (continued) | ||||||||||
52,703 | Mallinckrodt PLC* | $ | 6,204,197 | |||||||
23,178 | Valeant Pharmaceuticals International, Inc. (U.S. Shares)* | 5,148,993 | ||||||||
73,425,592 | ||||||||||
Professional Services – 0.9% | ||||||||||
73,948 | Verisk Analytics, Inc. – Class A* | 5,380,456 | ||||||||
Real Estate Investment Trusts (REITs) – 1.3% | ||||||||||
80,734 | American Tower Corp. | 7,531,675 | ||||||||
Real Estate Management & Development – 2.1% | ||||||||||
188,483 | CBRE Group, Inc. – Class A* | 6,973,871 | ||||||||
4,423,715 | Colony American Homes Holdings III LP*,§ | 5,131,509 | ||||||||
12,105,380 | ||||||||||
Road & Rail – 2.2% | ||||||||||
45,343 | Canadian Pacific Railway, Ltd. (U.S. Shares) | 7,265,309 | ||||||||
59,106 | Union Pacific Corp. | 5,636,939 | ||||||||
12,902,248 | ||||||||||
Semiconductor & Semiconductor Equipment – 4.9% | ||||||||||
552,416 | ARM Holdings PLC | 8,999,519 | ||||||||
259,678 | Atmel Corp. | 2,559,127 | ||||||||
54,176 | Avago Technologies, Ltd. | 7,201,615 | ||||||||
167,393 | Freescale Semiconductor, Ltd.* | 6,690,698 | ||||||||
547,942 | Taiwan Semiconductor Manufacturing Co., Ltd. | 2,495,328 | ||||||||
27,946,287 | ||||||||||
Software – 7.2% | ||||||||||
45,591 | Adobe Systems, Inc.* | 3,693,327 | ||||||||
32,756 | ANSYS, Inc.*,† | 2,988,657 | ||||||||
446,632 | Cadence Design Systems, Inc.* | 8,780,785 | ||||||||
94,267 | NetSuite, Inc.* | 8,648,997 | ||||||||
70,946 | Oracle Corp. | 2,859,124 | ||||||||
90,560 | Salesforce.com, Inc.* | 6,305,693 | ||||||||
35,235 | ServiceNow, Inc.* | 2,618,313 | ||||||||
32,764 | Ultimate Software Group, Inc.* | 5,384,436 | ||||||||
41,279,332 | ||||||||||
Specialty Retail – 6.2% | ||||||||||
7,441 | AutoZone, Inc.* | 4,962,403 | ||||||||
133,564 | Home Depot, Inc. | 14,842,967 | ||||||||
186,510 | Sally Beauty Holdings, Inc.* | 5,889,986 | ||||||||
145,065 | TJX Cos., Inc. | 9,598,951 | ||||||||
35,294,307 | ||||||||||
Technology Hardware, Storage & Peripherals – 5.3% | ||||||||||
242,772 | Apple, Inc.† | 30,449,678 | ||||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||||
98,686 | Gildan Activewear, Inc. | 3,280,323 | ||||||||
Wireless Telecommunication Services – 0.6% | ||||||||||
94,203 | T-Mobile US, Inc.* | 3,652,250 | ||||||||
Total Common Stocks (cost $455,773,602) | 574,251,256 | |||||||||
Counterparty/Reference Asset | ||||||||||
OTC Purchased Options – Calls – 0% | ||||||||||
Credit Suisse International: Oracle Corp.* expires September 2015 2,466 contracts exercise price $45.00 | 44,634 | |||||||||
Morgan Stanley & Co. International PLC: Hess Corp.* expires August 2015 392 contracts exercise price $80.00 | 6,066 | |||||||||
UBS AG: Microsoft Corp.* expires August 2015 1,341 contracts exercise price $47.00 | 73,919 | |||||||||
Total OTC Purchased Options – Calls (premiums paid $882,553) | 124,619 | |||||||||
Counterparty/Reference Asset | ||||||||||
OTC Purchased Options – Puts – 0.1% | ||||||||||
Credit Suisse International: Market Vectors Semiconductor (ETF)* expires August 2015 1,700 contracts exercise price $52.00 | 148,826 | |||||||||
Morgan Stanley & Co. International PLC: SPDR S&P 500® Trust (ETF)* expires August 2015 600 contracts exercise price $210.00 | 403,129 | |||||||||
Total OTC Purchased Options – Puts (premiums paid $711,300) | 551,955 | |||||||||
Investment Companies – 0.7% | ||||||||||
Money Markets – 0.7% | ||||||||||
4,144,000 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ (cost $4,144,000) | 4,144,000 | ||||||||
Total Investments (total cost $461,511,455) – 101.2% | 579,071,830 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.2)% | (7,142,961) | |||||||||
Net Assets – 100% | $ | 571,928,869 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Schedule of Investments (unaudited)
As of June 30, 2015
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 537,500,534 | 92 | .8% | ||||
Canada | 15,694,625 | 2 | .7 | |||||
United Kingdom | 14,684,133 | 2 | .6 | |||||
China | 5,044,960 | 0 | .9 | |||||
Germany | 3,652,250 | 0 | .6 | |||||
Taiwan | 2,495,328 | 0 | .4 | |||||
Total | $ | 579,071,830 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | |||||||||||||
Currency | Currency | Appreciation/ | |||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | ||||||||||
Bank of America: British Pound 7/30/15 | 1,749,000 | $ | 2,747,063 | $ | 3,108 | ||||||||
Credit Suisse International: British Pound 7/16/15 | 1,431,000 | 2,247,844 | (34,974) | ||||||||||
HSBC Securities (USA), Inc.: British Pound 7/23/15 | 1,085,000 | 1,704,247 | 14,383 | ||||||||||
JPMorgan Chase & Co.: British Pound 7/30/15 | 120,000 | 188,478 | 461 | ||||||||||
RBC Capital Markets Corp.: British Pound 7/16/15 | 289,400 | 454,595 | (11,118) | ||||||||||
Total | $ | 7,342,227 | $ | (28,140) | |||||||||
Schedule of OTC Written Options – Puts
Counterparty/Reference Asset | Value | ||||
Credit Suisse International: Oracle Corp. expires September 2015 2,466 contracts exercise price $42.00 | $ | (637,194) | |||
UBS AG: Microsoft Corp. expires August 2015 1,341 contracts exercise price $45.00 | (294,198) | ||||
Total OTC Written Options – Puts (premiums received $497,613) | $ | (931,392) | |||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Core Growth Index | An internally-calculated, hypothetical combination of total returns from the Russell 1000® Growth Index (50%) and the S&P 500® Index (50%). | |
Russell 1000® Growth Index | Measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
ADR | American Depositary Receipt | |
ETF | Exchange-Traded Fund | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
OTC | Over-the-Counter | |
PLC | Public Limited Company | |
SPDR | Standard & Poor’s Depositary Receipt | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Janus Portfolio | $ | 42,288,569 | |||
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Value as a | |||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Janus Portfolio | ||||||||||||||
Colony American Homes Holdings III LP | 1/30/13 | $ | 4,429,260 | $ | 5,131,509 | 0.9 | % | |||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015. The issuer incurs all registration costs.
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | |||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | ||||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | ||||||||||||||||
Janus Aspen Janus Portfolio | ||||||||||||||||||||||
Janus Cash Liquidity Fund LLC | 16,726,000 | 68,037,703 | (80,619,703) | 4,144,000 | $ | – | $ | 6,220 | $ | 4,144,000 | ||||||||||||
10 | JUNE 30, 2015
Table of Contents
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | ||||||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||
Janus Aspen Janus Portfolio | |||||||||||
Assets | |||||||||||
Investments in Securities: | |||||||||||
Common Stocks | |||||||||||
Real Estate Management & Development | $ | 6,973,871 | $ | – | $ | 5,131,509 | |||||
All Other | 562,145,876 | – | – | ||||||||
OTC Purchased Options – Calls | – | 124,619 | – | ||||||||
OTC Purchased Options – Puts | – | 551,955 | – | ||||||||
Investment Companies | – | 4,144,000 | – | ||||||||
Total Investments in Securities | $ | 569,119,747 | $ | 4,820,574 | $ | 5,131,509 | |||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 17,952 | $ | – | |||||
Total Assets | $ | 569,119,747 | $ | 4,838,526 | $ | 5,131,509 | |||||
Liabilities | |||||||||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 46,092 | $ | – | |||||
Options Written, at Value | – | 931,392 | – | ||||||||
Total Liabilities | $ | – | $ | 977,484 | $ | – | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
Janus Aspen Series | 11
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Janus | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 461,511,455 | ||||||||
Unaffiliated investments, at value | $ | 574,927,830 | ||||||||
Affiliated investments, at value | 4,144,000 | |||||||||
Cash | 70,139 | |||||||||
Restricted cash (Note 1) | 300,000 | |||||||||
Forward currency contracts | 17,952 | |||||||||
Non-interested Trustees’ deferred compensation | 11,441 | |||||||||
Receivables: | ||||||||||
Investments sold | 5,341,913 | |||||||||
Portfolio shares sold | 37,153 | |||||||||
Dividends | 333,391 | |||||||||
Dividends from affiliates | 382 | |||||||||
Foreign dividend tax reclaim | 9,358 | |||||||||
Other assets | 71,434 | |||||||||
Total Assets | 585,264,993 | |||||||||
Liabilities: | ||||||||||
Forward currency contracts | 46,092 | |||||||||
Closed foreign currency contracts | 123,152 | |||||||||
Options written, at value(1) | 931,392 | |||||||||
Payables: | ||||||||||
Investments purchased | 11,425,994 | |||||||||
Portfolio shares repurchased | 368,352 | |||||||||
Advisory fees | 324,367 | |||||||||
Portfolio administration fees | 4,576 | |||||||||
Transfer agent fees and expenses | 482 | |||||||||
12b-1 Distribution and shareholder servicing fees | 35,505 | |||||||||
Non-interested Trustees’ fees and expenses | 3,920 | |||||||||
Non-interested Trustees’ deferred compensation fees | 11,441 | |||||||||
Accrued expenses and other payables | 60,851 | |||||||||
Total Liabilities | 13,336,124 | |||||||||
Net Assets | $ | 571,928,869 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 478,739,317 | ||||||||
Undistributed net investment income/(loss) | 118,657 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | (24,027,831) | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 117,098,726 | |||||||||
Total Net Assets | $ | 571,928,869 | ||||||||
Net Assets - Institutional Shares | $ | 402,459,894 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 13,000,191 | |||||||||
Net Asset Value Per Share | $ | 30.96 | ||||||||
Net Assets - Service Shares | $ | 169,468,975 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 5,578,756 | |||||||||
Net Asset Value Per Share | $ | 30.38 |
(1) | Premiums received $497,613. |
See Notes to Financial Statements.
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Statement of Operations
Janus Aspen | ||||||
Janus | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Dividends | $ | 3,032,152 | ||||
Dividends from affiliates | 6,220 | |||||
Other income | 75 | |||||
Foreign tax withheld | (22,286) | |||||
Total Investment Income | 3,016,161 | |||||
Expenses: | ||||||
Advisory fees | 1,926,990 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 208,772 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,816 | |||||
Service Shares | 379 | |||||
Shareholder reports expense | 16,145 | |||||
Registration fees | 14,350 | |||||
Custodian fees | 9,886 | |||||
Professional fees | 22,360 | |||||
Non-interested Trustees’ fees and expenses | 8,037 | |||||
Portfolio administration fees | 24,607 | |||||
Other expenses | 25,904 | |||||
Total Expenses | 2,259,246 | |||||
Net Expenses | 2,259,246 | |||||
Net Investment Income/(Loss) | 756,915 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 39,877,622 | |||||
Written options contracts | 387,087 | |||||
Total Net Realized Gain/(Loss) on Investments | 40,264,709 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (6,412,624) | |||||
Written options contracts | (608,826) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (7,021,450) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 34,000,174 |
See Notes to Financial Statements.
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Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Janus | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 756,915 | $ | 2,149,000 | ||||||
Net realized gain/(loss) on investments | 40,264,709 | 131,393,443 | ||||||||
Change in unrealized net appreciation/depreciation | (7,021,450) | (62,792,208) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 34,000,174 | 70,750,235 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (2,183,731) | (1,530,714) | ||||||||
Service Shares | (710,133) | (361,639) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (72,391,999) | (30,030,116) | ||||||||
Service Shares | (30,930,074) | (11,901,662) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (106,215,937) | (43,824,131) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 10,405,684 | 9,963,518 | ||||||||
Service Shares | 14,349,902 | 8,951,192 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 74,575,730 | 31,560,830 | ||||||||
Service Shares | 31,640,207 | 12,263,301 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (64,974,631) | (63,103,259) | ||||||||
Service Shares | (16,112,545) | (36,784,375) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 49,884,347 | (37,148,793) | ||||||||
Net Increase/(Decrease) in Net Assets | (22,331,416) | (10,222,689) | ||||||||
Net Assets: | ||||||||||
Beginning of period | 594,260,285 | 604,482,974 | ||||||||
End of period | $ | 571,928,869 | $ | 594,260,285 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 118,657 | $ | 2,255,606 |
See Notes to Financial Statements.
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Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Janus Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $35.76 | $34.20 | $26.45 | $22.84 | $24.26 | $21.43 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.06(1) | 0.15(1) | 0.16 | 0.27 | 0.20 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 2.12 | 4.08 | 7.83 | 3.92 | (1.48) | 2.91 | ||||||||||||||||||||
Total from Investment Operations | 2.18 | 4.23 | 7.99 | 4.19 | (1.28) | 3.07 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.20) | (0.13) | (0.24) | (0.14) | (0.14) | (0.24) | ||||||||||||||||||||
Distributions (from capital gains) | (6.78) | (2.54) | – | (0.44) | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (6.98) | (2.67) | (0.24) | (0.58) | (0.14) | (0.24) | ||||||||||||||||||||
Net Asset Value, End of Period | $30.96 | $35.76 | $34.20 | $26.45 | $22.84 | $24.26 | ||||||||||||||||||||
Total Return* | 5.66% | 12.99% | 30.34% | 18.59% | (5.30)% | 14.52% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $402,460 | $431,838 | $433,603 | $374,860 | $352,646 | $424,037 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $441,135 | $420,607 | $399,973 | $377,786 | $393,230 | $409,886 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.68% | 0.55% | 0.54% | 0.53% | 0.62% | 0.70% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.68% | 0.55% | 0.54% | 0.53% | 0.62% | 0.70% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.32% | 0.44% | 0.65% | 1.08% | 0.81% | 0.60% | ||||||||||||||||||||
Portfolio Turnover Rate | 30% | 60% | 50% | 38% | 90% | 43% |
Service Shares
For a share outstanding during the period ended June 30, | Janus Aspen Janus Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $35.21 | $33.74 | $26.13 | $22.60 | $24.03 | $21.11 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.01(1) | 0.06(1) | 0.02 | 0.17 | 0.09 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 2.10 | 4.03 | 7.79 | 3.91 | (1.41) | 2.97 | ||||||||||||||||||||
Total from Investment Operations | 2.11 | 4.09 | 7.81 | 4.08 | (1.32) | 3.00 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.16) | (0.08) | (0.20) | (0.11) | (0.11) | (0.08) | ||||||||||||||||||||
Distributions (from capital gains) | (6.78) | (2.54) | – | (0.44) | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (6.94) | (2.62) | (0.20) | (0.55) | (0.11) | (0.08) | ||||||||||||||||||||
Net Asset Value, End of Period | $30.38 | $35.21 | $33.74 | $26.13 | $22.60 | $24.03 | ||||||||||||||||||||
Total Return* | 5.53% | 12.73% | 29.99% | 18.28% | (5.54)% | 14.26% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $169,469 | $162,422 | $170,880 | $177,638 | $179,012 | $242,135 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $169,307 | $163,094 | $174,538 | $184,029 | $216,273 | $962,905 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.93% | 0.80% | 0.79% | 0.78% | 0.87% | 0.92% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.93% | 0.80% | 0.79% | 0.78% | 0.87% | 0.92% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.07% | 0.19% | 0.41% | 0.82% | 0.56% | 0.39% | ||||||||||||||||||||
Portfolio Turnover Rate | 30% | 60% | 50% | 38% | 90% | 43% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
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Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Janus Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
16 | JUNE 30, 2015
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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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2015.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | ||||||
Level 2 to | ||||||
Portfolio | Level 1 | |||||
Janus Aspen Janus Portfolio | $ | 20,461,593 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make
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Notes to Financial Statements (unaudited) (continued)
estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
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.
Restricted Cash
As of June 30, 2015, the Portfolio had restricted cash in the amount of $300,000. The restricted cash represents collateral pledged in relation to derivatives and/or securities with extended settlement dates. The carrying value of the restricted cash approximates fair value.
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, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to
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an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result, the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
• | Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio. | |
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of
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Notes to Financial Statements (unaudited) (continued)
the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Janus Portfolio | $ | 11,360,082 | ||||
Options Contracts
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price on or before a specified date. The purchaser pays a premium to the seller for this right. The seller has the corresponding obligation to sell or buy a financial instrument if the purchaser (owner) “exercises” the option. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option are adjusted by the amount of premium received or paid. Upon expiration, or closing of the option transaction, a realized gain or loss is reported on the Statement of Operations (if applicable). The difference between the premium paid/received and the market value of the option is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported on the Statement of Operations (if applicable). Option contracts are typically valued using an approved vendor’s option valuation model. To the extent reliable market quotations are available, option contracts are valued using market quotations. In cases when an approved vendor cannot provide coverage for an option and there is no reliable market quotation, a broker quotation or an internal valuation using the Black-Scholes model, the Cox-Rubenstein Binomial Option Pricing Model, or other appropriate option pricing model is used. Certain options contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities as “Variation margin receivable” or “Variation margin payable” (if applicable).
The Portfolio may use options contracts to hedge against changes in interest rates, the values of equities, or foreign currencies. The Portfolio generally invests in options to hedge against adverse movements in the value of portfolio holdings. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. A lack of correlation between the value of an instrument underlying an option and the asset being hedged, or unexpected adverse price movements, could render the Portfolio’s hedging strategy unsuccessful. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased or sold. The Portfolio may be subject to counterparty risk, interest rate risk, liquidity risk, equity risk, commodity risk, and currency risk in the normal course of pursuing its investment objective through its investments in options contracts.
Options traded on an exchange are regulated and the terms of the options are standardized. Options traded OTC expose the Portfolios to counterparty risk in the event that the counterparty does not perform. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by having the counterparty post collateral to cover the Portfolio’s exposure to the counterparty. The Portfolio may purchase put options to hedge against a decline in the value of its portfolio. By using put options in this way, the Portfolio will reduce any profit it might otherwise have realized in the underlying security by the amount of the premium paid for the put option and by transaction costs. The Portfolio may purchase call options to hedge against an increase in the price of securities that it may buy in the future. The premium paid for the call option plus any transaction costs will reduce the benefit, if any, realized by such Portfolio upon exercise of the option, and, unless the price of the underlying security rises sufficiently, the option may expire worthless to the Portfolio. The risk in buying options is that the Portfolio pays a premium whether or not the options are exercised. Options purchased are reported in the Schedule of Investments (if applicable).
During the period, the Portfolio purchased call options on various equity securities for the purpose of increasing exposure to individual equity risk.
During the period, the Portfolio purchased put options on various equity securities and ETFs for the purpose of decreasing exposure to individual equity risk.
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The following table provides average ending monthly market value amounts on purchased call and put options during the period ended June 30, 2015.
Portfolio | Purchased Call Options | Purchased Put Options | ||||||||
Janus Aspen Janus Portfolio | $ | 631,177 | $ | 484,773 | ||||||
In writing an option, the Portfolio bears the risk of an unfavorable change in the price of the security underlying the written option. When an option is written, the Portfolio receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options written are reported as a liability on the Statement of Assets and Liabilities as “Options written, at value” (if applicable). The risk in writing call options is that the Portfolio gives up the opportunity for profit if the market price of the security increases and the options are exercised. The risk in writing put options is that the Portfolio may incur a loss if the market price of the security decreases and the options are exercised. The risk in buying options is that the Portfolio pays a premium whether or not the options are exercised. Exercise of an option written by the Portfolio could result in the Portfolio buying or selling a security at a price different from the current market value.
During the period, the Portfolio wrote put options on various equity securities for the purpose of increasing exposure to individual equity risk and/or generating income.
The following table provides average ending monthly market value amounts on written put options during the period ended June 30, 2015.
