United States Securities and Exchange Commission
Washington, D.C. 20549
FORM N-CSR
Certified Shareholder Report of Registered Management Investment Companies
Investment Company Act file number 811-07736
Janus Aspen Series
(Exact name of registrant as specified in charter)
151 Detroit Street, Denver, Colorado 80206
(Address of principal executive offices) (Zip code)
Abigail J. Murray, 151 Detroit Street, Denver, Colorado 80206
(Name and address of agent for service)
Registrant's telephone number, including area code: 303-333-3863
Date of fiscal year end: 12/31
Date of reporting period: 6/30/21
Item 1 - Reports to Shareholders
SEMIANNUAL REPORT June 30, 2021 | |||||
Janus Henderson VIT Balanced Portfolio | |||||
Janus Aspen Series | |||||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Balanced Portfolio
PORTFOLIO SNAPSHOT Balanced Fund’s dynamic asset allocation strategy has the flexibility to defensively position ahead of market volatility while seeking strong risk-adjusted returns. Unlike many competitor products, where asset allocations are constrained by static targets, the Fund’s asset allocations may vary between 35% to 65% equities depending on market conditions. | Jeremiah Buckley co-portfolio manager | Greg Wilensky co-portfolio manager | Michael Keough co-portfolio manager | ||
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Equity Sleeve Holdings | 5 Top Detractors - Equity Sleeve Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| Lam Research Corp | 2.64% |
| 0.48% |
| Mastercard Inc | 3.88% |
| -0.40% |
| Alphabet Inc - Class C | 4.98% |
| 0.34% |
| Merck & Co Inc | 1.78% |
| -0.22% |
| Morgan Stanley | 2.12% |
| 0.31% |
| Progressive Corp | 1.82% |
| -0.20% |
| Eli Lilly & Co | 1.95% |
| 0.31% |
| Monster Beverage Corp | 1.14% |
| -0.18% |
| NVIDIA Corp | 1.90% |
| 0.30% |
| Honeywell International Inc | 1.82% |
| -0.16% |
| 5 Top Contributors - Equity Sleeve Sectors* |
|
|
|
|
|
|
|
| Relative |
| Equity Sleeve | S&P 500 Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Information Technology |
| 0.61% |
| 31.94% | 26.99% |
| Utilities |
| 0.35% |
| 0.00% | 2.62% |
| Industrials |
| 0.13% |
| 8.61% | 8.59% |
| Health Care |
| 0.10% |
| 15.37% | 13.11% |
| Communication Services |
| 0.06% |
| 9.89% | 10.97% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Detractors - Equity Sleeve Sectors* |
|
|
|
|
|
|
|
| Relative |
| Equity Sleeve | S&P 500 Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Energy |
| -0.69% |
| 0.00% | 2.74% |
| Consumer Discretionary |
| -0.55% |
| 16.93% | 12.47% |
| Financials |
| -0.29% |
| 9.67% | 11.27% |
| Consumer Staples |
| -0.11% |
| 6.29% | 6.07% |
| Real Estate |
| -0.10% |
| 0.60% | 2.47% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
Janus Aspen Series | 1 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 5.2% |
Alphabet Inc - Class C | |
Interactive Media & Services | 3.6% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 3.3% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 3.0% |
Mastercard Inc | |
Information Technology Services | 2.4% |
17.5% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 64.5% | ||||
Corporate Bonds | 13.0% | ||||
United States Treasury Notes/Bonds | 9.4% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 5.2% | ||||
Mortgage-Backed Securities | 5.0% | ||||
Investment Companies | 4.0% | ||||
Inflation-Indexed Bonds | 1.4% | ||||
Bank Loans and Mezzanine Loans | 0.4% | ||||
Preferred Stocks | 0.2% | ||||
Other | (3.1)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 8.56% | 24.28% | 13.76% | 10.51% | 10.32% |
|
| 0.62% | |
Service Shares |
| 8.45% | 24.00% | 13.48% | 10.24% | 10.13% |
|
| 0.87% | |
S&P 500 Index |
| 15.25% | 40.79% | 17.65% | 14.84% | 10.49% |
|
|
| |
Bloomberg Barclays U.S. Aggregate Bond Index |
| -1.60% | -0.33% | 3.03% | 3.39% | 5.08% |
|
|
| |
Balanced Index |
| 7.43% | 20.92% | 11.16% | 9.82% | 8.31% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 1st | 1st | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Allocation - 50% to 70% Equity Funds |
| - | 422/703 | 30/662 | 35/545 | 10/210 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Janus Aspen Series | 3 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
Effective April 3, 2021, Jeremiah Buckley, Michael Keough, and Greg Wilensky are Co-Portfolio Managers of the Portfolio.
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,085.60 | $3.15 |
| $1,000.00 | $1,021.77 | $3.06 | 0.61% | ||
Service Shares | $1,000.00 | $1,084.50 | $4.39 |
| $1,000.00 | $1,020.58 | $4.26 | 0.85% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 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 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– 5.2% | |||||||
208 Park Avenue Mortgage Trust 2017-280P, | |||||||
ICE LIBOR USD 1 Month + 0.8800%, 0.9529%, 9/15/34 (144A)‡ | $3,072,117 | $3,072,174 | |||||
Angel Oak Mortgage Trust I LLC 2018-2, | |||||||
ICE LIBOR USD 12 Month + 0.7600%, 3.6740%, 7/27/48 (144A)‡ | 228,189 | 228,189 | |||||
Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | 1,495,188 | 1,500,490 | |||||
Angel Oak Mortgage Trust I LLC 2019-6, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | 1,391,335 | 1,399,658 | |||||
Angel Oak Mortgage Trust I LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | 2,297,929 | 2,312,250 | |||||
Arbys Funding LLC 2020-1A, 3.2370%, 7/30/50 (144A) | 8,176,215 | 8,528,878 | |||||
Bank 2018-BN12 A4, 4.2550%, 5/15/61‡ | 1,122,676 | 1,295,857 | |||||
Bank 2019-BN17, 3.7140%, 4/15/52 | 2,498,288 | 2,813,309 | |||||
Bank 2019-BN18, 3.5840%, 5/15/62 | 4,251,505 | 4,773,435 | |||||
Bank 2019-BN20, 3.0110%, 9/15/62 | 2,044,338 | 2,208,568 | |||||
Bank 2019-BN23, 2.9200%, 12/15/52 | 3,677,640 | 3,970,375 | |||||
Bank 2019-BNK24, 2.9600%, 11/15/62 | 864,000 | 930,201 | |||||
Barclays Comercial Mortgage Securities LLC 2015-SRCH, | |||||||
4.1970%, 8/10/35 (144A) | 2,528,000 | 2,864,922 | |||||
Barclays Comercial Mortgage Securities LLC 2017-DELC, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 0.9229%, 8/15/36 (144A)‡ | 2,087,000 | 2,088,608 | |||||
Benchmark Mortgage Trust 2020-B16, 2.7320%, 2/15/53 | 2,207,000 | 2,335,635 | |||||
BVRT Financing Trust, 1.8270%, 7/10/32‡ | 123,281 | 123,281 | |||||
BVRT Financing Trust 2021-1F M1, 1.5600%, 7/1/33‡ | 1,100,401 | 1,100,475 | |||||
BVRT Financing Trust 2021-2F M1, 1.5600%, 1/10/32‡ | 3,476,726 | 3,476,726 | |||||
BVRT Financing Trust 2021-CRT1 M2, 2.3270%, 1/10/33‡ | 3,439,000 | 3,445,448 | |||||
BVRT Financing Trust 2021-CRT2 M1, 1.8451%, 11/10/32‡ | 3,801,315 | 3,801,315 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 0.8230%, 11/15/35 (144A)‡ | 1,674,067 | 1,674,843 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | 2,230,000 | 2,401,899 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 1,121,000 | 1,229,932 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 2,229,000 | 2,428,652 | |||||
BX Commercial Mortgage Trust 2019-OC11, 4.0755%, 12/9/41 (144A)‡ | 3,343,000 | 3,586,417 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 0.9200%, 0.9930%, 10/15/36 (144A)‡ | 4,051,064 | 4,058,076 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 1.1530%, 10/15/36 (144A)‡ | 657,223 | 657,976 | |||||
BX Commercial Mortgage Trust 2020-FOX A, | |||||||
ICE LIBOR USD 1 Month + 1.0000%, 1.0730%, 11/15/32 (144A)‡ | 7,005,575 | 7,023,533 | |||||
BX Commercial Mortgage Trust 2020-FOX B, | |||||||
ICE LIBOR USD 1 Month + 1.3500%, 1.4230%, 11/15/32 (144A)‡ | 1,237,838 | 1,240,393 | |||||
BX Commercial Mortgage Trust 2020-FOX C, | |||||||
ICE LIBOR USD 1 Month + 1.5500%, 1.6230%, 11/15/32 (144A)‡ | 1,128,791 | 1,131,878 | |||||
BX Commercial Mortgage Trust 2021-LBA AJV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.8730%, 2/15/36 (144A)‡ | 4,525,000 | 4,532,161 | |||||
BX Commercial Mortgage Trust 2021-LBA AV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.8730%, 2/15/36 (144A)‡ | 5,146,000 | 5,153,972 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 1,140,000 | 1,241,859 | |||||
CarMax Auto Owner Trust 2017-3, 2.7200%, 5/15/23 | 2,701,000 | 2,712,952 | |||||
CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | 4,652,000 | 4,682,492 | |||||
CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | 1,757,000 | 1,777,947 | |||||
Chase Auto Credit Linked Notes 2021-1 B, 0.8750%, 9/25/28 (144A) | 2,398,000 | 2,399,767 | |||||
CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | 4,188,444 | 4,187,285 | |||||
Cold Storage Trust 2020-ICE5 A, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 0.9729%, 11/15/37 (144A)‡ | 6,622,407 | 6,641,248 | |||||
Cold Storage Trust 2020-ICE5 B, | |||||||
ICE LIBOR USD 1 Month + 1.3000%, 1.3729%, 11/15/37 (144A)‡ | 2,944,057 | 2,950,742 | |||||
Cold Storage Trust 2020-ICE5 C, | |||||||
ICE LIBOR USD 1 Month + 1.6500%, 1.7229%, 11/15/37 (144A)‡ | 2,955,853 | 2,963,262 | |||||
COLT Funding LLC 2020-2, | |||||||
ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | 1,108,775 | 1,115,254 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
COLT Funding LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | $1,185,965 | $1,190,579 | |||||
Connecticut Avenue Securities Trust 2014-C04, | |||||||
ICE LIBOR USD 1 Month + 4.9000%, 4.9915%, 11/25/24‡ | 319,998 | 329,334 | |||||
Connecticut Avenue Securities Trust 2016-C03, | |||||||
ICE LIBOR USD 1 Month + 5.9000%, 5.9915%, 10/25/28‡ | 631,672 | 663,110 | |||||
Connecticut Avenue Securities Trust 2016-C04, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3415%, 1/25/29‡ | 1,565,511 | 1,634,438 | |||||
Connecticut Avenue Securities Trust 2016-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3415%, 4/25/29‡ | 1,957,353 | 2,040,188 | |||||
Connecticut Avenue Securities Trust 2017-C01, | |||||||
ICE LIBOR USD 1 Month + 3.5500%, 3.6415%, 7/25/29‡ | 2,126,010 | 2,199,289 | |||||
Connecticut Avenue Securities Trust 2017-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.6500%, 2.7415%, 2/25/30‡ | 1,635,067 | 1,664,700 | |||||
Connecticut Avenue Securities Trust 2018-R07, | |||||||
ICE LIBOR USD 1 Month + 2.4000%, 2.4915%, 4/25/31 (144A)‡ | 2,072,131 | 2,082,393 | |||||
Connecticut Avenue Securities Trust 2019-R02, | |||||||
ICE LIBOR USD 1 Month + 2.3000%, 2.3915%, 8/25/31 (144A)‡ | 1,165,830 | 1,173,721 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2415%, 9/25/31 (144A)‡ | 1,688,182 | 1,700,145 | |||||
Connecticut Avenue Securities Trust 2019-R04, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.1915%, 6/25/39 (144A)‡ | 1,755,570 | 1,756,657 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.0915%, 7/25/39 (144A)‡ | 1,486,698 | 1,492,443 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.1915%, 10/25/39 (144A)‡ | 652,224 | 654,646 | |||||
Connecticut Avenue Securities Trust 2020-R02, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.0915%, 1/25/40 (144A)‡ | 3,770,825 | 3,786,747 | |||||
Cosmopolitan Hotel Trust 2017, | |||||||
ICE LIBOR USD 1 Month + 0.9300%, 1.0029%, 11/15/36 (144A)‡ | 2,618,339 | 2,622,586 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 258,704 | 260,638 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4, | |||||||
ICE LIBOR USD 1 Month + 0.9800%, 1.0530%, 5/15/36 (144A)‡ | 7,812,000 | 7,823,818 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | |||||||
ICE LIBOR USD 1 Month + 1.4300%, 1.5030%, 5/15/36 (144A)‡ | 1,486,000 | 1,488,027 | |||||
Credit Suisse Commercial Mortgage Trust 2020-UNFI, 4.1682%, 12/6/22‡ | 2,312,000 | 2,309,028 | |||||
Credit Suisse Commercial Mortgage Trust 2021-WEHO A, 4.0422%, 4/15/23‡ | 4,280,225 | 4,280,031 | |||||
DB Master Finance LLC 2019-1A A23, 4.3520%, 5/20/49 (144A) | 1,289,040 | 1,426,362 | |||||
DB Master Finance LLC 2019-1A A2I, 3.7870%, 5/20/49 (144A) | 1,612,283 | 1,633,566 | |||||
DB Master Finance LLC 2019-1A A2II, 4.0210%, 5/20/49 (144A) | 1,014,923 | 1,070,835 | |||||
Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | 4,917,000 | 4,892,667 | |||||
Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | 911,385 | 983,084 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 3,349,125 | 3,494,783 | |||||
Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | 2,015,325 | 2,194,061 | |||||
Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | 6,437,513 | 6,955,422 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 2,997,000 | 3,032,606 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 2,613,000 | 2,661,789 | |||||
Drive Auto Receivables Trust 2017-3, 3.5300%, 12/15/23 (144A) | 220,457 | 222,465 | |||||
Drive Auto Receivables Trust 2018-4, 3.6600%, 11/15/24 | 30,296 | 30,329 | |||||
Exeter Automobile Receivables Trust 2021-1A C, 0.7400%, 1/15/26 | 965,000 | 964,234 | |||||
Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | 3,089,000 | 3,087,558 | |||||
Extended Stay America Trust 2021-ESH A, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 0%, 7/15/38 (144A)‡ | 6,114,000 | 6,114,000 | |||||
Extended Stay America Trust 2021-ESH B, | |||||||
ICE LIBOR USD 1 Month + 1.3800%, 0%, 7/15/38 (144A)‡ | 1,663,000 | 1,663,000 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.0000%, 5.0915%, 7/25/25‡ | 1,754,085 | 1,799,372 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.7000%, 5.7915%, 4/25/28‡ | 1,331,102 | 1,409,812 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 3,526,092 | 3,737,559 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | $4,810,305 | $5,093,815 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, | |||||||
ICE LIBOR USD 1 Month + 5.5500%, 5.6416%, 7/25/28‡ | 1,810,072 | 1,890,064 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | |||||||
ICE LIBOR USD 1 Month + 1.9500%, 2.0415%, 10/25/49 (144A)‡ | 688,488 | 691,737 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 2.0180%, 12/25/50 (144A)‡ | 4,640,000 | 4,683,067 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2, | |||||||
ICE LIBOR USD 1 Month + 3.1500%, 3.2415%, 9/25/50 (144A)‡ | 2,020,920 | 2,043,655 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | |||||||
US 30 Day Average SOFR + 2.6000%, 2.6180%, 11/25/50 (144A)‡ | 7,495,000 | 7,642,564 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | |||||||
US 30 Day Average SOFR + 2.3000%, 2.3180%, 8/25/33 (144A)‡ | 1,710,000 | 1,753,522 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | |||||||
US 30 Day Average SOFR + 2.2500%, 2.2680%, 8/25/33 (144A)‡ | 2,628,000 | 2,658,458 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.0340%, 1.1070%, 12/15/36 (144A)‡ | 1,067,000 | 1,068,126 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.3340%, 1.4070%, 12/15/36 (144A)‡ | 1,195,000 | 1,195,416 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.6330%, 1.7060%, 12/15/36 (144A)‡ | 1,332,000 | 1,332,488 | |||||
GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡ | 1,603,823 | 1,843,809 | |||||
GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡ | 2,669,380 | 3,031,020 | |||||
GS Mortgage Securities Trust 2020-GC45, 2.9106%, 2/13/53 | 2,189,000 | 2,347,086 | |||||
GS Mortgage Securities Trust 2020-GC47, 2.3772%, 5/12/53 | 3,112,000 | 3,206,921 | |||||
Jack in the Box Funding LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | 3,528,338 | 3,869,955 | |||||
Jack in the Box Funding LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | 3,528,338 | 3,585,349 | |||||
Jack in the Box Funding LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | 4,962,500 | 5,241,495 | |||||
Life Financial Services Trust 2021-BMR A, | |||||||
ICE LIBOR USD 1 Month + 0.7000%, 0.7730%, 3/15/38 (144A)‡ | 8,608,000 | 8,622,408 | |||||
Life Financial Services Trust 2021-BMR C, | |||||||
ICE LIBOR USD 1 Month + 1.1000%, 1.1730%, 3/15/38 (144A)‡ | 4,272,000 | 4,281,116 | |||||