Portfolio | Written Put Options | |||||
Janus Aspen Janus Portfolio | $ | 390,396 | ||||
Written option activity for the period ended June 30, 2015 is indicated in the table below:
Number of | Premiums | |||||||||
Put Options | Contracts | Received | ||||||||
Janus Aspen Janus Portfolio | ||||||||||
Options outstanding at December 31, 2014 | 1,866 | $ | 358,938 | |||||||
Options written | 6,271 | 786,575 | ||||||||
Options closed | (2,962) | (381,741) | ||||||||
Options expired | (570) | (218,650) | ||||||||
Options exercised | (798) | (47,509) | ||||||||
Options outstanding at June 30, 2015 | 3,807 | $ | 497,613 | |||||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Asset Derivatives | Liability Derivatives | ||||||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Janus Aspen Janus Portfolio | ||||||||||||
Currency Contracts | Forward currency contracts | $ | 17,952 | Forward currency contracts | $ | 46,092 | ||||||
Equity Contracts | Unaffiliated investments, at value | 676,574* | Options written, at value | 931,392 | ||||||||
Total | $ | 694,526 | $ | 977,484 | ||||||||
* | Amounts relate to purchased options. |
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as | Investments and foreign | |||||||||||
hedging instruments | currency transactions | Written options contracts | Total | |||||||||
Janus Aspen Janus Portfolio | ||||||||||||
Currency Contracts | $ | 309,871 | $ | – | $ | 309,871 | ||||||
Equity Contracts | (706,679 | )* | 387,087 | (319,592 | ) | |||||||
Total | $ | (396,808 | ) | $ | 387,087 | $ | (9,721 | ) | ||||
* | Amounts relate to purchased options. |
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Notes to Financial Statements (unaudited) (continued)
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||||||||||
Investments, foreign | ||||||||||||
currency translations and | ||||||||||||
Derivatives not accounted for as | non-interested Trustees’ | |||||||||||
hedging instruments | deferred compensation | Written options contracts | Total | |||||||||
Janus Aspen Janus Portfolio | ||||||||||||
Currency Contracts | $ | (158,212 | ) | $ | – | $ | (158,212 | ) | ||||
Equity Contracts | (1,106,175 | )* | (608,826 | ) | (1,715,001 | ) | ||||||
Total | $ | (1,264,387 | ) | $ | (608,826 | ) | $ | (1,873,213 | ) | |||
* | Amounts relate to purchased options. |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
3. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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
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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 may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ | 3,108 | $ | – | $ | – | $ | 3,108 | ||||||||||
Credit Suisse International | 193,460 | (193,460) | – | – | ||||||||||||||
HSBC Securities (USA), Inc. | 14,383 | – | – | 14,383 | ||||||||||||||
JPMorgan Chase & Co. | 461 | – | – | 461 | ||||||||||||||
Morgan Stanley & Co. International PLC | 409,195 | – | (205,000) | 204,195 | ||||||||||||||
UBS AG | 73,919 | (73,919) | – | – | ||||||||||||||
Total | $ | 694,526 | $ | (267,379) | $ | (205,000) | $ | 222,147 | ||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Credit Suisse International | $ | 672,168 | $ | (193,460) | $ | (300,000) | $ | 178,708 | ||||||||||
RBC Capital Markets Corp. | 11,118 | – | – | 11,118 | ||||||||||||||
UBS AG | 294,198 | (73,919) | – | 220,279 | ||||||||||||||
Total | $ | 977,484 | $ | (267,379) | $ | (300,000) | $ | 410,105 | ||||||||||
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | |
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are
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Notes to Financial Statements (unaudited) (continued)
denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
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.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
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 following table reflects the Portfolio’s “base” fee rate prior to any performance adjustment (expressed as an annual rate).
Base Fee | ||||||
Portfolio | Rate (%) | |||||
Janus Aspen Janus Portfolio | 0.64 | |||||
The investment advisory fee rate is determined by calculating a base fee (shown in the table above) 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, as shown below:
Portfolio | Benchmark Index | |||||
Janus Aspen Janus Portfolio | Core Growth Index | |||||
The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets during the applicable performance measurement period.
The Portfolio’s prospectuses and statements 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.
Performance Adjusted | ||||||
Investment Advisory | ||||||
Portfolio | Fee Rate (%) | |||||
Janus Aspen Janus Portfolio | 0.64 | |||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, a wholly-owned subsidiary of Janus Capital, a fee for the sale and
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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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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Notes to Financial Statements (unaudited) (continued)
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals, investments in partnerships, and investments in passive foreign investment companies.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Janus Portfolio | $ | 461,926,991 | $ | 125,938,642 | $ | (8,793,803) | $ | 117,144,839 | ||||||||||
6. | Capital Share Transactions |
Janus Aspen Janus Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 278,542 | 291,148 | ||||||||
Reinvested dividends and distributions | 2,354,775 | 954,216 | ||||||||
Shares repurchased | (1,708,449) | (1,849,249) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 924,868 | (603,885) | ||||||||
Shares Outstanding, Beginning of Period | 12,075,323 | 12,679,208 | ||||||||
Shares Outstanding, End of Period | 13,000,191 | 12,075,323 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 389,343 | 269,077 | ||||||||
Reinvested dividends and distributions | 1,018,025 | 376,414 | ||||||||
Shares repurchased | (441,561) | (1,096,799) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 965,807 | (451,308) | ||||||||
Shares Outstanding, Beginning of Period | 4,612,949 | 5,064,257 | ||||||||
Shares Outstanding, End of Period | 5,578,756 | 4,612,949 |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Janus Portfolio | $ | 178,992,387 | $ | 216,513,521 | $ | – | $ | – | ||||||
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8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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Additional Information (unaudited) (continued)
second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund��II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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Additional Information (unaudited) (continued)
quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Additional Information (unaudited) (continued)
Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Additional Information (unaudited) (continued)
Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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Additional Information (unaudited) (continued)
that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Useful Information About Your Portfolio Report (unaudited) (continued)
Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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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 provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-93821 | 109-24-81111 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Overseas Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Overseas Portfolio
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Janus Aspen Overseas Portfolio (unaudited)
PORTFOLIO SNAPSHOT The Portfolio invests opportunistically. We believe our fundamental research uncovers stocks in which the market price does not reflect a company’s long-term fundamentals. | Brent Lynn portfolio manager |
PERFORMANCE OVERVIEW
Janus Aspen Overseas Portfolio’s Institutional Shares and Service Shares returned 5.74% and 5.60%, respectively, over the six-month period ended June 30, 2015. The Portfolio’s primary benchmark, the MSCI All Country World ex-U.S. Index returned 4.03%, and its secondary benchmark, the MSCI EAFE Index returned 5.52% during the period.
INVESTMENT ENVIRONMENT
Global equity markets continued to be momentum driven in the first quarter, with investors preferring visible short-term earnings and visible growth in light of global macro uncertainty. Japan and much of Europe performed well as investors welcomed further increases in quantitative easing (QE) by the Bank of Japan (BOJ) and the initiation of QE by the European Central Bank (ECB). The strengthening of the U.S. dollar remained a powerful momentum trade as well. A number of emerging markets performed poorly, hurt in part by the knee-jerk investor reaction that a strong dollar must be negative for emerging markets.
Non-U.S. markets were mixed during the second half of the period. In Europe, serious questions about Greece’s ability to service its massive debt load overshadowed signs of stabilization in the remainder of the region’s periphery. In aggregate, year-on-year inflation within the eurozone returned to positive territory. However, European stocks sold off in the last few days of the quarter as Greece moved closer to a potential exit from the eurozone.
The story in emerging markets centered on China, where momentum continued to drive Chinese A-Shares, and to a lesser extent, Chinese H-Shares, for much of the second quarter. Chinese indices ended the period up, but slumped in the final weeks of the quarter due to concerns the government might try to cool equity market gains due to concerns about the debt investors have taken this year to buy stocks. Looking at global equity markets in aggregate, we believe we remain in a defensive oriented investment environment.
PERFORMANCE DISCUSSION
Our Portfolio invests opportunistically, where we believe our fundamental research uncovers companies whose market prices do not reflect long-term fundamentals. The approach historically has led to significant weightings in cyclical or economically sensitive sectors, which can suffer more when the macroeconomic environment becomes more unsettled. We believe high-conviction investing works over the long term as stock prices will ultimately reflect the fundamentals of the underlying companies. While we mentioned that we remain in a defensive-oriented market, some pockets of equity markets that had been beaten up in recent quarters rebounded in the last few months. Our exposure to some of these pockets, including the energy sector and several emerging equity markets, was a boost to relative performance during the period.
Chinese shares have enjoyed a sizable rally from depressed valuations in late 2014. When valuations were depressed, we held on to positions in Chinese companies we thought were not being given credit for their underlying growth potential. Chinese equities have since enjoyed a meteoric rise that finally halted late in June. While we hold our Chinese positions as a result of company-specific factors, these stocks were also a beneficiary of the momentum-driven rally. Chinese real estate conglomerate Evergrande Real Estate Group was our largest contributor to performance. Beyond the momentum behind Chinese equities, the company has benefited from improved sentiment about the Chinese real estate market. We significantly cut the position after gains during the period.
Youku Tudou was another top contributor. The Chinese online video company rose on general market momentum, as well as merger and acquisition speculation. We believe the company had been undervalued for some time, considering the potential for Youku to take share in
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Janus Aspen Overseas Portfolio (unaudited)
China’s large and growing online video market, its leadership in online user generated content and its strong growth in professionally generated content capabilities.
Energy company Reliance Industries was also a large contributor to performance. We view the current price of oil as unsustainable in the long term, and believe prices will eventually trend higher. Today’s price is too low for companies operating in many parts of the world to get acceptable returns on investment, and eventually we expect supply and demand dynamics to support higher prices. We believe that many international energy stocks, especially smaller upstream energy producers, are trading at valuations far below the intrinsic value of the companies. Beyond the stabilization of the oil market, company-specific factors also drove some of our largest contributors from the energy sector. Reliance rose due to solid earnings during the second quarter and improved outlook for the company’s 4G telecom launch.
While generally pleased with our performance, we also held some companies that detracted from results. United Continental was a large detractor. Shares declined on oil gains and increased industry price competition. Our outlook for the stock remains favorable at current valuations. The company is beginning to realize meaningful synergies from its Continental merger and we believe that the industry continues to remain disciplined on capacity expansion and is remaining disciplined on capacity. United also has taken constructive measures with stock buybacks and reducing debt.
DLF Limited was another large detractor. The Indian real estate company has been hurt by regulatory concerns and also by a depressed high-end residential real estate market in India. We view these as short-term concerns and believe the company’s assets are worth far more than the stock price suggests.
Gaming company Melco International was also a top detractor. The company faces headwinds in its Macau-focused business as China’s economy has decelerated and the government continues its crackdown on corruption, which has, for now, doused cold water on extravagant spending. The market has also punished gaming stocks as short-term traders react to weekly data, which is being skewed by exaggerated year-on-year comparisons. We believe that Melco is well positioned in China, given that it is owns one of only two new hotels that will open in Macau later this year. This new property should drive revenue growth, in our view. Also, the company focuses on the “mass market” and “premium mass market” rather that the VIP segment. Those markets have been less acutely affected by the anti-corruption crackdown than the VIP segment.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for derivatives used by the Portfolio.
OUTLOOK
Macroeconomic concerns have led to a rather defensive-oriented market the past few years, but we believe the economic picture around the globe is improving. A stronger U.S. consumer is providing the underpinnings for better economic growth in the world’s largest economy. Accommodative monetary policies are leading to green shoots in Europe and at the very least, stabilization in the Japanese economy. In emerging markets, we’re comfortable with the way China is transitioning to a consumption-driven economy, even if it means a slower growth rate. Meanwhile, we believe India has the potential to become one of the best economic growth stories of the next decade.
As the market gets more comfortable with the macroeconomic climate, we would hope that investors will look beyond those companies with highly visible short-term earnings growth. Our Portfolio remains aggressively positioned in out-of-favor areas of the market, and we believe the portfolio is filled with strong companies trading at extremely attractive valuations. We welcomed a sentiment change toward some of the stocks in our Portfolio, which led to outperformance during the period, but we believe the potential scope for the rerating of many of our other holdings remains significant.
Thank you for your continued investment in Janus Aspen Overseas Portfolio.
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(unaudited)
Janus Aspen Overseas Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Evergrande Real Estate Group, Ltd. | 2.58% | |||
Ctrip.com International, Ltd. (ADR) | 1.14% | |||
Youku Tudou, Inc. (ADR) | 1.12% | |||
Reliance Industries, Ltd. | 1.04% | |||
Nexon Co., Ltd. | 0.81% |
5 Bottom Performers – Holdings
Contribution | ||||
United Continental Holdings, Inc. | –0.81% | |||
Rocket Internet SE | –0.44% | |||
DLF, Ltd. | –0.39% | |||
Melco International Development, Ltd. | –0.39% | |||
Ophir Energy PLC | –0.38% |
5 Top Performers – Sectors*
Portfolio Weighting | MSCI All Country World ex-U.S. | |||||||||||
Portfolio Contribution | (Average % of Equity) | IndexSM Weighting | ||||||||||
Information Technology | 1.37% | 12.19% | 7.58% | |||||||||
Financials | 1.12% | 19.72% | 27.34% | |||||||||
Energy | 0.27% | 25.60% | 7.19% | |||||||||
Materials | 0.13% | 3.71% | 7.64% | |||||||||
Utilities | 0.11% | 0.46% | 3.43% |
5 Bottom Performers – Sectors*
Portfolio Weighting | MSCI All Country World ex-U.S. | |||||||||||
Portfolio Contribution | (Average % of Equity) | IndexSM Weighting | ||||||||||
Consumer Discretionary | –1.69% | 16.93% | 11.61% | |||||||||
Industrials | –0.73% | 13.68% | 11.05% | |||||||||
Consumer Staples | –0.09% | 2.25% | 9.96% | |||||||||
Telecommunication Services | –0.06% | 0.00% | 5.23% | |||||||||
Health Care | –0.03% | 5.18% | 8.95% |
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||
* | Based on sector classification according to the Global Industry Classification Standard codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
Janus Aspen Series | 3
Table of Contents
Janus Aspen Overseas Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Reliance Industries, Ltd. Oil, Gas & Consumable Fuels | 8.3% | |||
ARM Holdings PLC Semiconductor & Semiconductor Equipment | 4.6% | |||
United Continental Holdings, Inc. Airlines | 3.9% | |||
Deutsche Bank AG Capital Markets | 3.3% | |||
Cobalt International Energy, Inc. Oil, Gas & Consumable Fuels | 3.0% | |||
23.1% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (5.1)%.
Emerging markets comprised 42.8% of total net assets.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
4 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception* | Operating Expenses | ||||||||
Janus Aspen Overseas Portfolio – Institutional Shares | 5.74% | –11.08% | 0.95% | 8.02% | 9.60% | 0.53% | |||||||
Janus Aspen Overseas Portfolio – Service Shares | 5.60% | –11.32% | 0.69% | 7.75% | 9.45% | 0.78% | |||||||
MSCI All Country World ex-U.S. IndexSM | 4.03% | –5.26% | 7.76% | 5.54% | N/A** | ||||||||
MSCI EAFE® Index | 5.52% | –4.22% | 9.54% | 5.12% | 5.00% | ||||||||
Morningstar Quartile – Institutional Shares | – | 4th | 4th | 1st | 1st | ||||||||
Morningstar Ranking – based on total returns for Foreign Large Blend Funds | – | 781/804 | 666/679 | 31/510 | 5/154 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See important disclosures on the next page.
Janus Aspen Series | 5
Table of Contents
Janus Aspen Overseas Portfolio (unaudited)
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
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.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – May 2, 1994 | |
** | Since inception return is not shown for the index because the index’s inception date differs significantly from the Portfolio’s inception date. |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,057.40 | $ | 2.55 | $ | 1,000.00 | $ | 1,022.31 | $ | 2.51 | 0.50% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,056.00 | $ | 3.82 | $ | 1,000.00 | $ | 1,021.08 | $ | 3.76 | 0.75% | |||||||||||||||||
† | 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Overseas Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Common Stocks – 99.7% | ||||||||||
Air Freight & Logistics – 1.7% | ||||||||||
143,059 | Panalpina Welttransport Holding AG | $ | 18,060,300 | |||||||
Airlines – 4.4% | ||||||||||
2,295,636 | Gol Linhas Aereas Inteligentes SA (ADR)*,# | 5,440,657 | ||||||||
786,362 | United Continental Holdings, Inc.*,† | 41,685,050 | ||||||||
47,125,707 | ||||||||||
Auto Components – 0.5% | ||||||||||
104,937 | Hella KGaA Hueck & Co.* | 5,057,938 | ||||||||
Automobiles – 0.4% | ||||||||||
1,129,300 | SAIC Motor Corp., Ltd. – Class Aß | 4,115,817 | ||||||||
Beverages – 1.0% | ||||||||||
142,656 | Remy Cointreau SA | 10,280,582 | ||||||||
Capital Markets – 4.4% | ||||||||||
1,795,894 | Atlas Mara, Ltd.* | 11,224,337 | ||||||||
1,173,620 | Deutsche Bank AG | 35,257,005 | ||||||||
46,481,342 | ||||||||||
Commercial Banks – 4.0% | ||||||||||
1,450,481 | Axis Bank, Ltd. | 12,732,570 | ||||||||
661,534 | Permanent TSB Group Holdings PLC* | 3,459,946 | ||||||||
4,352,459 | State Bank of India | 17,960,088 | ||||||||
1,068,457 | TCS Group Holding PLC (GDR) | 3,098,525 | ||||||||
1,092,005 | Turkiye Halk Bankasi A/S | 5,033,126 | ||||||||
42,284,255 | ||||||||||
Construction & Engineering – 1.5% | ||||||||||
28,094,400 | Louis XIII Holdings, Ltd.* | 10,728,448 | ||||||||
1,123,089 | Voltas, Ltd. | 5,561,209 | ||||||||
16,289,657 | ||||||||||
Electric Utilities – 0.2% | ||||||||||
3,326,427 | Adani Transmissions, Ltd.*,ß | 2,341,977 | ||||||||
Food & Staples Retailing – 0.9% | ||||||||||
584,106 | X5 Retail Group NV (GDR)* | 9,725,365 | ||||||||
Food Products – 0.3% | ||||||||||
45,254,847 | Chaoda Modern Agriculture Holdings, Ltd.* | 3,035,945 | ||||||||
Hotels, Restaurants & Leisure – 5.8% | ||||||||||
14,662,543 | Bwin.Party Digital Entertainment PLC | 22,539,508 | ||||||||
2,052,372 | Cox & Kings, Ltd. | 7,569,683 | ||||||||
5,298,465 | Melco International Development, Ltd.# | 7,491,798 | ||||||||
286,519 | Orascom Development Holding AG* | 3,555,815 | ||||||||
15,045,835 | Shangri-La Asia, Ltd. | 21,002,404 | ||||||||
62,159,208 | ||||||||||
Household Durables – 1.8% | ||||||||||
7,160,900 | MRV Engenharia e Participacoes SA | 17,993,253 | ||||||||
5,353,120 | PDG Realty SA Empreendimentos e Participacoes* | 620,013 | ||||||||
18,613,266 | ||||||||||
Independent Power and Renewable Electricity Producers – 0.6% | ||||||||||
12,954,543 | Adani Power, Ltd.* | 5,940,678 | ||||||||
Industrial Conglomerates – 1.3% | ||||||||||
25,860,002 | Shun Tak Holdings, Ltd. | 14,312,362 | ||||||||
Information Technology Services – 1.9% | ||||||||||
534,727 | QIWI PLC (ADR) | 14,999,092 | ||||||||
2,854,957 | Vakrangee, Ltd. | 5,192,054 | ||||||||
20,191,146 | ||||||||||
Internet & Catalog Retail – 3.3% | ||||||||||
384,698 | Ctrip.com International, Ltd. (ADR)*,† | 27,936,769 | ||||||||
370,694 | MakeMyTrip, Ltd.* | 7,295,258 | ||||||||
35,232,027 | ||||||||||
Internet Software & Services – 3.7% | ||||||||||
257,607 | Rocket Internet SE* | 11,392,885 | ||||||||
1,134,692 | Youku Tudou, Inc. (ADR)*,# | 27,833,995 | ||||||||
39,226,880 | ||||||||||
Machinery – 0.5% | ||||||||||
1,280,453 | Iochpe-Maxion SA | 5,190,692 | ||||||||
Metals & Mining – 3.4% | ||||||||||
3,237,747 | Hindustan Zinc, Ltd. | 8,496,702 | ||||||||
2,910,209 | Outokumpu Oyj*,# | 14,656,476 | ||||||||
3,342,552 | Turquoise Hill Resources, Ltd.* | 12,713,903 | ||||||||
35,867,081 | ||||||||||
Oil, Gas & Consumable Fuels – 29.4% | ||||||||||
2,011,609 | Africa Oil Corp.*,¤ | 3,641,756 | ||||||||
7,128,095 | Africa Oil Corp.*,¤ | 12,899,980 | ||||||||
848,054 | Africa Oil Corp. (PP)*,§ | 1,535,291 | ||||||||
5,465,189 | Athabasca Oil Corp.*,# | 8,927,759 | ||||||||
4,035,815 | Cairn Energy PLC* | 10,765,724 | ||||||||
3,244,297 | Cobalt International Energy, Inc.*,† | 31,502,124 | ||||||||
1,187,972 | Euronav NV | 17,593,865 | ||||||||
2,031,165 | Genel Energy PLC* | 16,178,098 | ||||||||
3,831,941 | Gran Tierra Energy, Inc.* | 11,476,185 | ||||||||
4,285,324 | Karoon Gas Australia, Ltd.* | 7,437,847 | ||||||||
652,075 | Kosmos Energy, Ltd.* | 5,496,992 | ||||||||
9,116,971 | Ophir Energy PLC* | 16,213,295 | ||||||||
1,842,668 | Pacific Rubiales Energy Corp.# | 6,949,845 | ||||||||
1,040,008 | Parex Resources, Inc.* | 8,719,478 | ||||||||
2,788,274 | Petroleo Brasileiro SA (ADR)*,†,# | 25,233,880 | ||||||||
5,642,185 | Reliance Industries, Ltd. | 88,617,970 | ||||||||
4,194,389 | Sequa Petroleum NV* | 13,371,923 | ||||||||
826,903 | Trilogy Energy Corp.# | 3,741,193 | ||||||||
2,087,898 | Tullow Oil PLC | 11,142,410 | ||||||||
330,881 | Whiting Petroleum Corp.*,† | 11,117,602 | ||||||||
312,563,217 | ||||||||||
Pharmaceuticals – 4.2% | ||||||||||
198,585 | Endo International PLC*,† | 15,817,295 | ||||||||
1,744,809 | Indivior PLC* | 6,161,955 | ||||||||
127,717 | Jazz Pharmaceuticals PLC* | 22,487,132 | ||||||||
44,466,382 | ||||||||||
Real Estate Investment Trusts (REITs) – 1.6% | ||||||||||
4,804,500 | Concentradora Fibra Hotelera Mexicana SA de CV | 5,230,922 | ||||||||
7,598,588 | Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 7,826,872 | ||||||||
2,261,700 | Prologis Property Mexico SA de CV* | 3,797,996 | ||||||||
16,855,790 | ||||||||||
Real Estate Management & Development – 7.6% | ||||||||||
910,802 | Countrywide PLC | 8,127,306 | ||||||||
1,786,152 | Dalian Wanda Commercial Properties Co., Ltd. – Class H | 14,367,471 | ||||||||
11,404,222 | DLF, Ltd. | 20,936,844 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Overseas Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares | Value | |||||||||
Real Estate Management & Development – (continued) | ||||||||||
26,887,732 | Evergrande Real Estate Group, Ltd.# | $ | 16,060,558 | |||||||
3,185,517 | Housing Development & Infrastructure, Ltd.* | 4,605,054 | ||||||||
132,891 | IRSA Inversiones y Representaciones SA (ADR) | 2,385,394 | ||||||||
540,470 | Kennedy Wilson Europe Real Estate PLC | 9,645,488 | ||||||||
1,304,316 | Prestige Estates Projects, Ltd. | 5,063,634 | ||||||||
81,191,749 | ||||||||||
Road & Rail – 1.3% | ||||||||||
1,707,071 | Globaltrans Investment PLC (GDR)* | 8,108,587 | ||||||||
14,205,116 | Rumo Logistica Operadora Multimodal SA* | 5,804,163 | ||||||||
13,912,750 | ||||||||||
Semiconductor & Semiconductor Equipment – 4.6% | ||||||||||
2,993,308 | ARM Holdings PLC | 48,764,577 | ||||||||
Software – 2.3% | ||||||||||
1,779,500 | Nexon Co., Ltd. | 24,488,665 | ||||||||
Textiles, Apparel & Luxury Goods – 4.0% | ||||||||||
100,433,940 | Global Brands Group Holding, Ltd.* | 21,119,982 | ||||||||
27,661,691 | Li & Fung, Ltd. | 21,947,209 | ||||||||
43,067,191 | ||||||||||
Thrifts & Mortgage Finance – 0.6% | ||||||||||
618,418 | Indiabulls Housing Finance, Ltd. | 6,045,297 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||||
3,326,427 | Adani Enterprises, Ltd. | 4,746,068 | ||||||||
Transportation Infrastructure – 2.1% | ||||||||||
4,697,912 | Adani Ports & Special Economic Zone, Ltd. | 22,716,719 | ||||||||
Total Common Stocks (cost $1,213,522,677) | 1,060,350,630 | |||||||||
Investment Companies – 5.4% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending – 5.1% | ||||||||||
54,576,067 | Janus Cash Collateral Fund LLC, 0.1304%°°,£ | 54,576,067 | ||||||||
Money Markets – 0.3% | ||||||||||
3,260,000 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ | 3,260,000 | ||||||||
Total Investment Companies (cost $57,836,067) | 57,836,067 | |||||||||
Total Investments (total cost $1,271,358,744) – 105.1% | 1,118,186,697 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (5.1)% | (54,343,433) | |||||||||
Net Assets – 100% | $ | 1,063,843,264 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
India | $ | 225,821,805 | 20 | .2% | ||||
United States | 197,418,447 | 17 | .7 | |||||
United Kingdom | 157,298,503 | 14 | .1 | |||||
Hong Kong | 96,602,203 | 8 | .6 | |||||
China | 93,350,555 | 8 | .3 | |||||
Brazil | 60,282,658 | 5 | .4 | |||||
Germany | 51,707,828 | 4 | .6 | |||||
Canada | 46,415,302 | 4 | .2 | |||||
Russia | 35,931,569 | 3 | .2 | |||||
Turkey | 29,038,096 | 2 | .6 | |||||
Japan | 24,488,665 | 2 | .2 | |||||
Switzerland | 21,616,115 | 1 | .9 | |||||
Belgium | 17,593,865 | 1 | .6 | |||||
Finland | 14,656,476 | 1 | .3 | |||||
Netherlands | 13,371,923 | 1 | .2 | |||||
France | 10,280,582 | 0 | .9 | |||||
Mexico | 9,028,918 | 0 | .8 | |||||
Australia | 7,437,847 | 0 | .7 | |||||
Ireland | 3,459,946 | 0 | .3 | |||||
Argentina | 2,385,394 | 0 | .2 | |||||
Total | $ | 1,118,186,697 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | |||||||||||
Currency | Currency | Appreciation/ | |||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | ||||||||
Bank of America: Japanese Yen 7/30/15 | 359,500,000 | $ | 2,938,964 | $ | (37,035) | ||||||
Citibank NA: Japanese Yen 7/23/15 | 1,114,100,000 | 9,107,035 | (22,914) | ||||||||
Credit Suisse International: Japanese Yen 7/16/15 | 387,750,000 | 3,169,291 | (32,662) | ||||||||
HSBC Securities (USA), Inc.: Japanese Yen 7/23/15 | 382,000,000 | 3,122,599 | (18,447) | ||||||||
JPMorgan Chase & Co.: Japanese Yen 7/30/15 | 474,500,000 | 3,879,106 | (38,596) | ||||||||
Total | $ | 22,216,995 | $ | (149,654) | |||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World ex-U.S. IndexSM | An unmanaged, free float-adjusted market capitalization weighted index composed of stocks of companies located in countries throughout the world, excluding the United States. It is designed to measure equity market performance in global developed and emerging markets outside the United States. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
MSCI EAFE® Index | A free float-adjusted market capitalization weighted index designed to measure developed market equity performance. The MSCI EAFE® Index is composed of companies representative of the market structure of developed market countries. The index includes reinvestment of dividends, net of foreign withholding taxes. | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
PP | Private Placement |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Overseas Portfolio | $ | 112,835,100 | |||
ß | Security is illiquid. | |
¤ | Issued by the same entity and traded on separate exchanges. | |
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
# | Loaned security; a portion of the security is on loan at June 30, 2015. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Acquisition | Value as a | ||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Overseas Portfolio | ||||||||||||||
Africa Oil Corp. (PP) | 10/17/13 | $ | 6,845,546 | $ | 1,535,291 | 0.1 | % | |||||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2015. The issuer incurs all registration costs.
Janus Aspen Series | 9
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Overseas Portfolio | |||||||||||||||||||||
Janus Cash Collateral Fund LLC | 87,782,384 | 221,266,106 | (254,472,423) | 54,576,067 | $ | – | $ | 899,346(1) | $ | 54,576,067 | |||||||||||
Janus Cash Liquidity Fund LLC | 11,978,338 | 130,123,204 | (138,841,542) | 3,260,000 | – | 5,490 | 3,260,000 | ||||||||||||||
Total | $ | – | $ | 904,836 | $ | 57,836,067 | |||||||||||||||
(1) | 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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Overseas Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Common Stocks | ||||||||
Electric Utilities | $ – | $ 2,341,977 | $– | |||||
Oil, Gas & Consumable Fuels | 311,027,926 | 1,535,291 | – | |||||
All Other | 745,445,436 | – | – | |||||
Investment Companies | – | 57,836,067 | – | |||||
Total Assets | $1,056,473,362 | $61,713,335 | $– | |||||
Liabilities | ||||||||
Other Financial Instruments(a) – Liabilities: | ||||||||
Forward Currency Contracts | $ – | $ 149,654 | $– | |||||
(a) | Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
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Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Overseas | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 1,271,358,744 | ||||||||
Unaffiliated investments, at value(1) | $ | 1,060,350,630 | ||||||||
Affiliated investments, at value | 57,836,067 | |||||||||
Cash | 28,248 | |||||||||
Restricted cash (Note 1) | 203,771 | |||||||||
Closed foreign currency contracts | 1,033 | |||||||||
Non-interested Trustees’ deferred compensation | 21,343 | |||||||||
Receivables: | ||||||||||
Investments sold | 1,371,815 | |||||||||
Portfolio shares sold | 230,124 | |||||||||
Dividends | 2,785,470 | |||||||||
Dividends from affiliates | 235 | |||||||||
Foreign dividend tax reclaim | 902,482 | |||||||||
Other assets | 910 | |||||||||
Total Assets | 1,123,732,128 | |||||||||
Liabilities: | ||||||||||
Collateral for securities loaned (Note 3) | 54,576,067 | |||||||||
Forward currency contracts | 149,654 | |||||||||
Closed foreign currency contracts | 29,205 | |||||||||
Payables: | ||||||||||
Investments purchased | 341,122 | |||||||||
Portfolio shares repurchased | 3,902,277 | |||||||||
Advisory fees | 414,709 | |||||||||
Portfolio administration fees | 8,669 | |||||||||
Transfer agent fees and expenses | 651 | |||||||||
12b-1 Distribution and shareholder servicing fees | 162,455 | |||||||||
Non-interested Trustees’ fees and expenses | 7,144 | |||||||||
Non-interested Trustees’ deferred compensation fees | 21,343 | |||||||||
Accrued expenses and other payables | 275,568 | |||||||||
Total Liabilities | 59,888,864 | |||||||||
Net Assets | $ | 1,063,843,264 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 1,223,726,405 | ||||||||
Undistributed net investment income/(loss) | 3,346,803 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | (9,759,433) | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | (153,470,511) | |||||||||
Total Net Assets | $ | 1,063,843,264 | ||||||||
Net Assets - Institutional Shares | $ | 307,442,610 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 9,196,873 | |||||||||
Net Asset Value Per Share | $ | 33.43 | ||||||||
Net Assets - Service Shares | $ | 756,400,654 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 23,392,753 | |||||||||
Net Asset Value Per Share | $ | 32.33 |
(1) | Includes $51,716,377 of securities on loan. See Note 3 in Notes to Financial Statements. |
See Notes to Financial Statements.
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Statement of Operations
Janus Aspen | ||||||
Overseas | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Affiliated securities lending income, net | $ | 899,346 | ||||
Dividends | 9,985,148 | |||||
Dividends from affiliates | 5,490 | |||||
Other income | 406 | |||||
Foreign tax withheld | (344,405) | |||||
Total Investment Income | 10,545,985 | |||||
Expenses: | ||||||
Advisory fees | 2,528,933 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 960,839 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 1,484 | |||||
Service Shares | 1,725 | |||||
Shareholder reports expense | 61,206 | |||||
Registration fees | 20,825 | |||||
Custodian fees | 81,025 | |||||
Professional fees | 25,788 | |||||
Non-interested Trustees’ fees and expenses | 12,858 | |||||
Portfolio administration fees | 42,441 | |||||
Other expenses | 45,233 | |||||
Total Expenses | 3,782,357 | |||||
Net Expenses | 3,782,357 | |||||
Net Investment Income/(Loss) | 6,763,628 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | (5,410,848) | |||||
Total Net Realized Gain/(Loss) on Investments | (5,410,848) | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 63,305,667 | |||||
Total Change in Unrealized Net Appreciation/Depreciation | 63,305,667 | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 64,658,447 |
See Notes to Financial Statements.
12 | JUNE 30, 2015
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Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Overseas | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,763,628 | $ | 17,962,958 | ||||||
Net realized gain/(loss) on investments | (5,410,848) | 23,401,986 | ||||||||
Change in unrealized net appreciation/depreciation | 63,305,667 | (197,162,648) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 64,658,447 | (155,797,704) | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (821,092) | (12,880,526) | ||||||||
Service Shares | (1,754,266) | (26,900,277) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (8,412,655) | (41,589,855) | ||||||||
Service Shares | (21,557,128) | (90,878,483) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (32,545,141) | (172,249,141) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 6,136,518 | 18,725,544 | ||||||||
Service Shares | 36,461,725 | 76,581,745 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 9,233,747 | 54,470,381 | ||||||||
Service Shares | 23,311,394 | 117,778,760 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (85,185,829) | (58,428,572) | ||||||||
Service Shares | (96,087,295) | (171,441,258) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | (106,129,740) | 37,686,600 | ||||||||
Net Increase/(Decrease) in Net Assets | (74,016,434) | (290,360,245) | ||||||||
Net Assets: | ||||||||||
Beginning of period | 1,137,859,698 | 1,428,219,943 | ||||||||
End of period | $ | 1,063,843,264 | $ | 1,137,859,698 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 3,346,803 | $ | (841,467) |
See Notes to Financial Statements.
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Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, | Janus Aspen Overseas Portfolio | |||||||||||||||||||||||||
2015 (unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $32.56 | $42.02 | $37.96 | $38.15 | $57.10 | $45.89 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.23(1) | 0.59(1) | 1.40 | 0.98 | 0.42 | 0.41 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 1.67 | (4.74) | 3.91 | 3.39 | (18.65) | 11.15 | ||||||||||||||||||||
Total from Investment Operations | 1.90 | (4.15) | 5.31 | 4.37 | (18.23) | 11.56 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.09) | (1.26) | (1.25) | (0.27) | (0.23) | (0.35) | ||||||||||||||||||||
Distributions (from capital gains) | (0.94) | (4.05) | – | (4.29) | (0.49) | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.03) | (5.31) | (1.25) | (4.56) | (0.72) | (0.35) | ||||||||||||||||||||
Net Asset Value, End of Period | $33.43 | $32.56 | $42.02 | $37.96 | $38.15 | $57.10 | ||||||||||||||||||||
Total Return* | 5.74% | (11.87)% | 14.56% | 13.59% | (32.25)% | 25.33% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $307,443 | $364,378 | $453,796 | $492,360 | $473,616 | $751,518 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $352,942 | $426,435 | $458,592 | $490,614 | $632,218 | $708,368 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.50% | 0.53% | 0.51% | 0.49% | 0.65% | 0.68% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.50% | 0.53% | 0.51% | 0.49% | 0.65% | 0.68% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.35% | 1.52% | 1.23% | 1.09% | 0.66% | 0.47% | ||||||||||||||||||||
Portfolio Turnover Rate | 18% | 36% | 30% | 36% | 32% | 30% |
Service Shares
For a share outstanding during the period ended | ||||||||||||||||||||||||||
June 30, 2015 (unaudited) and each year ended | Janus Aspen Overseas Portfolio | |||||||||||||||||||||||||
December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $31.55 | $40.92 | $37.03 | $37.38 | $56.04 | $45.08 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.19(1) | 0.48(1) | 1.12 | 0.87 | 0.27 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | 1.61 | (4.60) | 3.96 | 3.31 | (18.25) | 11.03 | ||||||||||||||||||||
Total from Investment Operations | 1.80 | (4.12) | 5.08 | 4.18 | (17.98) | 11.23 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.08) | (1.20) | (1.19) | (0.24) | (0.19) | (0.27) | ||||||||||||||||||||
Distributions (from capital gains) | (0.94) | (4.05) | – | (4.29) | (0.49) | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.02) | (5.25) | (1.19) | (4.53) | (0.68) | (0.27) | ||||||||||||||||||||
Net Asset Value, End of Period | $32.33 | $31.55 | $40.92 | $37.03 | $37.38 | $56.04 | ||||||||||||||||||||
Total Return* | 5.60% | (12.10)% | 14.28% | 13.30% | (32.41)% | 25.02% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $756,401 | $773,482 | $974,424 | $1,017,085 | $896,544 | $1,475,804 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $779,276 | $903,702 | $971,802 | $998,304 | $1,232,913 | $1,328,827 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.75% | 0.78% | 0.76% | 0.74% | 0.90% | 0.93% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.75% | 0.78% | 0.76% | 0.74% | 0.90% | 0.93% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.14% | 1.27% | 0.99% | 0.89% | 0.41% | 0.21% | ||||||||||||||||||||
Portfolio Turnover Rate | 18% | 36% | 30% | 36% | 32% | 30% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
14 | JUNE 30, 2015
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Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Overseas Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in equity securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
Janus Aspen Series | 15
Table of Contents
Notes to Financial Statements (unaudited) (continued)
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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | Transfers Out of | |||||||||
Level 2 to | Level 3 to | |||||||||
Portfolio | Level 1 | Level 1 | ||||||||
Janus Aspen Overseas Portfolio | $ | 665,225,460 | $ | 1,321,817 | ||||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Financial assets were transferred out of Level 3 to Level 1 as the current market for the securities with quoted prices are considered active.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United
16 | JUNE 30, 2015
Table of Contents
States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
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.
Restricted Cash
As of June 30, 2015, the Portfolio had restricted cash in the amount of $203,771. The restricted cash represents collateral pledged in relation to investment quota in China A Shares. The carrying value of the restricted cash approximates fair value.
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, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The
Janus Aspen Series | 17
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result, the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
• | Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio. | |
• | Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. | |
• | Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. | |
• | Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market. | |
• | Index Risk – If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. | |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot
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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 on 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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Overseas Portfolio | $ | 22,336,100 | ||||
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Liability Derivatives | |||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | ||||||
Janus Aspen Overseas Portfolio | ||||||||
Currency Contracts | Forward currency contracts | $ | 149,654 | |||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as | Investments and foreign | |||
hedging instruments | currency transactions | |||
Janus Aspen Overseas Portfolio | ||||
Currency Contracts | $ | 894,322 | ||
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||
Investments, foreign | ||||
currency translations and | ||||
Derivatives not accounted for as | non-interested Trustees’ | |||
hedging instruments | deferred compensation | |||
Janus Aspen Overseas Portfolio | ||||
Currency Contracts | $ | (425,555 | ) | |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
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.
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Notes to Financial Statements (unaudited) (continued)
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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.
China A Shares
The Chinese government may permit a foreign investor to invest in China A Shares as a licensed Qualified Foreign Institutional Investor (“QFII”). QFII licenses are granted by the China Securities Regulatory Commission and an investment quota is granted by the State Administration of Foreign Exchange. Janus Capital has been granted a QFII license and an investment quota.
People’s Republic of China (“PRC”) regulations require QFIIs to entrust assets held in the PRC and to interact with government agencies through a China-based qualified custodian bank. Assets attributable to clients of Janus Capital will be held by the custodian in foreign exchange accounts and securities accounts in the joint name of Janus Capital and its clients, although the terms of the custody agreement make clear that the contents of the accounts belong to the clients, and not to Janus Capital.
During the period ended June 30, 2015, Janus Capital, in its capacity as a QFII, invested in China A Shares on behalf of the Portfolio. With respect to direct China A Shares investments, as a general matter, any capital invested and profits generated cannot be repatriated for a minimum of one year. Repatriation of any invested capital is subject to approval by the regulator. Additionally, any repatriation of profits would be subject to an audit by a registered accountant in China, and subject to regulatory approval. In light of the foregoing, the Portfolio’s investment in China A Shares would be subject to the Portfolio’s limit of investing up to 15% of its net assets in illiquid investments. Current Chinese tax law is unclear whether capital gains realized on the Portfolio’s investments in China A shares will be subject to tax. Because management believes it is more likely than not that Chinese capital gains tax ultimately will not be imposed, the Portfolio does not accrue for such taxes.
As of June 30, 2015, the Portfolio has available investment quota of $203,771. The Portfolio is subject to certain restrictions and administrative processes relating to its ability to repatriate cash balances and may incur substantial delays in gaining access to its assets.
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,
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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.
Emerging Market Investing
The Portfolio may invest in securities of issuers or companies from or with exposure to one or more “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. Additionally, foreign and emerging market risks, including, but not limited to, price controls, expropriation or confiscatory taxation, imposition or enforcement of foreign ownership limits, nationalization, and restrictions on repatriation of assets may be heightened to the extent the Portfolio invests in Chinese local market securities (also known as “A Shares”).