Mercury Financial Credit Card Master Trust 2021-1A A, | |||||||
1.5400%, 3/20/26 (144A) | 3,873,000 | 3,885,521 | |||||
MHC Commercial Mortgage Trust 2021-MHC A, | |||||||
ICE LIBOR USD 1 Month + 0.8010%, 0.8738%, 4/15/38 (144A)‡ | 9,039,888 | 9,047,049 | |||||
MHC Commercial Mortgage Trust 2021-MHC C, | |||||||
ICE LIBOR USD 1 Month + 1.3510%, 1.4238%, 4/15/38 (144A)‡ | 4,357,691 | 4,361,874 | |||||
Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49 | 2,782,000 | 2,945,925 | |||||
Morgan Stanley Capital I Trust 2019-H6, 3.4170%, 6/15/52 | 1,423,916 | �� | 1,576,227 | ||||
Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48 | 2,221,000 | 2,432,141 | |||||
Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51 | 2,249,599 | 2,589,443 | |||||
Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51 | 3,365,443 | 3,891,395 | |||||
MRA Issuance Trust 2021-NA1 A1X, | |||||||
ICE LIBOR USD 1 Month + 1.5000%, 0%, 3/8/22 (144A)‡ | 7,199,000 | 7,199,000 | |||||
New Residential Mortgage Loan Trust 2018-2, | |||||||
ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | 715,705 | 772,475 | |||||
Newday Funding Master Issuer PLC 2021-1A A2, | |||||||
SOFR + 1.1000%, 1.1100%, 3/15/29 (144A)‡ | 3,636,000 | 3,655,242 | |||||
NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | |||||||
3.8440%, 12/25/25 (144A) | 1,788,885 | 1,856,421 | |||||
Oak Street Investment Grade Net Lease Fund 2020-1A A1, | |||||||
1.8500%, 11/20/50 (144A) | 3,722,740 | 3,777,959 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 570,000 | 580,116 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 566,000 | 577,291 | |||||
Planet Fitness Master Issuer LLC 2018-1A, 4.2620%, 9/5/48 (144A) | 2,652,980 | 2,652,980 | |||||
Planet Fitness Master Issuer LLC 2019-1A, 3.8580%, 12/5/49 (144A) | 3,355,895 | 3,380,129 | |||||
Preston Ridge Partners Mortgage Trust 2020-1A, 2.9810%, 2/25/25 (144A)Ç | 871,226 | 878,697 | |||||
Preston Ridge Partners Mortgage Trust 2020-3, 2.8570%, 9/25/25 (144A)Ç | 5,239,242 | 5,282,011 | |||||
Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | 3,450,104 | 3,464,751 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Preston Ridge Partners Mortgage Trust 2020-5 A1, 3.1040%, 11/25/25 (144A)Ç | $1,767,894 | $1,772,494 | |||||
Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | 7,470,000 | 7,570,491 | |||||
Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | 1,015,995 | 1,032,554 | |||||
Sequoia Mortgage Trust 2020-2, 3.5000%, 3/25/50 (144A)‡ | 474,495 | 483,675 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | 397,250 | 439,819 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | |||||||
ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | 988,517 | 1,094,006 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH2, 3.4070%, 6/25/55 (144A)‡ | 2,455,943 | 2,497,389 | |||||
Taco Bell Funding LLC 2016-1A A23, 4.9700%, 5/25/46 (144A) | 2,252,160 | 2,433,825 | |||||
Taco Bell Funding LLC 2018-1A A2I, 4.3180%, 11/25/48 (144A) | 2,943,525 | 2,943,525 | |||||
Taco Bell Funding LLC 2018-1A A2II, 4.9400%, 11/25/48 (144A) | 2,167,425 | 2,445,461 | |||||
Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | 7,100,000 | 7,112,062 | |||||
Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | 3,097,000 | 3,084,388 | |||||
VASA Trust 2021-VASA A, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 0.9730%, 7/15/39 (144A)‡ | 2,382,000 | 2,371,414 | |||||
VCAT Asset Securitization LLC 2020-NPL1, 3.6710%, 8/25/50 (144A)Ç | 1,635,761 | 1,660,248 | |||||
VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | 1,726,072 | 1,730,719 | |||||
Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 1.2230%, 2/15/40 (144A)‡ | 2,281,645 | 2,291,554 | |||||
Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | 322,310 | 349,502 | |||||
Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | 2,023,245 | 2,156,854 | |||||
Wendy's Funding LLC 2021-1A A2I, 2.3700%, 6/15/51 (144A) | 2,076,000 | 2,083,999 | |||||
Wendy's Funding LLC 2021-1A A2II, 2.7750%, 6/15/51 (144A) | 2,415,000 | 2,434,644 | |||||
Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | 3,399,000 | 3,518,853 | |||||
Wingstop Funding LLC 2020-1A A2, 2.8410%, 12/5/50 (144A) | 3,614,940 | 3,745,524 | |||||
Zaxby's Funding LLC 2021-1A A2, 3.2380%, 7/30/51 (144A) | 3,052,000 | 3,105,746 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $389,303,231) | 395,835,820 | ||||||
Bank Loans and Mezzanine Loans– 0.4% | |||||||
Basic Industry – 0% | |||||||
Alpha 3 BV, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 3/18/28‡ | 4,325,000 | 4,300,693 | |||||
Capital Goods – 0.1% | |||||||
Madison IAQ LLC, ICE LIBOR USD 1 Month + 3.2500%, 3.7500%, 6/21/28ƒ,‡ | 7,309,932 | 7,309,931 | |||||
Consumer Non-Cyclical – 0.3% | |||||||
Elanco Animal Health Inc, ICE LIBOR USD 1 Month + 1.7500%, 1.8651%, 8/1/27‡ | 9,185,883 | 9,040,470 | |||||
ICON Luxembourg Sarl, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 6/16/28ƒ,‡ | 9,399,720 | 9,412,974 | |||||
Indigo Merger Sub Inc, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 7/1/28ƒ,‡ | 2,341,946 | 2,345,248 | |||||
20,798,692 | |||||||
Total Bank Loans and Mezzanine Loans (cost $32,485,137) | 32,409,316 | ||||||
Corporate Bonds– 13.0% | |||||||
Banking – 2.9% | |||||||
Ally Financial Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.8680%, 4.7000%‡,µ | 5,533,000 | 5,730,528 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 7,355,000 | 8,133,026 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0700%, 3.9700%, 3/5/29‡ | 3,294,000 | 3,713,153 | |||||
Bank of America Corp, SOFR + 1.0600%, 2.0870%, 6/14/29‡ | 7,305,000 | 7,364,110 | |||||
Bank of America Corp, SOFR + 2.1500%, 2.5920%, 4/29/31‡ | 14,103,000 | 14,539,307 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%‡,µ | 2,002,000 | 2,082,581 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%‡,µ | 5,841,000 | 6,461,606 | |||||
Bank of New York Mellon Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.3580%, 4.7000%‡,µ | 8,577,000 | 9,359,651 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡ | 3,042,000 | 3,318,811 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡ | 2,067,000 | 2,174,776 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.0500%, 2.5880%, 8/12/35 (144A)‡ | 7,787,000 | 7,607,221 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 9,899,000 | 11,017,051 | |||||
Citigroup Inc, SOFR + 3.9140%, 4.4120%, 3/31/31‡ | 6,795,000 | 7,934,300 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 4.0680%, 5.9500%‡,µ | 3,565,000 | 3,748,081 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Banking– (continued) | |||||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%‡,µ | $2,436,000 | $2,527,391 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%‡,µ | 555,000 | 597,014 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%‡,µ | 2,339,000 | 2,559,919 | |||||
Citigroup Inc, SOFR + 3.8130%, 5.0000%‡,µ | 3,727,000 | 3,900,678 | |||||
Credit Agricole SA/London, SOFR + 1.6760%, 1.9070%, 6/16/26 (144A)‡ | 1,778,000 | 1,812,744 | |||||
First Republic Bank/CA, 4.6250%, 2/13/47 | 1,653,000 | 2,096,586 | |||||
Goldman Sachs Group Inc, 3.5000%, 4/1/25 | 10,761,000 | 11,674,580 | |||||
Goldman Sachs Group Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.2240%, 4.9500%‡,µ | 1,666,000 | 1,780,721 | |||||
HSBC Holdings PLC, SOFR + 1.5380%, 1.6450%, 4/18/26‡ | 3,742,000 | 3,792,172 | |||||
HSBC Holdings PLC, SOFR + 1.2900%, 1.5890%, 5/24/27‡ | 7,498,000 | 7,512,452 | |||||