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets
Counterparty | Gross Amounts of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Deutsche Bank AG | $ | 51,716,377 | $ | – | $ | (51,716,377) | $ | – | ||||||||||
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Notes to Financial Statements (unaudited) (continued)
Offsetting of Financial Liabilities and Derivative Liabilities
Counterparty | Gross Amounts of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Bank of America | $ 37,035 | $– | $– | $ 37,035 | ||||||||||||||
Citibank NA | 22,914 | – | – | 22,914 | ||||||||||||||
Credit Suisse International | 32,662 | – | – | 32,662 | ||||||||||||||
HSBC Securities (USA), Inc. | 18,447 | – | – | 18,447 | ||||||||||||||
JPMorgan Chase & Co. | 38,596 | – | – | 38,596 | ||||||||||||||
Total | $149,654 | $– | $– | $149,654 | ||||||||||||||
(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. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to qualified parties. Deutsche Bank AG acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below
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the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments. Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
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 following table reflects the Portfolio’s “base” fee rate prior to any performance adjustment (expressed as an annual rate).
Base Fee | ||||||
Portfolio | Rate (%) | |||||
Janus Aspen Overseas Portfolio | 0.64 | |||||
The investment advisory fee rate is determined by calculating a base fee (shown in the table above) 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, as shown below:
Portfolio | Benchmark Index | |||||
Janus Aspen Overseas Portfolio | MSCI All Country World ex-U.S. 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 during the applicable performance measurement period.
The Portfolio’s prospectuses and statements 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.
Performance Adjusted | ||||||
Investment Advisory | ||||||
Portfolio | Fee Rate (%) | |||||
Janus Aspen Overseas Portfolio | 0.45 | |||||
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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
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Notes to Financial Statements (unaudited) (continued)
distributor, Janus Distributors LLC, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table
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located in the Notes to Schedule of Investments and Other Information.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in passive foreign investment companies.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Overseas Portfolio | $ | 1,275,725,025 | $ | 191,276,319 | $ | (348,814,647) | $ | (157,538,328) | ||||||||||
6. | Capital Share Transactions |
Janus Aspen Overseas Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 182,337 | 493,563 | ||||||||
Reinvested dividends and distributions | 267,800 | 1,408,595 | ||||||||
Shares repurchased | (2,444,479) | (1,510,122) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (1,994,342) | 392,036 | ||||||||
Shares Outstanding, Beginning of Period | 11,191,215 | 10,799,179 | ||||||||
Shares Outstanding, End of Period | 9,196,873 | 11,191,215 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 1,116,621 | 2,116,657 | �� | |||||||
Reinvested dividends and distributions | 698,992 | 3,139,093 | ||||||||
Shares repurchased | (2,939,679) | (4,553,380) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (1,124,066) | 702,370 | ||||||||
Shares Outstanding, Beginning of Period | 24,516,819 | 23,814,449 | ||||||||
Shares Outstanding, End of Period | 23,392,753 | 24,516,819 |
7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen Overseas Portfolio | $203,282,648 | $314,797,735 | $– | $– | ||||||
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Notes to Financial Statements (unaudited) (continued)
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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Additional Information (unaudited) (continued)
providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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Additional Information (unaudited) (continued)
the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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Additional Information (unaudited) (continued)
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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Useful Information About Your Portfolio Report (unaudited) (continued)
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
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94021 | 109-24-81120 08-15 |
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semiannual report
June 30, 2015
Janus Aspen Perkins Mid Cap Value Portfolio
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Perkins Mid Cap Value Portfolio
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Janus Aspen Perkins Mid Cap Value Portfolio (unaudited)
PORTFOLIO SNAPSHOT We believe in the timeless adage of the “power of compounding” and reflect this in our focus on mitigating losses in difficult markets. We invest in securities we believe have favorable reward-to-risk ratios by focusing first on rigorous downside analysis prior to determining upside potential. We seek to outperform both our benchmark and peers over a full market cycle by building diversified portfolios of what we believe to be high-quality, undervalued stocks. | Tom Perkins co-portfolio manager | Kevin Preloger co-portfolio manager | Justin Tugman co-portfolio manager |
PERFORMANCE OVERVIEW
During the six months ended June 30, 2015, Janus Aspen Perkins Mid Cap Value Portfolio’s Institutional Shares and Service Shares returned -1.46% and -1.56%, respectively, while its benchmark, the Russell Midcap Value Index, returned 0.41%. Our holdings in health care, industrials and consumer discretionary weighed on relative performance. Stock selection in information technology and financials contributed to relative performance, as did our underweight in utilities.
MARKET COMMENTARY
The volatility that marked the end of 2014 carried over into the beginning of 2015 as major U.S. stock indices finished the end of the period mixed. Volume and volatility remained muted for much of the period. First quarter earnings season largely exceeded expectations, but enthusiasm was tempered as valuations were considered stretched compared to long-term averages. While economic data looked generally choppy, especially during the winter, stocks were later boosted by a spring rebound, with employment data including nonfarm payrolls and wages exhibiting renewed strength. Partly as a consequence, key retail sales data hinted that consumers were once again finding their footing as a source of broad economic growth. However, the labor force participation rate remained stubbornly low.
Crude oil prices reset within a higher trading band and the dollar stabilized after its recent strong period of appreciation. Both developments were highlighted by the Federal Reserve’s (Fed) June statement, in which it said a potential increase of the Fed Funds rate during the latter part of the year would be “appropriate.” Chairwoman Janet Yellen also reiterated that any move would be data-dependent, thoughtful and measured. However, we remain cautious about the impacts of our current monetary policy as it gets set to unwind. Negative sentiment emanating from Europe – centering on Greece’s ability to meet its debt obligations – impacted U.S. shares late in June. Previous high fliers were especially impacted.
DETRACTORS
Shares of the apparel manufacturer Ralph Lauren were weak during the period after the company guided to 2015 earnings that were well below consensus expectations. We anticipated that there would be currency pressure and reduced our position ahead of the guidance cut, but weak store traffic, margin pressure in the wholesale channel and ongoing technology investments turned out to be bigger headwinds than we expected. We sold our holdings during the period.
PPL Corp. is an Allentown, Pennsylvania-based integrated utility that serves its electric and natural gas customers in Pennsylvania, Kentucky, and the UK while generating merchant power for the wholesale and retail markets domestically. Shares of the company traded lower given the negative effects of a stronger U.S. dollar on PPL’s UK operations, which account for approximately 60% of the company’s overall earnings. However, the shares delivered strong performance in 2014. We believe that the concerns around the negative earnings impact were somewhat premature as PPL hedges its currency exposure for its UK business. We are encouraged about the long-term prospects as PPL is in the process of spinning off and merging its unregulated merchant generation business. Although we sold some of our holdings in the period, PPL remains one of our larger positions in the Portfolio.
Alliant Energy Corp., a Wisconsin and Iowa utility, underperformed during the period. Although we trimmed our holdings during the period, Alliant continues to be one of our largest holdings. In our view, the company maintains a solid balance sheet and is expected to grow earnings and dividends ahead of its peers while paying out a defensive 3.1% dividend yield.
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Janus Aspen Perkins Mid Cap Value Portfolio (unaudited)
CONTRIBUTORS
Informatica Corp. is an independent provider of enterprise data integration software and services. The stock’s strong performance was driven by solid fundamental results, activist involvement, and the announcement by management that they would look at potentially selling the company. In April, it was announced that a private equity firm and the Canada Pension Plan Investment Board would purchase the company in an all cash deal, which helped boost the stock’s performance. As a result of the rally in the stock price on the deal news, we have trimmed our position.
Zions Bancorporation is a Utah-based commercial bank that has the potential for significant earnings power in a higher interest rate environment. The stock outperformed in the period due, in part, to the announcement of a restructuring program and a broadly held market view that the Fed will raise interest rates in the next six months. Although Zions now trades at a modest premium to tangible book value, we feel comfortable with the stock due to the expectation for improved returns and strong earnings growth over the next two to three years. Zions is among our largest positions in the Portfolio.
Laboratory Corp. is one of two national clinical laboratory companies. The stock outperformed due to improved health care utilization trends which helped lift organic volume growth for the company. In addition, the company closed on its acquisition of Covance, a contract research organization. The company outlined both cost and revenue synergies that were greater than initial expectations. Although the deal increases the company’s financial leverage, the company is expected to have ample free cash flow to pay down debt relatively quickly. We continue to hold our position given the stable fundamental outlook, and its relatively attractive valuation and reward-to-risk ratio within the health care sector.
MARKET OUTLOOK
As we look ahead, the factors that fueled the market continue to be intact, mainly loose monetary policy on a global basis. However, the Fed has clearly telegraphed its intention, and has initiated the process of slowly reducing the amount of liquidity injected into the system. Furthermore, it has stated its preference to raise interest rates, “not now, but soon.” Of course this will be dependent on both inflation and jobs data. Some of the recent economic data has been mixed, with first quarter GDP contracting and expectations for the second quarter in the 2% range – far from rapid growth. Meanwhile, nonfarm payrolls continue to increase without much wage inflation, but the labor force participation rate remains stuck at near-record lows. The odds of miscommunication from the Fed would appear to be high as it begins to transition away from policy accommodation. Given this backdrop, the odds would seem to favor increased market volatility. As valuations remain at the upper end of historical ranges, and thus with little room for error, we continue to remain vigilant about the potential for downside risk.
Complacency has set into investor psychology as the S&P 500 Index, a broad market measure, has gone almost four years without a 10% correction, an unusually long time. Given the low level of interest rates, it can be argued that the market is fairly valued based on the S&P 500 trading at 17.4x 2015 estimated earnings. However, based on the Shiller P/E ratio (a price-to-earnings ratio which incorporates inflation adjusted earnings over the past 10��years) the S&P 500 is trading at 27x. This is well above its historical mean of 15.95x and significantly above its average going back to 1881. To put this into context, other instances when this valuation metric was at this level, or higher, included 1929, 2000 and 2007. A potential headwind for the sustainability of the current P/E multiple is corporate profits. In the first quarter, S&P 500 companies delivered paltry earnings growth of 0.80% compared to the same period a year ago. The forecast for the second quarter is for a decline of 4.5%. Simply put, “bad news” has been tolerated by the equity market and this may continue to be the case, until it isn’t. Thus, we continue our focus on building a portfolio of high-quality stocks that we believe will minimize risk should the time come that the equity market views “bad news” as truly bad news.
The Portfolio’s sector positioning did not materially change. Consumer staples, industrials, and health care remain overweight on a relative basis. Conversely, our underweight sectors include consumer discretionary, utilities, and materials. Uncertainties over Greece, the economic slowdown and stock market volatility in China, assorted geopolitical threats, as well as the growth trajectory of the U.S. economy all are factors that lead us to be cautious given equity valuations. In conclusion, we believe our portfolio of what we consider high-quality stocks will hold up better relative to the overall market should volatility appear. Higher volatility should present us with opportunities to purchase new stocks where the valuation and reward-to-risk ratios are more compelling.
Thank you for your investment in Janus Aspen Perkins Mid Cap Value Portfolio.
2 | JUNE 30, 2015
Table of Contents
(unaudited)
Janus Aspen Perkins Mid Cap Value Portfolio At A Glance
5 Top Performers – Holdings
Contribution | ||||
Informatica Corp. | 0.29% | |||
Zions Bancorporation | 0.25% | |||
Laboratory Corp. of America Holdings | 0.22% | |||
BWX Technologies, Inc. | 0.20% | |||
Fifth Third Bancorp | 0.18% |
5 Bottom Performers – Holdings
Contribution | ||||
Ralph Lauren Corp. – Class A | –0.36% | |||
PPL Corp. | –0.28% | |||
Alliant Energy Corp. | –0.27% | |||
Packaging Corp. of America | –0.22% | |||
FMC Corp. | –0.22% |
5 Top Performers – Sectors*
Portfolio Weighting | Russell Midcap® Value | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Information Technology | 0.74% | 9.83% | 10.83% | |||||||||
Utilities | 0.66% | 6.14% | 11.81% | |||||||||
Financials | 0.62% | 30.84% | 33.32% | |||||||||
Consumer Staples | 0.02% | 8.71% | 3.23% | |||||||||
Other** | 0.00% | 3.71% | 0.00% |
5 Bottom Performers – Sectors*
Portfolio Weighting | Russell Midcap® Value | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Health Care | –1.52% | 11.92% | 10.20% | |||||||||
Industrials | –0.85% | 14.52% | 9.24% | |||||||||
Consumer Discretionary | –0.49% | 4.33% | 10.45% | |||||||||
Materials | –0.38% | 3.73% | 6.74% | |||||||||
Energy | –0.28% | 5.86% | 3.85% |
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
** | Not a GICS classified sector. |
Janus Aspen Series | 3
Table of Contents
Janus Aspen Perkins Mid Cap Value Portfolio (unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Fifth Third Bancorp Commercial Banks | 2.3% | |||
Marsh & McLennan Cos., Inc. Insurance | 2.2% | |||
Laboratory Corp. of America Holdings Health Care Providers & Services | 2.1% | |||
Casey’s General Stores, Inc. Food & Staples Retailing | 2.1% | |||
PPL Corp. Electric Utilities | 2.1% | |||
10.8% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (0.9)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
4 | JUNE 30, 2015
Table of Contents
(unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||||
Fiscal | One | Five | Ten | Since | Total Annual Fund | ||||||||
Year-to-Date | Year | Year | Year | Inception | Operating Expenses | ||||||||
Janus Aspen Perkins Mid Cap Value Portfolio – Institutional Shares | –1.46% | –0.08% | 12.03% | 8.08% | 11.06%# | 0.62% | |||||||
Janus Aspen Perkins Mid Cap Value Portfolio – Service Shares | –1.56% | –0.33% | 11.71% | 7.74% | 10.47%* | 0.87% | |||||||
Russell Midcap® Value Index | 0.41% | 3.67% | 17.73% | 8.89% | 12.22%** | ||||||||
Morningstar Quartile – Service Shares | – | 4th | 4th | 3rd | 3rd | ||||||||
Morningstar Ranking – based on total returns for Mid-Cap Value Funds | – | 420/505 | 411/425 | 237/350 | 207/312 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See important disclosures on the next page.
Janus Aspen Series | 5
Table of Contents
Janus Aspen Perkins Mid Cap Value Portfolio (unaudited)
See “Useful Information About Your Portfolio Report.”
Effective March 19, 2015, Tom Perkins, Kevin Preloger and Justin Tugman are Co-Portfolio Managers of the Portfolio.
# | Institutional Shares inception date – May 1, 2003 | |
* | Service Shares inception date – December 31, 2002 | |
** | The Russell Midcap® Value Index’s since inception returns are calculated from December 31, 2002. |
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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 985.40 | $ | 2.90 | $ | 1,000.00 | $ | 1,021.87 | $ | 2.96 | 0.59% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 984.40 | $ | 4.13 | $ | 1,000.00 | $ | 1,020.63 | $ | 4.21 | 0.84% | |||||||||||||||||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 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. |
6 | JUNE 30, 2015
Table of Contents
Janus Aspen Perkins Mid Cap Value Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Common Stocks – 95.3% | ||||||||||
Aerospace & Defense – 1.8% | ||||||||||
4,975 | Precision Castparts Corp. | $ | 994,353 | |||||||
14,981 | Rockwell Collins, Inc. | 1,383,496 | ||||||||
2,377,849 | ||||||||||
Beverages – 3.5% | ||||||||||
37,025 | Coca-Cola Enterprises, Inc. | 1,608,366 | ||||||||
24,919 | Dr Pepper Snapple Group, Inc. | 1,816,595 | ||||||||
17,524 | Molson Coors Brewing Co. – Class B | 1,223,351 | ||||||||
4,648,312 | ||||||||||
Building Products – 0.7% | ||||||||||
27,855 | Simpson Manufacturing Co., Inc. | 947,070 | ||||||||
Capital Markets – 2.2% | ||||||||||
34,401 | Raymond James Financial, Inc. | 2,049,611 | ||||||||
14,412 | Stifel Financial Corp.* | 832,149 | ||||||||
2,881,760 | ||||||||||
Chemicals – 1.9% | ||||||||||
15,819 | Cabot Corp. | 589,890 | ||||||||
35,592 | FMC Corp. | 1,870,360 | ||||||||
2,460,250 | ||||||||||
Commercial Banks – 10.8% | ||||||||||
28,224 | CIT Group, Inc. | 1,312,134 | ||||||||
89,769 | Citizens Financial Group, Inc. | 2,451,591 | ||||||||
33,230 | Comerica, Inc. | 1,705,364 | ||||||||
146,280 | Fifth Third Bancorp | 3,045,549 | ||||||||
13,324 | First Republic Bank | 839,812 | ||||||||
30,882 | MB Financial, Inc. | 1,063,576 | ||||||||
63,210 | Umpqua Holdings Corp. | 1,137,148 | ||||||||
82,732 | Zions Bancorporation | 2,625,500 | ||||||||
14,180,674 | ||||||||||
Commercial Services & Supplies – 4.7% | ||||||||||
46,337 | Republic Services, Inc. | 1,815,020 | ||||||||
56,189 | Tyco International PLC | 2,162,153 | ||||||||
46,112 | Waste Connections, Inc. | 2,172,797 | ||||||||
6,149,970 | ||||||||||
Communications Equipment – 0.6% | ||||||||||
7,031 | F5 Networks, Inc.* | 846,181 | ||||||||
Consumer Finance – 1.6% | ||||||||||
45,063 | Ally Financial, Inc.* | 1,010,763 | ||||||||
17,826 | Discover Financial Services | 1,027,134 | ||||||||
2,037,897 | ||||||||||
Containers & Packaging – 1.4% | ||||||||||
2,338 | Crown Holdings, Inc.* | 123,704 | ||||||||
27,052 | Packaging Corp. of America | 1,690,479 | ||||||||
1,814,183 | ||||||||||
Electric Utilities – 2.1% | ||||||||||
91,491 | PPL Corp. | 2,696,240 | ||||||||
Electrical Equipment – 1.7% | ||||||||||
68,362 | Babcock & Wilcox Co.* | 2,242,274 | ||||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||||
24,165 | Keysight Technologies, Inc.* | 753,706 | ||||||||
Energy Equipment & Services – 1.7% | ||||||||||
13,018 | Dril-Quip, Inc.* | 979,605 | ||||||||
13,018 | Oil States International, Inc.* | 484,660 | ||||||||
31,728 | Tidewater, Inc. | 721,177 | ||||||||
2,185,442 | ||||||||||
Food & Staples Retailing – 2.5% | ||||||||||
28,850 | Casey’s General Stores, Inc. | 2,762,099 | ||||||||
14,337 | Sysco Corp. | 517,566 | ||||||||
3,279,665 | ||||||||||
Food Products – 3.2% | ||||||||||
12,219 | Hershey Co. | 1,085,414 | ||||||||
12,204 | JM Smucker Co. | 1,323,036 | ||||||||
15,081 | McCormick & Co., Inc. | 1,220,807 | ||||||||
7,040 | Sanderson Farms, Inc. | 529,126 | ||||||||
4,158,383 | ||||||||||
Gas Utilities – 1.8% | ||||||||||
21,908 | AGL Resources, Inc. | 1,020,036 | ||||||||
23,984 | Southwest Gas Corp. | 1,276,189 | ||||||||
2,296,225 | ||||||||||
Health Care Equipment & Supplies – 2.8% | ||||||||||
17,377 | Stryker Corp. | 1,660,720 | ||||||||
7,394 | Varian Medical Systems, Inc.* | 623,536 | ||||||||
12,987 | Zimmer Biomet Holdings, Inc. | 1,418,570 | ||||||||
3,702,826 | ||||||||||
Health Care Providers & Services – 2.9% | ||||||||||
23,186 | Laboratory Corp. of America Holdings* | 2,810,607 | ||||||||
4,419 | McKesson Corp. | 993,435 | ||||||||
3,804,042 | ||||||||||
Information Technology Services – 2.2% | ||||||||||
13,954 | Jack Henry & Associates, Inc. | 902,824 | ||||||||
20,925 | Teradata Corp.* | 774,225 | ||||||||
29,747 | Total System Services, Inc. | 1,242,532 | ||||||||
2,919,581 | ||||||||||
Insurance – 7.8% | ||||||||||
32,377 | Allstate Corp. | 2,100,296 | ||||||||
23,477 | Arthur J Gallagher & Co. | 1,110,462 | ||||||||
50,191 | Marsh & McLennan Cos., Inc. | 2,845,830 | ||||||||
15,607 | RenaissanceRe Holdings, Ltd. | 1,584,267 | ||||||||
44,205 | Torchmark Corp. | 2,573,615 | ||||||||
10,214,470 | ||||||||||
Life Sciences Tools & Services – 3.1% | �� | |||||||||
56,132 | Agilent Technologies, Inc. | 2,165,573 | ||||||||
14,228 | Thermo Fisher Scientific, Inc. | 1,846,225 | ||||||||
4,011,798 | ||||||||||
Machinery – 3.2% | ||||||||||
22,714 | Kennametal, Inc. | 775,002 | ||||||||
14,450 | Lincoln Electric Holdings, Inc. | 879,860 | ||||||||
30,516 | Timken Co. | 1,115,970 | ||||||||
11,430 | Valmont Industries, Inc. | 1,358,684 | ||||||||
4,129,516 | ||||||||||
Marine – 0.9% | ||||||||||
15,065 | Kirby Corp.* | 1,154,883 | ||||||||
Media – 1.3% | ||||||||||
24,953 | Omnicom Group, Inc. | 1,733,984 | ||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 7
Table of Contents
Janus Aspen Perkins Mid Cap Value Portfolio
Schedule of Investments (unaudited)
As of June 30, 2015
Shares or Principal Amount | Value | |||||||||
Multi-Utilities – 2.0% | ||||||||||
44,985 | Alliant Energy Corp. | $ | 2,596,534 | |||||||
Multiline Retail – 0.6% | ||||||||||
11,763 | Macy’s, Inc. | 793,650 | ||||||||
Oil, Gas & Consumable Fuels – 4.5% | ||||||||||
16,402 | Anadarko Petroleum Corp. | 1,280,340 | ||||||||
13,477 | Cimarex Energy Co. | 1,486,648 | ||||||||
11,149 | MarkWest Energy Partners LP | 628,580 | ||||||||
9,957 | Noble Energy, Inc. | 424,965 | ||||||||
32,343 | Western Gas Partners LP | 2,049,576 | ||||||||
5,870,109 | ||||||||||
Pharmaceuticals – 1.7% | ||||||||||
17,929 | Teva Pharmaceutical Industries, Ltd. (ADR) | 1,059,604 | ||||||||
25,057 | Zoetis, Inc. | 1,208,248 | ||||||||
2,267,852 | ||||||||||
Real Estate Investment Trusts (REITs) – 9.2% | ||||||||||
14,412 | Alexandria Real Estate Equities, Inc. | 1,260,474 | ||||||||
9,361 | AvalonBay Communities, Inc. | 1,496,543 | ||||||||
29,467 | Equity Lifestyle Properties, Inc. | 1,549,375 | ||||||||
20,179 | Extra Space Storage, Inc. | 1,316,074 | ||||||||
30,599 | Healthcare Trust of America, Inc. – Class A | 732,846 | ||||||||
11,093 | Home Properties, Inc. | 810,344 | ||||||||
40,863 | Host Hotels & Resorts, Inc. | 810,313 | ||||||||
6,526 | Post Properties, Inc. | 354,819 | ||||||||
34,353 | Potlatch Corp. | 1,213,348 | ||||||||
4,060 | Public Storage | 748,542 | ||||||||
44,390 | Redwood Trust, Inc. | 696,923 | ||||||||
32,495 | Weyerhaeuser Co. | 1,023,592 | ||||||||
12,013,193 | ||||||||||
Road & Rail – 2.2% | ||||||||||
7,832 | Canadian Pacific Railway, Ltd. (U.S. Shares) | 1,254,922 | ||||||||
51,145 | CSX Corp. | 1,669,884 | ||||||||
2,924,806 | ||||||||||
Semiconductor & Semiconductor Equipment – 1.8% | ||||||||||
20,394 | Analog Devices, Inc. | 1,308,989 | ||||||||
22,442 | Microchip Technology, Inc. | 1,064,312 | ||||||||
2,373,301 | ||||||||||
Software – 3.9% | ||||||||||
15,790 | Check Point Software Technologies, Ltd.* | 1,256,094 | ||||||||
31,958 | Informatica Corp.* | 1,549,004 | ||||||||
24,880 | NetScout Systems, Inc.* | 912,350 | ||||||||
27,575 | Synopsys, Inc.* | 1,396,674 | ||||||||
5,114,122 | ||||||||||
Technology Hardware, Storage & Peripherals – 0.4% | ||||||||||
18,275 | NetApp, Inc. | 576,759 | ||||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||||
8,268 | PVH Corp. | 952,474 | ||||||||
17,130 | Steven Madden, Ltd.* | 732,821 | ||||||||
1,685,295 | ||||||||||
Thrifts & Mortgage Finance – 0.7% | ||||||||||
40,804 | Washington Federal, Inc. | 952,773 | ||||||||
Total Common Stocks (cost $103,291,447) | 124,795,575 | |||||||||
Repurchase Agreements – 5.6% | ||||||||||
$7,400,000 | Undivided interest of 3.7% in a joint repurchase agreement (principal amount $200,300,000 with a maturity value of $200,300,556) with ING Financial Markets LLC, 0.1000%, dated 6/30/15, maturing 7/1/15, to be repurchased at $7,400,021 collateralized by $220,243,953 in U.S. Treasuries, 0% – 4.2500%, 10/31/15 – 11/15/43 with a value of $204,308,612 (cost $7,400,000) | 7,400,000 | ||||||||
Total Investments (total cost $110,691,447) – 100.9% | 132,195,575 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.9)% | (1,208,961) | |||||||||
Net Assets – 100% | $ | 130,986,614 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 128,624,955 | 97 | .3% | ||||
Israel | 2,315,698 | 1 | .8 | |||||
Canada | 1,254,922 | 0 | .9 | |||||
Total | $ | 132,195,575 | 100 | .0% | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
8 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Russell Midcap® Value Index | Measures the performance of those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. | |
S&P 500® Index | Measures broad U.S. equity performance. | |
ADR | American Depositary Receipt | |
LLC | Limited Liability Company | |
LP | Limited Partnership | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | |||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||
Janus Aspen Perkins Mid Cap Value Portfolio | ||||||||
Assets | ||||||||
Investments in Securities: | ||||||||
Common Stocks | $124,795,575 | $ – | $– | |||||
Repurchase Agreements | – | 7,400,000 | – | |||||
Total Assets | $124,795,575 | $7,400,000 | $– | |||||
Janus Aspen Series | 9
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Perkins | ||||||||||
Mid Cap | ||||||||||
Value | ||||||||||
As of June 30, 2015 (unaudited) | Portfolio | |||||||||
Assets: | ||||||||||
Investments, at cost(1) | $ | 110,691,447 | ||||||||
Investments, at value | $ | 124,795,575 | ||||||||
Repurchase agreements, at value | 7,400,000 | |||||||||
Cash | 48,160 | |||||||||
Non-interested Trustees’ deferred compensation | 2,648 | |||||||||
Receivables: | ||||||||||
Investments sold | 837,152 | |||||||||
Portfolio shares sold | 27,491 | |||||||||
Dividends | 249,026 | |||||||||
Interest | 21 | |||||||||
Total Assets | 133,360,073 | |||||||||
Liabilities: | ||||||||||
Payables: | ||||||||||
Investments purchased | 776,877 | |||||||||
Portfolio shares repurchased | 1,484,843 | |||||||||
Advisory fees | 53,998 | |||||||||
Portfolio administration fees | 1,060 | |||||||||
Transfer agent fees and expenses | 248 | |||||||||
12b-1 Distribution and shareholder servicing fees | 19,476 | |||||||||
Non-interested Trustees’ fees and expenses | 891 | |||||||||
Non-interested Trustees’ deferred compensation fees | 2,648 | |||||||||
Accrued expenses and other payables | 33,418 | |||||||||
Total Liabilities | 2,373,459 | |||||||||
Net Assets | $ | 130,986,614 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 105,578,613 | ||||||||
Undistributed net investment income/(loss) | 439,459 | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 3,463,953 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 21,504,589 | |||||||||
Total Net Assets | $ | 130,986,614 | ||||||||
Net Assets - Institutional Shares | $ | 39,943,915 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 2,406,974 | |||||||||
Net Asset Value Per Share | $ | 16.60 | ||||||||
Net Assets - Service Shares | $ | 91,042,699 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 5,610,336 | |||||||||
Net Asset Value Per Share | $ | 16.23 |
(1) | Includes cost of repurchase agreements of $7,400,000. |
See Notes to Financial Statements.
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Statement of Operations
Janus Aspen | ||||||
Perkins | ||||||
Mid Cap | ||||||
Value | ||||||
For the period ended June 30, 2015 (unaudited) | Portfolio | |||||
Investment Income: | ||||||
Interest | $ | 1,765 | ||||
Dividends | 1,118,571 | |||||
Other income | 14 | |||||
Foreign tax withheld | (3,397) | |||||
Total Investment Income | 1,116,953 | |||||
Expenses: | ||||||
Advisory fees | 331,862 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 118,301 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 445 | |||||
Service Shares | 327 | |||||
Shareholder reports expense | 9,150 | |||||
Registration fees | 17,022 | |||||
Custodian fees | 7,854 | |||||
Professional fees | 13,994 | |||||
Non-interested Trustees’ fees and expenses | 1,780 | |||||
Portfolio administration fees | 5,446 | |||||
Other expenses | 17,189 | |||||
Total Expenses | 523,370 | |||||
Net Expenses | 523,370 | |||||
Net Investment Income/(Loss) | 593,582 | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 3,625,366 | |||||
Total Net Realized Gain/(Loss) on Investments | 3,625,366 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (6,305,366) | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (6,305,366) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (2,086,418) |
See Notes to Financial Statements.
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Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Perkins Mid Cap Value | ||||||||||
Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 593,582 | $ | 1,999,292 | ||||||
Net realized gain/(loss) on investments | 3,625,366 | 13,041,875 | ||||||||
Change in unrealized net appreciation/depreciation | (6,305,366) | (3,512,698) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | (2,086,418) | 11,528,469 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Investment Income | ||||||||||
Institutional Shares | (362,130) | (586,731) | ||||||||
Service Shares | (742,254) | (1,256,794) | ||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (3,805,381) | (4,053,085) | ||||||||
Service Shares | (9,086,187) | (9,773,119) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (13,995,952) | (15,669,729) | ||||||||
Capital Share Transactions: | ||||||||||
Shares Sold | ||||||||||
Institutional Shares | 3,221,255 | 11,140,990 | ||||||||
Service Shares | 3,588,423 | 7,440,625 | ||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 4,167,511 | 4,639,816 | ||||||||
Service Shares | 9,828,441 | 11,029,913 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (5,218,422) | (17,238,797) | ||||||||
Service Shares | (11,093,930) | (20,271,847) | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | 4,493,278 | (3,259,300) | ||||||||
Net Increase/(Decrease) in Net Assets | (11,589,092) | (7,400,560) | ||||||||
Net Assets: | ||||||||||
Beginning of period | 142,575,706 | 149,976,266 | ||||||||
End of period | $ | 130,986,614 | $ | 142,575,706 | ||||||
Undistributed Net Investment Income/(Loss) | $ | 439,459 | $ | 950,261 |
See Notes to Financial Statements.
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Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, 2015 | Janus Aspen Perkins Mid Cap Value Portfolio | |||||||||||||||||||||||||
(unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $18.77 | $19.30 | $15.81 | $15.37 | $15.91 | $13.85 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.10(1) | 0.30(1) | 0.24 | 0.24 | 0.16 | 0.13 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.33) | 1.35 | 3.82 | 1.37 | (0.58) | 2.03 | ||||||||||||||||||||
Total from Investment Operations | (0.23) | 1.65 | 4.06 | 1.61 | (0.42) | 2.16 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.17) | (0.27) | (0.22) | (0.15) | (0.12) | (0.10) | ||||||||||||||||||||
Distributions (from capital gains) | (1.77) | (1.91) | (0.35) | (1.02) | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.94) | (2.18) | (0.57) | (1.17) | (0.12) | (0.10) | ||||||||||||||||||||
Net Asset Value, End of Period | $16.60 | $18.77 | $19.30 | $15.81 | $15.37 | $15.91 | ||||||||||||||||||||
Total Return* | (1.46)% | 8.77% | 26.09% | 11.14% | (2.64)% | 15.66% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $39,944 | $42,509 | $44,998 | $41,829 | $41,295 | $38,892 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $41,998 | $43,239 | $44,335 | $41,170 | $42,054 | $35,949 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.59% | 0.62% | 0.58% | 0.58% | 0.83% | 0.92% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.59% | 0.62% | 0.58% | 0.58% | 0.83% | 0.92% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 1.04% | 1.57% | 1.19% | 1.51% | 0.97% | 0.99% | ||||||||||||||||||||
Portfolio Turnover Rate | 36% | 53% | 71% | 49% | 52% | 65% |
Service Shares
For a share outstanding during the period ended June 30, 2015 | Janus Aspen Perkins Mid Cap Value Portfolio | |||||||||||||||||||||||||
(unaudited) and each year ended December 31 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Net Asset Value, Beginning of Period | $18.39 | $18.98 | $15.57 | $15.18 | $15.74 | $13.72 | ||||||||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||||||||||
Net investment income/(loss) | 0.07(1) | 0.24(1) | 0.16 | 0.19 | 0.11 | 0.08 | ||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.32) | 1.32 | 3.80 | 1.35 | (0.58) | 2.01 | ||||||||||||||||||||
Total from Investment Operations | (0.25) | 1.56 | 3.96 | 1.54 | (0.47) | 2.09 | ||||||||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||||||||||
Dividends (from net investment income) | (0.14) | (0.24) | (0.20) | (0.13) | (0.09) | (0.07) | ||||||||||||||||||||
Distributions (from capital gains) | (1.77) | (1.91) | (0.35) | (1.02) | – | – | ||||||||||||||||||||
Total Dividends and Distributions | (1.91) | (2.15) | (0.55) | (1.15) | (0.09) | (0.07) | ||||||||||||||||||||
Net Asset Value, End of Period | $16.23 | $18.39 | $18.98 | $15.57 | $15.18 | $15.74 | ||||||||||||||||||||
Total Return* | (1.56)% | 8.44% | 25.81% | 10.79% | (2.98)% | 15.28% | ||||||||||||||||||||
Net Assets, End of Period (in thousands) | $91,043 | $100,066 | $104,978 | $86,831 | $78,895 | $82,754 | ||||||||||||||||||||
Average Net Assets for the Period (in thousands) | $95,984 | $100,500 | $98,703 | $84,211 | $83,879 | $76,667 | ||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Ratio of Gross Expenses** | 0.84% | 0.87% | 0.83% | 0.86% | 1.19% | 1.27% | ||||||||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 0.84% | 0.87% | 0.83% | 0.86% | 1.19% | 1.27% | ||||||||||||||||||||
Ratio of Net Investment Income/(Loss)** | 0.79% | 1.31% | 0.93% | 1.22% | 0.63% | 0.61% | ||||||||||||||||||||
Portfolio Turnover Rate | 36% | 53% | 71% | 49% | 52% | 65% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
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Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Perkins Mid Cap Value Portfolio (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in equity securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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 market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques
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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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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.
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Notes to Financial Statements (unaudited) (continued)
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 treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net realized gains, as a distribution for federal income tax purposes (tax equalization).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Other Investments and Strategies |
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending 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. As a result, financial markets in the EU have been subject to increased volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity
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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.
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 may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and 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 | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
ING Financial Markets LLC | $7,400,000 | $– | $(7,400,000) | $– | ||||||||||||||
(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. |
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Notes to Financial Statements (unaudited) (continued)
All repurchase agreements are transacted under legally enforceable master repurchase agreements that give the Portfolio, in the event of default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the counterparty. Repurchase agreements held by the Portfolio are fully collateralized, and such collateral is in the possession of the Portfolio’s custodian or, for tri-party agreements, the custodian designated by the agreement. The collateral is evaluated daily to ensure its market value exceeds the current market value of the repurchase agreements, including accrued interest.
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.
Repurchase Agreements
The Portfolio and other funds advised by Janus Capital or its affiliates may transfer daily uninvested cash balances into one or more joint trading accounts. Assets in the joint trading accounts are invested in money market instruments and the proceeds are allocated to the participating funds on a pro rata basis.
Repurchase agreements held by a Portfolio are fully collateralized, and such collateral is in the possession of the Portfolio’s custodian or, for tri-party agreements, the custodian designated by the agreement. The collateral is evaluated daily to ensure its market value exceeds the current market value of the repurchase agreements, including accrued interest. In the event of default on the obligation to repurchase, the Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.
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 “base” fee rate prior to any performance adjustment (expressed as an annual rate).
Base Fee | ||||||
Portfolio | Rate (%) | |||||
Janus Aspen Perkins Mid Cap Value Portfolio | 0.64 | |||||
The investment advisory fee rate is determined by calculating a base fee (shown in the table above) 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, as shown below:
Portfolio | Benchmark Index | |||||
Janus Aspen Perkins Mid Cap Value Portfolio | Russell Midcap® Value Index | |||||
The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets during the applicable performance measurement period.
The Portfolio’s prospectuses and statements 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. The performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses for the period ended June 30, 2015, is below:
Performance Adjusted | ||||||
Investment Advisory | ||||||
Portfolio | Fee Rate (%) | |||||
Janus Aspen Perkins Mid Cap Value Portfolio | 0.49 | |||||
Perkins Investment Management LLC (“Perkins”) serves as subadviser to the Portfolio. Perkins (together with its predecessors), has been in the investment management business since 1984 and provides day-to-day management of the Portfolio’s operations subject to the general oversight of Janus Capital. Janus Capital owns 100% of Perkins.
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Janus Capital pays Perkins a subadvisory fee equal to 50% of the investment advisory fee paid by the Portfolio to Janus Capital (calculated after any applicable performance fee adjustment, fee waivers, and expense reimbursements). The subadvisory fee paid by Janus Capital to Perkins adjusts up or down based on the Portfolio’s performance relative to the Portfolio’s benchmark index over the performance measurement period.
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee, but excluding any performance adjustments to management fees, 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 shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen Perkins Mid Cap Value Portfolio | 0.77 | |||||
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, 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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or the subadviser) provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.”
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Notes to Financial Statements (unaudited) (continued)
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, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Perkins Mid Cap Value Portfolio | $111,249,222 | $23,790,285 | $(2,843,932) | $20,946,353 | ||||||||||||||
5. | Capital Share Transactions |
Janus Aspen Perkins Mid Cap Value Portfolio | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares | ||||||||||
Shares sold | 174,161 | 590,115 | ||||||||
Reinvested dividends and distributions | 245,004 | 250,727 | ||||||||
Shares repurchased | (277,448) | (907,107) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 141,717 | (66,265) | ||||||||
Shares Outstanding, Beginning of Period | 2,265,257 | 2,331,522 | ||||||||
Shares Outstanding, End of Period | 2,406,974 | 2,265,257 | ||||||||
Transactions in Portfolio Shares – Service Shares | ||||||||||
Shares sold | 195,769 | 396,786 | ||||||||
Reinvested dividends and distributions | 590,651 | 607,579 | ||||||||
Shares repurchased | (617,114) | (1,095,665) | ||||||||
Net Increase/(Decrease) in Portfolio Shares | 169,306 | (91,300) | ||||||||
Shares Outstanding, Beginning of Period | 5,441,030 | 5,532,330 | ||||||||
Shares Outstanding, End of Period | 5,610,336 | 5,441,030 |
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6. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||
Janus Aspen Perkins Mid Cap Value Portfolio | $46,447,525 | $54,837,508 | $– | $– | ||||||
7. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service
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providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the |
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Additional Information (unaudited) (continued)
second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for |
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the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper |
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Additional Information (unaudited) (continued)
quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May��31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus
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Additional Information (unaudited) (continued)
Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also |
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noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that |
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Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief
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Additional Information (unaudited) (continued)
that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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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
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94022 | 109-24-81122 08-15 |
Table of Contents
semiannual report
June 30, 2015
Janus Aspen Preservation Series – Growth
highlights
• | Portfolio management perspective |
• | Investment strategy behind your portfolio |
• | Portfolio performance, characteristics and holdings |
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Janus Aspen Preservation Series – Growth
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Janus Aspen Preservation Series - Growth (unaudited)
PORTFOLIO SNAPSHOT Janus Aspen Preservation Series – Growth is a growth Portfolio with a protection feature that seeks to minimize and cap losses. This U.S. Portfolio offers potential upside based on stock market participation and a level of certainty in falling markets. | Jonathan Coleman portfolio manager |
PERFORMANCE REVIEW
Janus Aspen Preservation Series – Growth Institutional Shares and Service Shares returned 5.28% and 5.16% respectively, for the six-month period ended June 30, 2015. The Portfolio’s primary benchmark, the Russell 1000 Growth Index, returned 3.96% during the period. Its secondary benchmark, the Preservation Series-Growth Blended Index, returned 2.42% during the period.
INVESTMENT ENVIRONMENT
Major U.S. stock indices finished the period mixed, with the final week erasing many of the gains accumulated over the previous six months. First quarter earnings season largely exceeded expectations, but enthusiasm was tempered as valuations were considered stretched compared to long-term averages. After a March lull, U.S. stocks were aided by favorable economic data that indicated the factors contributing to the winter slowdown were indeed transitory. Employment data including nonfarm payrolls and wages exhibited renewed strength during the spring. Partly as a consequence, key retail sales data hinted that consumers were once again finding their footing as a source of broad economic growth. Crude oil prices reset within a higher trading band and the dollar stabilized after its recent strong period of appreciation. Both developments were highlighted by the Federal Reserve’s (Fed) June statement, in which it said a potential increase of the Fed Funds rate during the latter part of the year would be “appropriate.” Chairwoman Janet Yellen also reiterated that any move would be data dependent, thoughtful and measured. Negative sentiment emanating from Europe – centering on Greece’s ability to meet its debt obligations – impacted U.S. shares late in the second quarter.