JPMorgan Chase & Co, SOFR + 1.8500%, 2.0830%, 4/22/26‡ | 2,623,000 | 2,712,298 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 6,655,000 | 7,411,042 | |||||
JPMorgan Chase & Co, SOFR + 0.8850%, 1.5780%, 4/22/27‡ | 6,670,000 | 6,704,558 | |||||
JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31‡ | 13,078,000 | 13,738,526 | |||||
JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%, 7/31/69‡ | 2,000,000 | 2,113,900 | |||||
JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%, 1/23/70‡ | 2,111,000 | 2,187,629 | |||||
Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | 6,824,000 | 7,085,371 | |||||
Morgan Stanley, 4.3500%, 9/8/26 | 3,985,000 | 4,512,081 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 6,273,000 | 7,009,251 | |||||
Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡ | 3,223,000 | 3,245,804 | |||||
Morgan Stanley, SOFR + 1.0340%, 1.7940%, 2/13/32‡ | 5,529,000 | 5,312,330 | |||||
National Australia Bank Ltd, 2.9900%, 5/21/31 (144A) | 8,080,000 | 8,203,576 | |||||
Natwest Group PLC, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.3500%, 3.0320%, 11/28/35‡ | 5,500,000 | 5,508,800 | |||||
SVB Financial Group, 1.8000%, 2/2/31 | 2,878,000 | 2,752,865 | |||||
SVB Financial Group, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%‡,µ | 6,329,000 | 6,419,948 | |||||
Westpac Banking Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | 5,490,000 | 5,400,074 | |||||
221,756,512 | |||||||
Basic Industry – 0.3% | |||||||
Allegheny Technologies Inc, 5.8750%, 12/1/27 | 4,100,000 | 4,294,750 | |||||
Axalta Coating Systems Ltd, 3.3750%, 2/15/29 (144A) | 7,654,000 | 7,481,785 | |||||
Element Solutions Inc, 3.8750%, 9/1/28 (144A) | 5,787,000 | 5,904,476 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 3,657,000 | 3,678,477 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 2,242,000 | 2,373,615 | |||||
23,733,103 | |||||||
Brokerage – 0.3% | |||||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.9710%, 5.3750%‡,µ | 15,360,000 | 16,977,408 | |||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0790%, 4.0000%‡,µ | 3,606,000 | 3,688,938 | |||||
20,666,346 | |||||||
Capital Goods – 0.6% | |||||||
Boeing Co, 4.5080%, 5/1/23 | 6,065,000 | 6,465,864 | |||||
Boeing Co, 4.8750%, 5/1/25 | 1,957,000 | 2,192,756 | |||||
Boeing Co, 2.1960%, 2/4/26 | 1,978,000 | 1,996,906 | |||||
Boeing Co, 3.2500%, 2/1/28 | 2,110,000 | 2,236,789 | |||||
Boeing Co, 3.6250%, 2/1/31 | 4,560,000 | 4,904,408 | |||||
Boeing Co, 3.9500%, 8/1/59 | 2,752,000 | 2,879,237 | |||||
General Dynamics Corp, 3.5000%, 4/1/27 | 2,033,000 | 2,255,631 | |||||
TransDigm Inc, 4.6250%, 1/15/29 (144A) | 9,491,000 | 9,494,322 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 3,516,000 | 3,809,543 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 3,028,000 | 3,512,439 | |||||
Westinghouse Air Brake Technologies Corp, 3.2000%, 6/15/25 | 2,775,000 | 2,951,212 | |||||
42,699,107 | |||||||
Communications – 1.5% | |||||||
AT&T Inc, 3.8000%, 12/1/57 (144A) | 3,657,000 | 3,810,164 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Communications– (continued) | |||||||
AT&T Inc, 3.6500%, 9/15/59 (144A) | $604,000 | $612,516 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A) | 6,601,000 | 6,724,769 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.5000%, 5/1/32 | 9,894,000 | 10,252,657 | |||||
Cellnex Finance Co SA, 3.8750%, 7/7/41 (144A) | 5,694,000 | 5,673,559 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 1,479,000 | 1,522,024 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 2.8000%, 4/1/31 | 4,500,000 | 4,600,402 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 6.4840%, 10/23/45 | 936,000 | 1,289,042 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 5.3750%, 5/1/47 | 1,778,000 | 2,178,780 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 4.8000%, 3/1/50 | 2,585,000 | 2,968,999 | |||||