PERFORMANCE DISCUSSION
Volatility decreased during the period and we slightly increased our exposure to equities. We entered the six-month period at 93.99% exposure to equities and ended at 94.25% exposure, with the protection component comprising the rest of the portfolio.
The protection component can be comprised of cash and cash equivalents, U.S. Treasuries, short index futures and other instruments designed to reduce equity market exposure. Depending on the market environment, the Portfolio can be invested in any variation in either component. In rising markets, we expect there to be more assets in the equity component as compared with falling markets during which we expect to have more allocated to the protection component. The protection feature, however, affects the Portfolio’s ability to respond to changing equity market conditions and the Portfolio’s ability to capture certain market gains.
During the course of the period, the average allocation to the protection component was approximately 5.42%. In declining markets, we expect the protection component to contribute to performance. In rising markets, we expect the protection component to detract from relative performance. As markets rose during the six-month period, our allocation to the protection component detracted from relative performance during the period.
In addition to the protection component allocation, the Portfolio has a protection feature that is designed to minimize and ultimately cap any losses at a maximum of 20%. As the Net Asset Value (NAV) of the Portfolio rises to new levels, the Protected NAV (PNAV) also rises. Over time, this could lead to a situation where an investor could potentially limit losses. We feel this is an attractive feature, providing investors with a level of downside protection, given the significant uncertainty evident in the global economy and markets.
In the equity component of our Portfolio, we emphasize companies with sustainable, long-term growth drivers. We focus on companies with clear, definable growth stories such as a high barrier to entry, a winning management team with a clear vision for the future, stable and recurring revenue streams, or a definable edge in an attractive industry with high growth potential. These competitive advantages should allow the companies to grow
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Janus Aspen Preservation Series - Growth (unaudited)
regardless of the economy. This period, the performance of the equity component also played a part in our outperforming the benchmark.
Pharmacyclics was a top contributor. The company’s stock surged in January on consensus-beating earnings from the prior quarter as well as upbeat guidance for its blood-cancer drug, Imbruvica. It was then announced that AbbVie would acquire the company for $21 billion. This commercial-stage biotechnology company is focused on discovering and developing innovative small-molecule drugs for the treatment of cancer and immune-mediated diseases.
Apple was another top contributor. The electronic-device company benefited from positive sentiment in the aftermath of its astounding fourth quarter earnings results. In February, the company’s stock reached a new record, pushing its market capitalization above $700 billion. We think Apple still has strong opportunities as its ecosystem continues to attract new and potentially long-term subscribers onto its platform and increase its addressable market as lower price points draw new customers. We also appreciate management’s commitment to returning capital to shareholders via dividends and stock repurchases.
Valeant Pharmaceuticals was also a top contributor. The stock was up after the company announced better-than-expected earnings, and raised its guidance after completing its acquisition of Salix Pharmaceuticals, a maker of gastrointestinal treatments. The acquisition is another example of the same successful playbook Valeant has been running for much of the past decade. We feel this strategy has set the company apart from many of its competitors. High research and development costs have been value destructive for many pharmaceutical companies, but Valeant has largely avoided high R&D spending by making a series of value accretive acquisitions of pharmaceutical companies with lower product risk. Valeant then takes many of the costs out of those companies and essentially acts as a distributor of a number of valuable drugs, rather than a company dependent on new drug discovery for growth.
While pleased with the performance of most stocks in the Portfolio, we still had some stocks that fell during the period and detracted from performance. Precision Castparts was a top detractor. The stock was down after the company missed earnings, due in part to lower demand for some of its products that serve the oil and gas markets, and also due to destocking by some of the customers who use Precision Castparts’ products. After a few disappointing results from the company we are reviewing the stock.
Railroad operator Union Pacific also detracted from the Portfolio’s performance as rail volumes in general remain weak. The oversupplied North American energy market has sapped demand for the machinery and materials required to support hydraulic fracturing (fracking). The relative attractiveness of persistently low natural gas prices vis-à-vis coal has weighed on the company’s shipping volumes of the latter product. Excess inventory in agricultural commodities such as wheat and corn have also been a headwind. The company does, however, have a more diversified mix of products that it transports compared to several industry peers. Both intermodal and automobile transport stand to gain, in our view, as U.S. consumption steadily improves. And while weak natural gas prices have hurt coal shipments, they have also been a contributing factor in a rise in U.S. manufacturing. We also expect agricultural shipments to pick up during the latter part of the year. Lastly, we favor management’s efforts to streamline operations and to return more capital to shareholders.
Finally, athenahealth was also a detractor. The company’s services help physician groups become more efficient by providing technology solutions around practice management, electronic recordkeeping and care-coordination services. The company has been very successful in selling its solutions to the ambulatory market, and is now making a broader push into larger hospitals. There is some concern on the time it will take athenahealth to grow in the hospital market, but as more focus is put on wringing costs from the health care industry, we think the value proposition of athenahealth’s solutions will continue to be in greater demand.
DERIVATIVES
Please see the Derivative Instruments section in the “Notes to Financial Statements” for derivatives used by the Portfolio.
OUTLOOK
We would expect a modest return environment for broader U.S. equity markets going forward. However, the market is not void of growth opportunities. Some of the pockets of the market we remain most excited about are within the health care sector. We continue to see a lot of innovation occurring in treatments that could address some of the world’s most serious, and expensive, medical needs, including innovative treatments that address cancer, cardiovascular health and Alzheimer’s. We are also
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(unaudited)
encouraged by some of the value creation taking place in the specialty pharmaceutical industry, where new management teams are taking over at a number of companies, and improving operations and making smart acquisitions that help rationalize marketing, sales and research and development costs.
We remain enthusiastic about some secular growth opportunities outside the health care sector as well. Businesses are in the early stages of moving software and services to the cloud, providing investment opportunities among select software companies. We also see opportunity among some well-managed, dynamic semiconductor companies that are making value creative acquisitions. Changing consumer preferences in the quality of food, where it comes from, and even how technology is used to order it, are providing exciting change in the consumer discretionary sector. We look forward to seeing how these, and other trends, progress in the months to come.
Thank you for your investment in Janus Aspen Preservation Series – Growth.
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Janus Aspen Preservation Series - Growth (unaudited)
Janus Aspen Preservation Series - Growth At A Glance
5 Top Performers – Holdings
Contribution | ||||
Pharmacyclics, Inc. | 1.35% | |||
Apple, Inc. | 0.82% | |||
Freescale Semiconductor, Ltd. | 0.65% | |||
Valeant Pharmaceuticals International, Inc. (U.S Shares) | 0.51% | |||
Biogen, Inc. | 0.42% |
5 Bottom Performers – Holdings
Contribution | ||||
NetSuite, Inc. | –0.32% | |||
Precision Castparts Corp. | –0.29% | |||
Canadian Pacific Railway, Ltd. | –0.26% | |||
Union Pacific Corp. | –0.25% | |||
athenahealth, Inc. | –0.25% |
5 Top Performers – Sectors*
Portfolio Weighting | Russell 1000® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Health Care | 2.07% | 19.80% | 14.46% | |||||||||
Information Technology | 0.77% | 31.26% | 28.58% | |||||||||
Consumer Discretionary | 0.31% | 17.21% | 18.79% | |||||||||
Financials | 0.31% | 3.91% | 5.23% | |||||||||
Telecommunication Services | 0.27% | 0.63% | 2.15% |
5 Bottom Performers – Sectors*
Portfolio Weighting | Russell 1000® Growth | |||||||||||
Portfolio Contribution | (Average % of Equity) | Index Weighting | ||||||||||
Protection Component** | –0.60% | 5.55% | 0.00% | |||||||||
Industrials | –0.27% | 10.47% | 11.74% | |||||||||
Energy | –0.23% | 2.19% | 4.46% | |||||||||
Materials | –0.16% | 3.82% | 3.98% | |||||||||
Consumer Staples | –0.13% | 5.16% | 10.52% |
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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(unaudited)
5 Largest Equity Holdings – (% of Net Assets)
As of June 30, 2015
Apple, Inc. Technology Hardware, Storage & Peripherals | 5.6% | |||
Allergan PLC Pharmaceuticals | 3.3% | |||
MasterCard, Inc. – Class A Information Technology Services | 2.4% | |||
Home Depot, Inc. Specialty Retail | 2.3% | |||
Facebook, Inc. – Class A Internet Software & Services | 2.3% | |||
15.9% |
Asset Allocation – (% of Net Assets)
As of June 30, 2015
*Includes Other of (1.7)%.
Top Country Allocations – Long Positions (% of Investment Securities)
As of June 30, 2015
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Janus Aspen Preservation Series - Growth (unaudited)
Performance
Average Annual Total Return – for the periods ended June 30, 2015 | Expense Ratios – per the May 1, 2015 prospectuses | ||||||||||
Fiscal | One | Since | Total Annual Fund | Net Annual Fund | |||||||
Year-to-Date | Year | Inception* | Operating Expenses | Operating Expenses | |||||||
Janus Aspen Preservation Series – Growth – Institutional Shares | 5.28% | 10.89% | 13.59% | 3.80% | 1.37% | ||||||
Janus Aspen Preservation Series – Growth – Service Shares | 5.16% | 10.56% | 13.31% | 4.05% | 1.62% | ||||||
Russell 1000® Growth Index | 3.96% | 10.56% | 18.03% | ||||||||
Preservation Series – Growth Blended Index | 2.42% | 6.33% | 10.63% | ||||||||
Morningstar Quartile – Institutional Shares | – | 2nd | 4th | ||||||||
Morningstar Ranking – based on total returns for Large Growth Funds | – | 643/1,743 | 1,593/1,676 | ||||||||
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS(52687) or visit janus.com/variable-insurance.
Net expense ratios reflect the expense waiver, if any, Janus Capital has contractually agreed to through May 1, 2016, and include a Capital Protection Fee that can fluctuate between 0.60% and 0.75%.
The Portfolio is not a capital guaranteed or insured portfolio. As with all investments, there are inherent risks when investing in the Portfolio including, but not limited to, allocation risk, maximum settlement amount risk, turnover risk, liquidation risk, opportunity cost risk, capital protection termination risk, underperformance risk and counterparty risk, each as disclosed in the Portfolio’s Prospectuses. The protection feature only covers shareholders who hold their shares on the termination date, and is subject to various conditions and the financial payment capabilities of BNP Paribas, the Capital Protection Provider, as described in the Notes to Financial Statements.
The Capital Protection Agreement is a financial product that is intended to protect the Portfolio against significant market declines and does not in any way constitute any form of insurance. The Capital Protection Provider is not an insurance company or an insurance provider, nor is it acting as an adviser or subadviser for the Portfolio.
The Portfolio’s asset allocation will vary over time depending on market conditions and therefore the Portfolio’s allocation to each investment component could change as frequently as daily resulting in a higher portfolio turnover rate than other mutual funds. Increased portfolio turnover may result in higher costs, which may have a negative effect on the Portfolio’s performance.
Amounts owed by the Capital Protection Provider under the Capital Protection Agreement are owed directly to the Portfolio and not to the Portfolio’s shareholders. As a result, a shareholder’s ability to receive the Protected NAV from the Portfolio is dependent on the Portfolio’s ability to collect any settlement amount due from the Capital Protection Provider, and/or its parent guarantor pursuant to the terms of the Capital Protection Agreement. Portfolio transactions involving a counterparty, such as the Capital Protection Provider and/or its parent guarantor, are subject to the risk that the counterparty will not fulfill its obligation to the Portfolio. Counterparty risk may arise because of the counterparty’s financial condition (i.e. financial difficulties, bankruptcy or insolvency), market activities or developments, or other reasons, whether foreseen or not. As such the Portfolio’s ability to benefit from the Protection may depend on the Capital Protection Provider’s, as well as its parent guarantor’s, financial condition.
See important disclosures on the next page.
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(unaudited)
Although the risk allocation methodology is designed so that the NAV of any share class does not fall below its Protected NAV, there is the possibility that the risk allocation methodology may not work as designed and the NAV of any share class may fall below its Protected NAV. If this happens, it is expected that the Portfolio will receive payment of the Settlement Amount from the Capital Protection Provider, if due, and commence the liquidation process as soon as possible following the event.
It is possible that under the terms of the Capital Protection Agreement, the Portfolio’s allocation to the Equity Component could drop to a low level or be eliminated altogether, especially during periods of heightened volatility in the equity markets. This would reduce the Portfolio’s ability to participate in upward equity market movements and therefore, represents loss of opportunity compared to a portfolio that is fully invested in equities and may cause the Portfolio to underperform its primary benchmark and/or other similarly situated growth funds. As a result, the Portfolio may not achieve its investment objective.
The Portfolio uses short index futures and other types of derivatives in attempt to hedge risk. Derivatives can be highly volatile and involve risks in addition to the risks of the underlying referenced securities. Gains or losses from a derivative can be substantially greater than the derivative’s original cost, and can therefore involve leverage.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
* | The Portfolio’s inception date – January 3, 2012 |
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Janus Aspen Preservation Series - Growth (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; the capital protection fee; 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. 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.
Hypothetical | ||||||||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid During | Account | Account | Paid During | Net Annualized | ||||||||||||||||||||||||
Value | Value | Period | Value | Value | Period | Expense Ratio | ||||||||||||||||||||||||
(1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15) | (6/30/15) | (1/1/15 - 6/30/15)† | (1/1/15 - 6/30/15) | ||||||||||||||||||||||||
Institutional Shares | $ | 1,000.00 | $ | 1,052.80 | $ | 7.02 | $ | 1,000.00 | $ | 1,017.95 | $ | 6.90 | 1.38% | |||||||||||||||||
Service Shares | $ | 1,000.00 | $ | 1,051.60 | $ | 8.29 | $ | 1,000.00 | $ | 1,016.71 | $ | 8.15 | 1.63% | |||||||||||||||||
† | 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 Aspen Preservation Series – Growth
Schedule of Investments (unaudited)
As of June 30, 2015
Shares/Principal/Contract Amounts | Value | |||||||||
Common Stocks – 94.3% | ||||||||||
Aerospace & Defense – 2.0% | ||||||||||
407 | Honeywell International, Inc. | $ | 41,502 | |||||||
101 | Precision Castparts Corp. | 20,187 | ||||||||
61,689 | ||||||||||
Airlines – 0.4% | ||||||||||
340 | Southwest Airlines Co. | 11,251 | ||||||||
Auto Components – 0.9% | ||||||||||
309 | Delphi Automotive PLC | 26,293 | ||||||||
Beverages – 0.4% | ||||||||||
159 | Diageo PLC | 4,599 | ||||||||
157 | SABMiller PLC | 8,149 | ||||||||
12,748 | ||||||||||
Biotechnology – 5.7% | ||||||||||
308 | Amgen, Inc. | 47,284 | ||||||||
140 | Biogen, Inc.* | 56,552 | ||||||||
302 | Celgene Corp.* | 34,952 | ||||||||
63 | Regeneron Pharmaceuticals, Inc.* | 32,138 | ||||||||
170,926 | ||||||||||
Capital Markets – 0.6% | ||||||||||
598 | Charles Schwab Corp. | 19,525 | ||||||||
Chemicals – 3.3% | ||||||||||
450 | Air Products & Chemicals, Inc. | 61,573 | ||||||||
341 | PPG Industries, Inc. | 39,120 | ||||||||
100,693 | ||||||||||
Communications Equipment – 1.4% | ||||||||||
473 | Motorola Solutions, Inc. | 27,122 | ||||||||
261 | QUALCOMM, Inc. | 16,346 | ||||||||
43,468 | ||||||||||
Electrical Equipment – 2.2% | ||||||||||
1,132 | Sensata Technologies Holding NV* | 59,702 | ||||||||
151 | SolarCity Corp.* | 8,086 | ||||||||
67,788 | ||||||||||
Electronic Equipment, Instruments & Components – 1.1% | ||||||||||
309 | Amphenol Corp. – Class A | 17,913 | ||||||||
229 | TE Connectivity, Ltd. (U.S. Shares) | 14,724 | ||||||||
32,637 | ||||||||||
Energy Equipment & Services – 0.4% | ||||||||||
197 | Baker Hughes, Inc. | 12,155 | ||||||||
Food & Staples Retailing – 2.1% | ||||||||||
542 | Kroger Co. | 39,300 | ||||||||
671 | Sysco Corp. | 24,223 | ||||||||
63,523 | ||||||||||
Food Products – 1.2% | ||||||||||
409 | Hershey Co. | 36,331 | ||||||||
Health Care Equipment & Supplies – 0.6% | ||||||||||
974 | Boston Scientific Corp.* | 17,240 | ||||||||
Health Care Technology – 0.9% | ||||||||||
231 | athenahealth, Inc.* | 26,468 | ||||||||
Hotels, Restaurants & Leisure – 4.1% | ||||||||||
74 | Chipotle Mexican Grill, Inc.* | 44,769 | ||||||||
636 | Dunkin’ Brands Group, Inc. | 34,980 | ||||||||
250 | Norwegian Cruise Line Holdings, Ltd.* | 14,010 | ||||||||
573 | Starbucks Corp. | 30,722 | ||||||||
124,481 | ||||||||||
Household Products – 1.5% | ||||||||||
229 | Colgate-Palmolive Co. | 14,979 | ||||||||
299 | Kimberly-Clark Corp. | 31,685 | ||||||||
46,664 | ||||||||||
Information Technology Services – 4.1% | ||||||||||
774 | MasterCard, Inc. – Class A | 72,353 | ||||||||
747 | Visa, Inc. – Class A | 50,161 | ||||||||
122,514 | ||||||||||
Insurance – 1.0% | ||||||||||
313 | Aon PLC | 31,200 | ||||||||
Internet & Catalog Retail – 2.3% | ||||||||||
87 | Amazon.com, Inc.* | 37,766 | ||||||||
147 | Ctrip.com International, Ltd. (ADR)* | 10,675 | ||||||||
17 | Priceline Group, Inc.* | 19,573 | ||||||||
68,014 | ||||||||||
Internet Software & Services – 7.1% | ||||||||||
192 | Alibaba Group Holding, Ltd. (ADR)* | 15,796 | ||||||||
135 | CoStar Group, Inc.* | 27,170 | ||||||||
792 | Facebook, Inc. – Class A* | 67,926 | ||||||||
58 | Google, Inc. – Class A*,† | 31,322 | ||||||||
121 | Google, Inc. – Class C | 62,982 | ||||||||
38 | LinkedIn Corp. – Class A* | 7,852 | ||||||||
213,048 | ||||||||||
Leisure Products – 0.5% | ||||||||||
110 | Polaris Industries, Inc. | 16,292 | ||||||||
Machinery – 1.5% | ||||||||||
969 | Colfax Corp.* | 44,719 | ||||||||
Media – 4.3% | ||||||||||
931 | Comcast Corp. – Class A | 55,990 | ||||||||
430 | Liberty Global PLC – Class C* | 21,771 | ||||||||
671 | Twenty-First Century Fox, Inc. – Class A | 21,838 | ||||||||
253 | Walt Disney Co. | 28,877 | ||||||||
128,476 | ||||||||||
Multiline Retail – 0.5% | ||||||||||
196 | Dollar Tree, Inc.* | 15,482 | ||||||||
Oil, Gas & Consumable Fuels – 1.0% | ||||||||||
156 | Anadarko Petroleum Corp. | 12,177 | ||||||||
277 | Antero Resources Corp.* | 9,512 | ||||||||
404 | Southwestern Energy Co.* | 9,183 | ||||||||
30,872 | ||||||||||
Personal Products – 0.6% | ||||||||||
203 | Estee Lauder Cos., Inc. – Class A | 17,592 | ||||||||
Pharmaceuticals – 12.2% | ||||||||||
753 | AbbVie, Inc. | 50,594 | ||||||||
331 | Allergan PLC* | 100,446 | ||||||||
628 | Bristol-Myers Squibb Co. | 41,787 | ||||||||
259 | Eli Lilly & Co. | 21,624 | ||||||||
826 | Endo International PLC* | 65,791 | ||||||||
175 | Jazz Pharmaceuticals PLC* | 30,812 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
Janus Aspen Series | 9
Table of Contents
Janus Aspen Preservation Series – Growth
Schedule of Investments (unaudited)
As of June 30, 2015
Shares/Principal/Contract Amounts | Value | |||||||||
Pharmaceuticals – (continued) | ||||||||||
253 | Mallinckrodt PLC* | $ | 29,783 | |||||||
120 | Valeant Pharmaceuticals International, Inc. (U.S. Shares)* | 26,658 | ||||||||
367,495 | ||||||||||
Professional Services – 1.0% | ||||||||||
396 | Verisk Analytics, Inc. – Class A* | 28,813 | ||||||||
Real Estate Investment Trusts (REITs) – 1.4% | ||||||||||
447 | American Tower Corp. | 41,701 | ||||||||
Real Estate Management & Development – 1.0% | ||||||||||
843 | CBRE Group, Inc. – Class A* | 31,191 | ||||||||
Road & Rail – 2.3% | ||||||||||
243 | Canadian Pacific Railway, Ltd. | 38,921 | ||||||||
315 | Union Pacific Corp. | 30,042 | ||||||||
68,963 | ||||||||||
Semiconductor & Semiconductor Equipment – 5.1% | ||||||||||
2,831 | ARM Holdings PLC | 46,120 | ||||||||
1,563 | Atmel Corp. | 15,403 | ||||||||
326 | Avago Technologies, Ltd. | 43,335 | ||||||||
952 | Freescale Semiconductor, Ltd.* | 38,052 | ||||||||
557 | Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 12,650 | ||||||||
155,560 | ||||||||||
Software – 7.1% | ||||||||||
238 | Adobe Systems, Inc.* | 19,280 | ||||||||
211 | ANSYS, Inc.* | 19,252 | ||||||||
2,523 | Cadence Design Systems, Inc.* | 49,602 | ||||||||
513 | NetSuite, Inc.* | 47,068 | ||||||||
582 | Salesforce.com, Inc.* | 40,525 | ||||||||
183 | ServiceNow, Inc.* | 13,599 | ||||||||
148 | Ultimate Software Group, Inc.* | 24,322 | ||||||||
213,648 | ||||||||||
Specialty Retail – 5.7% | ||||||||||
39 | AutoZone, Inc.* | 26,009 | ||||||||
619 | Home Depot, Inc. | 68,790 | ||||||||
887 | Sally Beauty Holdings, Inc.* | 28,011 | ||||||||
768 | TJX Cos., Inc. | 50,819 | ||||||||
173,629 | ||||||||||
Technology Hardware, Storage & Peripherals – 5.6% | ||||||||||
1,340 | Apple, Inc.† | 168,069 | ||||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||||
514 | Gildan Activewear, Inc. | 17,085 | ||||||||
Wireless Telecommunication Services – 0.6% | ||||||||||
490 | T-Mobile US, Inc.* | 18,997 | ||||||||
Total Common Stocks (cost $2,362,419) | 2,847,240 | |||||||||
U.S. Treasury Notes/Bonds – 1.0% | ||||||||||
$15,000 | 0.8750%, 11/30/16 | 15,088 | ||||||||
15,000 | 1.3750%, 12/31/18 | 15,085 | ||||||||
Total U.S. Treasury Notes/Bonds (cost $30,000) | 30,173 | |||||||||
Investment Companies – 6.4% | ||||||||||
Money Markets – 6.4% | ||||||||||
191,984 | Janus Cash Liquidity Fund LLC, 0.1291%°°,£ (cost $191,984) | 191,984 | ||||||||
Capital Protection Agreement – 0% | ||||||||||
1 | Janus Aspen Preservation Series - Growth with BNP Paribas Prime Brokerage, Inc. exercise price at 6/30/15 $10.13-$10.23*,§ (cost $0) | 0 | ||||||||
Total Investments (total cost $2,584,403) – 101.7% | 3,069,397 | |||||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.7)% | (50,587) | |||||||||
Net Assets – 100% | $ | 3,018,810 | ||||||||
Summary of Investments by Country – (Long Positions) (unaudited)
% of Investment | ||||||||
Country | Value | Securities | ||||||
United States | $ | 2,847,976 | 92 | .8% | ||||
Canada | 82,664 | 2 | .7 | |||||
United Kingdom | 80,639 | 2 | .6 | |||||
China | 26,471 | 0 | .9 | |||||
Germany | 18,997 | 0 | .6 | |||||
Taiwan | 12,650 | 0 | .4 | |||||
Total | $ | 3,069,397 | 100 | .0% | ||||
Schedule of Forward Currency Contracts, Open
Unrealized | |||||||||||||
Currency | Currency | Appreciation/ | |||||||||||
Counterparty/Currency and Settlement Date | Units Sold | Value | (Depreciation) | ||||||||||
Credit Suisse International: | |||||||||||||
British Pound 7/16/15 | 2,270 | $ | 3,566 | $ | 28 | ||||||||
British Pound 7/16/15 | 27,700 | 43,512 | (677) | ||||||||||
Chinese Renminbi 7/16/15 | 125,400 | 20,181 | (25) | ||||||||||
Taiwan Dollar 7/16/15 | 309,000 | 10,016 | (21) | ||||||||||
77,275 | (695) | ||||||||||||
HSBC Securities (USA), Inc.: Canadian Dollar 7/23/15 | 80,600 | 64,523 | 1,180 | ||||||||||
Total | $ | 141,798 | $ | 485 | |||||||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.
10 | JUNE 30, 2015
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited)
Preservation Series – Growth Blended Index | An internally-calculated, hypothetical combination of total returns from the Russell 1000® Growth Index (60%) and the Citigroup 3-Month U.S. Treasury Bill Index (40%). | |
Russell 1000® Growth Index | Measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. | |
ADR | American Depositary Receipt | |
LLC | Limited Liability Company | |
PLC | Public Limited Company | |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. | |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of June 30, 2015, is noted below. |
Portfolio | Aggregate Value | ||||
Janus Aspen Preservation Series – Growth | $ | 137,968 | |||
°° | Rate shown is the 7-day yield as of June 30, 2015. | |
§ | Schedule of Restricted and Illiquid Securities (as of June 30, 2015) |
Acquisition | Acquisition | Value as a | ||||||||||||
Date | Cost | Value | % of Net Assets | |||||||||||
Janus Aspen Preservation Series – Growth | ||||||||||||||
Capital Protection Agreement | 1/3/12 | $ | 0 | $ | 0 | 0.0 | % | |||||||
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the period ended June 30, 2015. Unless otherwise indicated, all information in the table is for the period ended June 30, 2015. |
Share | Share | ||||||||||||||||||||
Balance | Balance | Realized | Dividend | Value | |||||||||||||||||
at 12/31/14 | Purchases | Sales | at 6/30/15 | Gain/(Loss) | Income | at 6/30/15 | |||||||||||||||
Janus Aspen Preservation Series – Growth | |||||||||||||||||||||
Janus Cash Liquidity Fund LLC | 557,763 | 5,073,221 | (5,439,000) | 191,984 | $ | – | $ | 218 | $ | 191,984 | |||||||||||
Janus Aspen Series | 11
Table of Contents
Notes to Schedule of Investments and Other Information (unaudited) (continued)
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, 2015. See Notes to Financial Statements for more information.
Valuation Inputs Summary (as of June 30, 2015)
Level 2 – Other Significant | Level 3 – Significant | ||||||||||
Level 1 – Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||
Janus Aspen Preservation Series – Growth | |||||||||||
Assets | |||||||||||
Investments in Securities: | |||||||||||
Common Stocks | $ | 2,847,240 | $ | – | $ | – | |||||
U.S. Treasury Notes/Bonds | – | 30,173 | – | ||||||||
Investment Companies | – | 191,984 | – | ||||||||
Total Investments in Securities | $ | 2,847,240 | $ | 222,157 | $ | – | |||||
Other Financial Instruments(a): | |||||||||||
Capital Protection Agreement | $ | – | $ | – | $ | 0 | |||||
Forward Currency Contracts | – | 1,208 | – | ||||||||
Total Assets | $ | 2,847,240 | $ | 223,365 | $ | 0 | |||||
Liabilities | |||||||||||
Other Financial Instruments(a): | |||||||||||
Forward Currency Contracts | $ | – | $ | 723 | $ | – | |||||
(a) | Other financial instruments include the capital protection agreement, forward currency, futures, written options, zero strike options, and swap contracts. Forward currency contracts and zero strike options are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. The capital protection agreement, written options, and swap contracts are reported at their market value at measurement date. |
12 | JUNE 30, 2015
Table of Contents
Statement of Assets and Liabilities
Janus Aspen | ||||||||||
Preservation | ||||||||||
As of June 30, 2015 (unaudited) | Series - Growth | |||||||||
Assets: | ||||||||||
Investments, at cost | $ | 2,584,403 | ||||||||
Unaffiliated investments, at value | $ | 2,877,413 | ||||||||
Affiliated investments, at value | 191,984 | |||||||||
Capital protection agreement (Note 1) | 0 | |||||||||
Cash | 955 | |||||||||
Forward currency contracts | 1,208 | |||||||||
Non-interested Trustees’ deferred compensation | 60 | |||||||||
Receivables: | ||||||||||
Dividends | 2,641 | |||||||||
Dividends from affiliates | 45 | |||||||||
Foreign dividend tax reclaim | 74 | |||||||||
Interest | 12 | |||||||||
Due from adviser | 13,327 | |||||||||
Total Assets | 3,087,719 | |||||||||
Liabilities: | ||||||||||
Forward currency contracts | 723 | |||||||||
Closed foreign currency contracts | 1,036 | |||||||||
Payables: | ||||||||||
Investments purchased | 4,087 | |||||||||
Advisory fees | 2,977 | |||||||||
Capital protection fee | 2,791 | |||||||||
Portfolio administration fees | 44 | |||||||||
Transfer agent fees and expenses | 179 | |||||||||
12b-1 Distribution and shareholder servicing fees | 578 | |||||||||
Non-interested Trustees’ fees and expenses | 49 | |||||||||
Non-interested Trustees’ deferred compensation fees | 60 | |||||||||
Accrued expenses and other payables | 56,385 | |||||||||
Total Liabilities | 68,909 | |||||||||
Net Assets | $ | 3,018,810 | ||||||||
Net Assets Consist of: | ||||||||||
Capital (par value and paid-in surplus) | $ | 1,547,781 | ||||||||
Undistributed net investment income/(loss) | (25,289) | |||||||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 1,010,836 | |||||||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 485,482 | |||||||||
Total Net Assets | $ | 3,018,810 | ||||||||
Net Assets - Institutional Shares | $ | 1,526,291 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 123,522 | |||||||||
Net Asset Value Per Share | $ | 12.36 | ||||||||
Protected Net Asset Value Per Share(1) | $ | 10.23 | ||||||||
Net Assets - Service Shares | $ | 1,492,519 | ||||||||
Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 122,069 | |||||||||
Net Asset Value Per Share | $ | 12.23 | ||||||||
Protected Net Asset Value Per Share(1) | $ | 10.13 |
(1) | The Protected NAV is the protection feature of the Portfolio and is calculated at 80% of the highest previously achieved NAV, reduced for dividends, distributions, any extraordinary expenses, and certain extraordinary items. Shareholders cannot transact purchases or redemptions at the Protected NAV. |
See Notes to Financial Statements.
Janus Aspen Series | 13
Table of Contents
Statement of Operations
Janus Aspen | ||||||
Preservation | ||||||
For the period ended June 30, 2015 (unaudited) | Series - Growth | |||||
Investment Income: | ||||||
Interest | $ | 166 | ||||
Dividends | 29,204 | |||||
Dividends from affiliates | 218 | |||||
Other income | 455 | |||||
Foreign tax withheld | (161) | |||||
Total Investment Income | 29,882 | |||||
Expenses: | ||||||
Advisory fees | 23,328 | |||||
12b-1 Distribution and shareholder servicing fees: | ||||||
Service Shares | 4,537 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 194 | |||||
Service Shares | 205 | |||||
Capital protection fee | 22,184 | |||||
Shareholder reports expense | 24,765 | |||||
Registration fees | 19,442 | |||||
Custodian fees | 5,891 | |||||
Professional fees | 16,598 | |||||
Non-interested Trustees’ fees and expenses | 102 | |||||
Portfolio administration fees | 307 | |||||
Accounting systems fee expense | 12,243 | |||||
Other expenses | 117 | |||||
Total Expenses | 129,913 | |||||
Less: Excess Expense Reimbursement | (74,818) | |||||
Net Expenses | 55,095 | |||||
Net Investment Income/(Loss) | (25,213) | |||||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments and foreign currency transactions | 1,102,660 | |||||
Futures contracts | (10,556) | |||||
Purchased options - zero strike calls | (4,890) | |||||
Total Net Realized Gain/(Loss) on Investments | 1,087,214 | |||||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (627,402) | |||||
Purchased options - zero strike calls | 3,103 | |||||
Total Change in Unrealized Net Appreciation/Depreciation | (624,299) | |||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 437,702 |
See Notes to Financial Statements.
14 | JUNE 30, 2015
Table of Contents
Statements of Changes in Net Assets
Janus Aspen | ||||||||||
Preservation Series - Growth | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (25,213) | $ | (43,716) | ||||||
Net realized gain/(loss) on investments | 1,087,214 | 965,612 | ||||||||
Change in unrealized net appreciation/depreciation | (624,299) | (390,349) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | 437,702 | 531,547 | ||||||||
Dividends and Distributions to Shareholders: | ||||||||||
Net Realized Gain from Investment Transactions | ||||||||||
Institutional Shares | (64,962) | (499,540) | ||||||||
Service Shares | (64,168) | (499,697) | ||||||||
Net Decrease from Dividends and Distributions to Shareholders | (129,130) | (999,237) | ||||||||
Capital Share Transactions: | ||||||||||
Reinvested Dividends and Distributions | ||||||||||
Institutional Shares | 64,962 | 499,540 | ||||||||
Service Shares | 64,168 | 499,697 | ||||||||
Shares Repurchased | ||||||||||
Institutional Shares | (2,400,000) | – | ||||||||
Service Shares | (2,400,000) | – | ||||||||
Net Increase/(Decrease) from Capital Share Transactions | (4,670,870) | 999,237 | ||||||||
Net Increase/(Decrease) in Net Assets | (4,362,298) | 531,547 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 7,381,108 | 6,849,561 | ||||||||
End of period | $ | 3,018,810 | $ | 7,381,108 | ||||||
Undistributed Net Investment Income/(Loss) | $ | (25,289) | $ | (76) |
See Notes to Financial Statements.
Janus Aspen Series | 15
Table of Contents
Financial Highlights
Institutional Shares
For a share outstanding during the period ended June 30, 2015 (unaudited) and each | Janus Aspen Preservation Series – Growth | |||||||||||||||||
year or period ended December 31 | 2015 | 2014 | 2013 | 2012(1) | ||||||||||||||
Net Asset Value, Beginning of Period | $12.25 | $13.14 | $10.84 | $10.00 | ||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | (0.04)(2) | (0.07)(2) | 0.01 | 0.01 | ||||||||||||||
Net realized and unrealized gain/(loss) | 0.70 | 1.06 | 2.86 | 0.83 | ||||||||||||||
Total from Investment Operations | 0.66 | 0.99 | 2.87 | 0.84 | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | – | – | – | – | ||||||||||||||
Distributions (from capital gains) | (0.55) | (1.88) | (0.57) | – | ||||||||||||||
Total Dividends and Distributions | (0.55) | (1.88) | (0.57) | – | ||||||||||||||
Net Asset Value, End of Period | $12.36 | $12.25 | $13.14 | $10.84 | ||||||||||||||
Total Return* | 5.28% | 7.94% | 26.66% | 8.40% | ||||||||||||||
Net Assets, End of Period (in thousands) | $1,526 | $3,704 | $3,434 | $2,709 | ||||||||||||||
Average Net Assets for the Period (in thousands) | $3,712 | $3,485 | $3,009 | $2,689 | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||
Ratio of Gross Expenses** | 3.42% | 3.80% | 3.95% | 4.52% | ||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 1.38% | 1.39% | 1.41% | 1.42% | ||||||||||||||
Ratio of Net Investment Income/(Loss)** | (0.56)% | (0.50)% | (0.24)% | (0.02)% | ||||||||||||||
Portfolio Turnover Rate | 32% | 90% | 67% | 107% |
Service Shares
For a share outstanding during the period ended June 30, 2015 (unaudited) and each | Janus Aspen Preservation Series – Growth | |||||||||||||||||
year or period ended December 31 | 2015 | 2014 | 2013 | 2012(1) | ||||||||||||||
Net Asset Value, Beginning of Period | $12.14 | $13.08 | $10.81 | $10.00 | ||||||||||||||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | (0.05)(2) | (0.10)(2) | (0.01) | (0.01) | ||||||||||||||
Net realized and unrealized gain/(loss) | 0.69 | 1.04 | 2.85 | 0.82 | ||||||||||||||
Total from Investment Operations | 0.64 | 0.94 | 2.84 | 0.81 | ||||||||||||||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | – | – | – | – | ||||||||||||||
Distributions (from capital gains) | (0.55) | (1.88) | (0.57) | – | ||||||||||||||
Total Dividends and Distributions | (0.55) | (1.88) | (0.57) | – | ||||||||||||||
Net Asset Value, End of Period | $12.23 | $12.14 | $13.08 | $10.81 | ||||||||||||||
Total Return* | 5.16% | 7.58% | 26.45% | 8.10% | ||||||||||||||
Net Assets, End of Period (in thousands) | $1,493 | $3,677 | $3,416 | $2,703 | ||||||||||||||
Average Net Assets for the Period (in thousands) | $3,680 | $3,463 | $2,998 | $2,686 | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||
Ratio of Gross Expenses** | 3.67% | 4.05% | 4.20% | 4.77% | ||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets)** | 1.63% | 1.64% | 1.66% | 1.67% | ||||||||||||||
Ratio of Net Investment Income/(Loss)** | (0.81)% | (0.75)% | (0.49)% | (0.27)% | ||||||||||||||
Portfolio Turnover Rate | 32% | 90% | 67% | 107% |
* | Total return not annualized for periods of less than one full year. | |
** | Annualized for periods of less than one full year. | |
(1) | Period from January 3, 2012 (inception date) through December 31, 2012. | |
(2) | Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements.
16 | JUNE 30, 2015
Table of Contents
Notes to Financial Statements (unaudited)
1. | Organization and Significant Accounting Policies |
Janus Aspen Preservation Series – Growth (the “Portfolio”) is a series fund. The Portfolio is part of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers thirteen Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in equity securities. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. 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.
Capital Protection Agreement
BNP Paribas Prime Brokerage, Inc., a U.S. registered broker-dealer, is the Portfolio’s Capital Protection Provider. Pursuant to the Capital Protection Agreement entered into by the Capital Protection Provider and the Portfolio, the Capital Protection Provider has agreed to provide capital protection to protect against a decrease in the NAV per share for each share class of the Portfolio below 80% of the highest NAV per share for the share class attained since the inception of the share class, reduced for dividends, distributions, any extraordinary expenses, and certain extraordinary items, provided the terms and conditions of the Capital Protection Agreement are satisfied and the agreement is not otherwise void. For this capital protection, the Portfolio pays the Capital Protection Provider, under the Capital Protection Agreement, a fee equal to 0.75% of the aggregate protected amount, which is calculated daily and paid monthly. Because the capital protection fee is based on the aggregate protected assets of the Portfolio rather than on the Portfolio’s total net assets, it can fluctuate between 0.60% and 0.75% of the Portfolio’s total net assets.
BNP Paribas, the Parent Guarantor and the Capital Protection Provider’s ultimate parent company, has provided an irrevocable guaranty pursuant to which it guarantees any and all financial obligations of the Capital Protection Provider to pay or deliver payment on its obligations under the Capital Protection Agreement to the extent that the Capital Protection Provider is obligated to pay. The Capital Protection Provider is a subsidiary of the Parent Guarantor and is a U.S. registered broker-dealer. Under the Parent Guaranty, the Parent Guarantor can assert the same defenses, rights, set offs, or counterclaims as the Capital Protection Provider would have under the Capital Protection Agreement.
Neither the Capital Protection Provider nor the Parent Guarantor is an insurance company or an insurance provider. Nor is the Capital Protection Provider, the Parent Guarantor, or any of their affiliates acting as an investment adviser or subadviser to the Portfolio. The Settlement Amount under the Capital Protection Agreement is owed directly to the Portfolio and not the Portfolio’s investors. Therefore, as a shareholder you will not have any action against or recourse to the Capital Protection Provider or the Parent Guarantor. Further, no shareholder will have any right to receive payment, or any other rights whatsoever, under the Capital Protection Agreement or the Parent Guaranty.
The Capital Protection Agreement is valued at the greater of $0.00 or the Protected NAV less the NAV per share, which approximates fair value.
The Protected NAV for each share class, as well as the percentages of the Portfolio’s assets that are allocated between the Equity Component and the Protection Component, will be posted on the Janus website at janus.com/variable-insurance. Please refer to the Portfolio’s Prospectuses for information regarding how the Protection works in the event it is triggered and the Portfolio proceeds to liquidation, as well as how the Protection is calculated to help you understand the 80% protection of the NAV per share.
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
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Notes to Financial Statements (unaudited) (continued)
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 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, 2015 to fair value the Portfolio’s investments in securities and other financial instruments is
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included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2015.
The following table shows the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
Transfers Out of | ||||||
Level 2 | ||||||
Portfolio | to Level 1 | |||||
Janus Aspen Preservation Series - Growth | $ | 248,816 | ||||
Financial assets were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class. Expenses include the fee paid to the Capital Protection Provider. Because the fee is based on the aggregate protected assets of the Fund, it can fluctuate between 0.60% and 0.75%.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any). The Portfolio may treat a portion of its payment to a redeeming shareholder, which represents the pro rata share of undistributed net investment income and net
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Notes to Financial Statements (unaudited) (continued)
realized gains, as a distribution for federal income tax purposes (tax equalization).
Because the payment of dividends and distributions could have the effect of reducing the Portfolio’s NAV as a result of the reduction in the aggregate value of the Portfolio’s assets, any such distribution made during the term of the Capital Protection Agreement, including distributions made before the investment by the shareholder, will reduce the Protected NAV of each share class and therefore the amount of protection afforded to the Portfolio by the Capital Protection Provider. This means that the Protected NAV could be less than 80% of the highest previously attained NAV. Janus Capital intends to estimate dividends payable prior to any distribution date in an effort to minimize the impact of such distributions to the Protected NAV. There is no guarantee that Janus Capital will be successful in doing so. Incorrect estimates could impact the dividend calculation methodology and affect the Protected NAV per share. Please refer to the Portfolio’s Prospectuses for additional examples of how distributions will affect the Protected NAV.
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. | Derivative Instruments |
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the period ended June 30, 2015 is discussed in further detail below. A summary of derivative activity is reflected in the tables at the end of this section.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions) to adjust currency exposure relative to a benchmark index or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
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:
• | 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 |
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risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. |
• | Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease. | |
• | Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested. | |
• | Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. |
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported on 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.
The following table provides average ending monthly currency value amounts on sold forward currency contracts during the period ended June 30, 2015.
Portfolio | Sold | |||||
Janus Aspen Preservation Series - Growth | $ | 217,641 | ||||
Futures Contracts
A futures contract is an exchange-traded agreement to take or make delivery of an underlying asset at a specific time in the future for a specific predetermined negotiated price. The Portfolio may enter into futures contracts to gain exposure to the stock market or other markets pending investment of cash balances or to meet liquidity needs. The Portfolio is subject to interest rate risk, equity risk, and currency risk in the normal course of pursuing its investment objective through its investments in futures contracts. The Portfolio may also use such derivative instruments to hedge or protect from adverse movements in securities prices, currency rates or interest rates. The
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Notes to Financial Statements (unaudited) (continued)
use of futures contracts may involve risks such as the possibility of illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
Futures contracts on commodities are valued at the settlement price on valuation date on the commodities exchange as reported by an approved vendor. Mini contracts, as defined in the description of the contract, shall be valued using the Actual Settlement Price or “ASET” price type as reported by an approved vendor. In the event that foreign futures trade when the foreign equity markets are closed, the last foreign futures trade price shall be used. Futures contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities (if applicable). The change in unrealized net appreciation/(depreciation) is reported on the Statement of Operations (if applicable). When a contract is closed, a realized gain or loss is reported on the Statement of Operations (if applicable), equal to the difference between the opening and closing value of the contract. Securities held by the Portfolio that are designated as collateral for market value on futures contracts are noted on the Schedule of Investments (if applicable). Such collateral is in the possession of the Portfolio’s futures commission merchant.
With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
During the period, the Portfolio purchased futures on equity indices to increase exposure to equity risk.
During the period, the Portfolio sold futures on equity indices to decrease exposure to equity risk.
Options Contracts
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price on or before a specified date. The purchaser pays a premium to the seller for this right. The seller has the corresponding obligation to sell or buy a financial instrument if the purchaser (owner) “exercises” the option. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option are adjusted by the amount of premium received or paid. Upon expiration, or closing of the option transaction, a realized gain or loss is reported on the Statement of Operations (if applicable). The difference between the premium paid/received and the market value of the option is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported on the Statement of Operations (if applicable). Option contracts are typically valued using an approved vendor’s option valuation model. To the extent reliable market quotations are available, option contracts are valued using market quotations. In cases when an approved vendor cannot provide coverage for an option and there is no reliable market quotation, a broker quotation or an internal valuation using the Black-Scholes model, the Cox-Rubenstein Binomial Option Pricing Model, or other appropriate option pricing model is used. Certain options contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities as “Variation margin receivable” or “Variation margin payable” (if applicable).
The Portfolio may use options contracts to hedge against changes in interest rates, the values of equities, or foreign currencies. The Portfolio generally invests in options to hedge against adverse movements in the value of portfolio holdings. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. A lack of correlation between the value of an instrument underlying an option and the asset being hedged, or unexpected adverse price movements, could render the Portfolio’s hedging strategy unsuccessful. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased or sold. The Portfolio may be subject to counterparty risk, interest rate risk, liquidity risk, equity risk, commodity risk, and currency risk in the normal course of pursuing its investment objective through its investments in options contracts.
Options traded on an exchange are regulated and the terms of the options are standardized. Options traded OTC expose the Portfolios to counterparty risk in the event that the counterparty does not perform. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by having the counterparty post collateral to cover the Portfolio’s exposure to the counterparty. The Portfolio may purchase put options to hedge against a decline in the value of its portfolio. By using put options in this way, the Portfolio will reduce any profit it might otherwise have realized in the underlying security by the amount of the premium paid for the put option and by transaction costs. The Portfolio may purchase call options to hedge against an increase in the price of securities that it may buy in the future. The premium paid for the call option plus any transaction costs will reduce the benefit, if any, realized by such Portfolio upon exercise of the option, and, unless the price of the
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underlying security rises sufficiently, the option may expire worthless to the Portfolio. The risk in buying options is that the Portfolio pays a premium whether or not the options are exercised. Options purchased are reported in the Schedule of Investments (if applicable).
During the period, the Portfolio purchased call options on various equity indices for the purpose of increasing exposure to broad equity risk.
The following table provides average ending monthly market value amounts on purchased call options during the period ended June 30, 2015.
Portfolio | Purchased Zero-Strike Call Options | |||||
Janus Aspen Preservation Series - Growth | $ | 125,850 | ||||
Volatility Investments
The Portfolio may also utilize swaps, options, exchange-traded funds, exchange-traded notes, or other instruments for exposure to the Chicago Board Options Exchange Market Volatility Index (“VIX”) or another volatility index. Such investments would be used in accordance with the risk methodology under the Capital Protection Agreement and would be designed in an effort to limit losses in a sharp market decline. There is no guarantee that using such instruments would be effective in limiting losses, and the use of such instruments could impact the ability to increase returns. There are costs associated with entering into such investments, which can impact returns. The Capital Protection Provider may be the entity used to enter into a transaction related to the VIX and, if so, would receive compensation.
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, 2015.
Fair Value of Derivative Instruments as of June 30, 2015
Derivatives not accounted | Asset Derivatives | Liability Derivatives | ||||||||||
for as hedging instruments | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Janus Aspen Preservation Series - Growth | ||||||||||||
Capital Protection Agreement | Capital protection agreement | $ | 0 | |||||||||
Currency Contracts | Forward currency contracts | 1,208 | Forward currency contracts | $ | 723 | |||||||
Total | $ | 1,208 | $ | 723 | ||||||||
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, 2015.
The effect of Derivative Instruments on the Statement of Operations for the period ended June 30, 2015
Amount of Net Realized Gain/(Loss) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as | Purchased options - | |||||||||||||||
hedging instruments | Investments and foreign currency transactions | Futures contracts | zero strike calls | Total | ||||||||||||
Janus Aspen Preservation Series - Growth | ||||||||||||||||
Currency Contracts | $ | (14,214 | ) | $ | – | $ | – | $ | (14,214 | ) | ||||||
Equity Contracts | – | (10,556 | ) | (4,890 | ) | (15,446 | ) | |||||||||
Total | $ | (14,214 | ) | $ | (10,556 | ) | $ | (4,890 | ) | $ | (29,660 | ) | ||||
Change in Unrealized Net Appreciation/Depreciation on Derivatives Recognized in Income | ||||||||||||
Investments, foreign | ||||||||||||
currency translations and | ||||||||||||
Derivatives not accounted for as | non-interested Trustees’ | Purchased options - | ||||||||||
hedging instruments | deferred compensation | zero strike calls | Total | |||||||||
Janus Aspen Preservation Series - Growth | ||||||||||||
Capital Protection Agreement | $ | 0 | $ | – | $ | 0 | ||||||
Currency Contracts | 485 | – | 485 | |||||||||
Equity Contracts | – | 3,103 | 3,103 | |||||||||
Total | $ | 485 | $ | 3,103 | $ | 3,588 | ||||||
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
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Notes to Financial Statements (unaudited) (continued)
3. | Other Investments and Strategies |
Additional Investment Risk
As with all investments, there are inherent risks when investing in the Portfolio. The Portfolio’s participation in the Capital Protection Agreement also subjects the Portfolio to certain risks not generally associated with equity funds, including, but not limited to, allocation risk, maximum settlement amount risk, turnover risk, liquidation risk, opportunity cost risk, capital protection termination risk, underperformance risk, and counterparty risk. For information relating to these and other risks of investing in the Portfolio, as well as other general information about the Portfolio, please refer to the Portfolio’s Prospectuses and Statements of Additional Information.
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. Redemptions, particularly a large redemption, may impact the allocation process, and the NAV of any share class may fall below its Protected NAV. If this happens, it is expected that the Portfolio will receive payment of the Settlement Amount from the Capital Protection Provider, if due, and liquidate as soon as possible following the event. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
A number of countries in the European Union (“EU”) have experienced and may continue to experience severe economic and financial difficulties. As a result, financial markets in the EU have been subject to increased 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.
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, such as the Capital Protection Provider, 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 shareholder’s ability to receive the Protected NAV from the Portfolio is dependent on the Portfolio’s ability to collect any settlement from the Capital Protection Provider pursuant to the terms of the Capital Protection Agreement or from BNP Paribas, the parent company of the Capital Protection Provider (the “Parent Guarantor”), under a separate parent guaranty. As such, the Portfolio’s ability to benefit from the Protection may depend on the Capital Protection Provider’s, as well as its parent company’s, financial condition. As an added measure of protection, the Parent Guarantor has issued an absolute, irrevocable and continuing guaranty pursuant
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to which it guarantees any and all financial obligations of the Capital Protection Provider under the Capital Protection Agreement. There is, however, a risk that the Capital Protection Provider’s parent company may not fulfill its obligations under the guaranty it has issued. 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, 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. Under the terms of the Capital Protection Agreement, the Protected NAV of each share class will be reduced by any reductions in the NAV per share resulting from such events as, but not limited to, (i) the bankruptcy, insolvency, reorganization or default of a contractual counterparty of the Portfolio, including counterparties to derivatives transactions, and entities that hold cash or other assets of the Portfolio; (ii) any trade or pricing error of the Portfolio; and (iii) any realized or unrealized losses on any investment of the Portfolio in money market funds.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
The following tables present gross amounts of recognized assets and liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see either the “Fair Value of Derivative Instruments as of June 30, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Received(b) | Net Amount | ||||||||||||||
Credit Suisse International | $ | 28 | $ | (28) | $ | – | $ | – | ||||||||||
HSBC Securities (USA), Inc. | 1,180 | – | – | 1,180 | ||||||||||||||
Total | $ | 1,208 | $ | (28) | $ | – | $ | 1,180 | ||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities
Gross Amounts | ||||||||||||||||||
Counterparty | of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||||||||||||||
Credit Suisse International | $ | 723 | $ | (28) | $ | – | $ | 695 | ||||||||||
(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. |
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Notes to Financial Statements (unaudited) (continued)
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio will segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Sovereign Debt
The Portfolio may invest in U.S. and foreign government debt securities (“sovereign debt”). Investments in U.S. sovereign debt are considered low risk. However, investments in non-U.S. sovereign debt can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors, including its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest 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.
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 following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average | Contractual | |||||||||
Daily | Investment | |||||||||
Net Assets | Advisory | |||||||||
Portfolio | of the Portfolio | Fee (%) | ||||||||
Janus Aspen Preservation Series - Growth | All Asset Levels | 0.64 | ||||||||
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses in any fiscal year, including the investment advisory fee and the capital protection 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 shown below. Janus Capital has agreed to continue the waiver until at least May 1, 2016.
Expense | ||||||
Portfolio | Limit (%) | |||||
Janus Aspen Preservation Series - Growth | 1.35 - 1.50* | |||||
* | Varies based on the amount of the Capital Protection Fee. |
If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing and other shareholder services for the Portfolio.
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, a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service
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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 administrative 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 shareholder service expenses, and the payments may exceed 12b-1 distribution and shareholder service expenses actually incurred. If any of the Portfolio’s actual 12b-1 distribution and shareholder service expenses incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolios’ Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $21,949 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2015. The Portfolio’s portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2015 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2015 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $146,000 were paid by the Trust to a Trustee under the Deferred Plan during the period ended June 30, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio’s ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
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Notes to Financial Statements (unaudited) (continued)
As of June 30, 2015, shares of the Portfolio were owned by Janus Capital and/or other funds advised by Janus Capital, as indicated in the table below:
% of | % of | |||||||||
Class | Portfolio | |||||||||
Portfolio | Owned | Owned | ||||||||
Janus Aspen Preservation Series - Growth - Institutional Shares | 100 | % | 51 | % | ||||||
Janus Aspen Preservation Series - Growth - Service Shares | 100 | 49 | ||||||||
In addition, other 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).
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Net Tax | ||||||||||||||||||
Federal Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | (Depreciation) | ||||||||||||||
Janus Aspen Preservation Series - Growth | $ | 2,610,484 | $ | 492,360 | $ | (33,447) | $ | 458,913 | ||||||||||
6. | Capital Share Transactions |
Janus Aspen Preservation Series - Growth | ||||||||||
For the period ended June 30 (unaudited) and the year ended December 31 | 2015 | 2014 | ||||||||
Transactions in Portfolio Shares – Institutional Shares: | ||||||||||
Shares sold | – | – | ||||||||
Reinvested dividends and distributions | 5,140 | 41,217 | ||||||||
Shares repurchased | (184,049) | – | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (178,909) | 41,217 | ||||||||
Shares Outstanding, Beginning of Period | 302,431 | 261,214 | ||||||||
Shares Outstanding, End of Period | 123,522 | 302,431 | ||||||||
Transactions in Portfolio Shares – Service Shares: | ||||||||||
Shares sold | – | – | ||||||||
Reinvested dividends and distributions | 5,133 | 41,570 | ||||||||
Shares repurchased | (185,902) | – | ||||||||
Net Increase/(Decrease) in Portfolio Shares | (180,769) | 41,570 | ||||||||
Shares Outstanding, Beginning of Period | 302,838 | 261,268 | ||||||||
Shares Outstanding, End of Period | 122,069 | 302,838 |
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7. | Purchases and Sales of Investment Securities |
For the period ended June 30, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of Long- | Proceeds from Sales | |||||||||||||
Purchases of | Proceeds from Sales | Term U.S. Government | of Long-Term U.S. | |||||||||||
Portfolio | Securities | of Securities | Obligations | Government Obligations | ||||||||||
Janus Aspen Preservation Series - Growth | $ | 2,141,664 | $ | 6,718,292 | $ | – | $ | – | ||||||
8. | Subsequent Event |
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2015 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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janus.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
Annual Report of BNP Paribas Prime Brokerage, Inc.
Janus Aspen Series, on behalf of Janus Aspen Preservation Series – Growth, will supply the most recent annual reports of the Capital Protection Provider (or any successor or substituted entity thereto), free of charge, upon a shareholder’s request by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 10, 2014, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2015 through January 1 or February 1, 2016, respectively, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and any administration fees (excluding out of pocket costs), net of any waivers.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Funds, taking into account the investment objective, strategies and policies of each Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Funds. The Trustees also considered other services provided to the Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the
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selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed institutional competitive advantages that should be able to provide superior investment management returns over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Funds whose performance lagged that of their peers for certain periods, the Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each Fund’s performance with the performance of comparable funds and peer groups identified by an independent data provider, and with the Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has improved: for the 36 months ended September 30, 2014, approximately 64% of the Funds were in the top two Lipper quartiles of performance, and for the 12 months ended September 30, 2014, approximately 57% of the Funds were in the top two Lipper quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
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Additional Information (unaudited) (continued)
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
Value Funds
• | For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. |
• | For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
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• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Forty Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of under-performance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and in the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and its limited performance history. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and that the performance trend was improving. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
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• | For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the second Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. 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 Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the first Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Lipper quartile for the 12 months ended May 31, 2014. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the third Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s |
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underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the third Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 36 months ended May 31, 2014 and the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s performance was in the bottom Lipper quartile for the 12 months ended May 31, 2014. The Trustees noted the reasons for the Fund’s underperformance and its limited performance history. |
In consideration of each Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Fund’s performance warranted continuation of the Fund’s investment advisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Fund in comparison to similar information for other comparable funds as provided by an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers, was below the mean management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Fund.
In this regard, the independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 19% below the mean total expenses of their respective Lipper Expense Group peers and 29% below the mean total expenses for their Lipper Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 20% below the mean for their Expense Universes; and (4) Janus fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered how the total expenses for each share class of each Fund compared to the mean total expenses for its Lipper Expense Group peers and to mean total expenses for its Lipper Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees on such Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than
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management fee rates for Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Funds, Janus Capital assumes many legal risks that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) the retained fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to retained fee margins in the industry.
The Trustees considered the fees for each Fund for its fiscal year ended in 2013, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
• | For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Bond Fund, the Trustees noted that although the Fund’s total expenses were equal to or below the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
• | For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield. |
Asset Allocation Funds
• | For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Alternative Funds
• | For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
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Value Funds
• | For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Global Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Perkins Small Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Mathematical Funds
• | For INTECH Global Income Managed Volatility Fund (formerly named INTECH Global Dividend Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH International Managed Volatility Fund (formerly named INTECH International Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Core Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund (formerly named INTECH U.S. Value Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For INTECH U.S. Managed Volatility Fund II (formerly named INTECH U.S. Growth Fund), the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Growth and Core Funds
• | For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Forty Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the |
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Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Venture Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Global and International Funds
• | For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Emerging Markets Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Global Select Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit. |
• | For Janus Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Preservation Series
• | For Janus Preservation Series – Global, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
• | For Janus Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes. |
Janus Aspen Series
• | For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses. |
• | For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
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• | For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that, although the Fund’s total expenses were above the peer group mean for its sole 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 limit. |
• | For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
• | For Janus Aspen Preservation Series – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. |
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was not unreasonable.
In this regard, the independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees and other compensation payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Funds increase. They noted that their independent fee consultant had provided analysis of economies of scale during prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, the base contractual management fee rate paid by most of the Funds, before any adjustment for performance, if applicable, was below the mean contractual management fee rate of the Fund’s peer group identified by an independent data provider. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of many of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’
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independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
In this regard, the independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, it could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on their portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or a subadviser to a Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Fund therefor, the Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Funds.
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Useful Information About Your Portfolio Report (unaudited)
Management Commentary
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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices.
When comparing the performance of the Portfolio with an index, keep in mind that market indices do not include brokerage commissions that would be incurred if you purchased the individual securities in the index. They also do not include taxes payable on dividends and interest or operating expenses incurred if you maintained the Portfolio invested in the index.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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
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Useful Information About Your Portfolio Report (unaudited) (continued)
Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the
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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
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Notes
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money.
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC.
Funds distributed by Janus Distributors LLC
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | ||||||
C-0815-94024 | 109-24-81126 08-15 |
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Item 2 - | Code of Ethics | |
Not applicable to semiannual reports. | ||
Item 3 - | Audit Committee Financial Expert | |
Not applicable to semiannual reports. | ||
Item 4 - | Principal Accountant Fees and Services | |
Not applicable to semiannual reports. | ||
Item 5 - | Audit Committee of Listed Registrants | |
Not applicable. | ||
Item 6 - | Investments |
(a) | Schedule of Investments is contained in the Reports to Shareholders included under Item 1 of this Form N-CSR. | ||
(b) | Not applicable. |
Item 7 - | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies Not applicable to this Registrant. | |
Item 8 - | Portfolio Managers of Closed-End Management Investment Companies Not applicable to this Registrant. | |
Item 9 - | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not applicable to this Registrant. | |
Item 10 - | Submission of Matters to a Vote of Security Holders There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees. | |
Item 11 - | Controls and Procedures |
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date. | ||
(b) | There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12 - | Exhibits |
(a)(1) | Not applicable because the Registrant has posted its Code of Ethics (as defined in Item 2(b) of Form N-CSR) on its website pursuant to paragraph (f)(2) of Item 2 of Form N-CSR. | ||
(a)(2) | Separate certifications for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required under Rule 30a-2(a)under the Investment Company Act of 1940, as amended, are attached as Ex99.CERT. | ||
(a)(3) | Not applicable to this Registrant. | ||
(b) | A certification for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached as Ex99.906CERT. |
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Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Janus Aspen Series
By: | /s/ Bruce Koepfgen | |
Bruce Koepfgen, | ||
President and Chief Executive Officer of Janus Aspen Series (Principal Executive Officer) |
Date: August 28, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Bruce Koepfgen | |
Bruce Koepfgen, | ||
President and Chief Executive Officer of Janus Aspen Series (Principal Executive Officer) | ||
Date: | August 28, 2015 | |
By: | /s/ Jesper Nergaard | |
Jesper Nergaard, | ||
Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Janus Aspen Series (Principal Accounting Officer and Principal Financial Officer) |
Date: August 28, 2015