Comcast Corp, 3.7500%, 4/1/40 | 1,775,000 | 2,000,922 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 1,958,000 | 2,158,877 | |||||
Crown Castle International Corp, 3.1000%, 11/15/29 | 3,265,000 | 3,464,032 | |||||
CSC Holdings LLC, 4.1250%, 12/1/30 (144A) | 5,750,000 | 5,714,062 | |||||
CSC Holdings LLC, 4.6250%, 12/1/30 (144A) | 6,461,000 | 6,338,952 | |||||
CSC Holdings LLC, 3.3750%, 2/15/31 (144A) | 4,001,000 | 3,780,585 | |||||
CSC Holdings LLC, 5.0000%, 11/15/31 (144A) | 2,768,000 | 2,781,286 | |||||
Fox Corp, 4.0300%, 1/25/24 | 2,592,000 | 2,807,945 | |||||
GCI LLC, 4.7500%, 10/15/28 (144A) | 9,592,000 | 9,817,412 | |||||
Level 3 Financing Inc, 3.8750%, 11/15/29 (144A) | 4,402,000 | 4,714,674 | |||||
Sirius XM Radio Inc, 4.1250%, 7/1/30 (144A) | 6,938,000 | 6,999,609 | |||||
T-Mobile USA Inc, 3.5000%, 4/15/25 | 3,170,000 | 3,435,789 | |||||
T-Mobile USA Inc, 2.2500%, 2/15/26 | 2,963,000 | 2,985,222 | |||||
T-Mobile USA Inc, 3.7500%, 4/15/27 | 4,405,000 | 4,867,525 | |||||
T-Mobile USA Inc, 2.6250%, 2/15/29 | 7,441,000 | 7,347,987 | |||||
T-Mobile USA Inc, 3.0000%, 2/15/41 | 3,014,000 | 2,976,837 | |||||
Verizon Communications Inc, 3.0000%, 3/22/27 | 2,200,000 | 2,367,486 | |||||
Verizon Communications Inc, 2.1000%, 3/22/28 | 1,798,000 | 1,835,606 | |||||
Verizon Communications Inc, 3.5500%, 3/22/51 | 3,036,000 | 3,243,561 | |||||
119,271,281 | |||||||
Consumer Cyclical – 1.0% | |||||||
1011778 BC ULC / New Red Finance Inc, 4.0000%, 10/15/30 (144A) | 10,521,000 | 10,179,067 | |||||
Choice Hotels International Inc, 3.7000%, 12/1/29 | 4,189,000 | 4,534,634 | |||||
Choice Hotels International Inc, 3.7000%, 1/15/31 | 1,267,000 | 1,371,071 | |||||
Dollar General Corp, 4.1250%, 4/3/50 | 3,153,000 | 3,693,636 | |||||
Experian Finance PLC, 2.7500%, 3/8/30 (144A) | 5,895,000 | 6,092,388 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 1,284,000 | 1,445,335 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 2,597,000 | 2,989,173 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | 344,000 | 400,760 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30 | 4,670,000 | 5,012,358 | |||||
GoDaddy Operating Co LLC / GD Finance Co Inc, 3.5000%, 3/1/29 (144A) | 7,625,000 | 7,575,437 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,475,000 | 1,545,120 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 2,588,000 | 2,897,266 | |||||
Lithia Motors Inc, 3.8750%, 6/1/29 (144A) | 8,746,000 | 9,065,666 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 2,249,000 | 2,464,117 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 544,000 | 568,589 | |||||
Nordstrom Inc, 4.3750%, 4/1/30 | 3,998,000 | 4,165,923 | |||||
Service Corp International/US, 3.3750%, 8/15/30 | 2,052,000 | 2,010,550 | |||||
Service Corporation International, 4.0000%, 5/15/31 | 5,480,000 | 5,593,299 | |||||
Yum! Brands Inc, 4.6250%, 1/31/32 | 5,533,000 | 5,809,650 | |||||
77,414,039 | |||||||
Consumer Non-Cyclical – 1.9% | |||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc, | |||||||
4.9000%, 2/1/46 | 4,540,000 | 5,746,505 | |||||
Aramark Services Inc, 6.3750%, 5/1/25 (144A) | 7,110,000 | 7,554,375 | |||||
Coca-Cola Femsa SAB de CV, 2.7500%, 1/22/30 | 2,607,000 | 2,714,096 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Consumer Non-Cyclical– (continued) | |||||||
CVS Health Corp, 5.0500%, 3/25/48 | $2,563,000 | $3,329,018 | |||||
DaVita Inc, 4.6250%, 6/1/30 (144A) | 4,493,000 | 4,619,792 | |||||
DaVita Inc, 3.7500%, 2/15/31 (144A) | 6,903,000 | 6,626,880 | |||||
Diageo Capital PLC, 1.3750%, 9/29/25 | 3,173,000 | 3,225,018 | |||||
Diageo Capital PLC, 2.0000%, 4/29/30 | 2,989,000 | 2,991,093 | |||||
Diageo Capital PLC, 2.1250%, 4/29/32 | 2,398,000 | 2,408,144 | |||||
Elanco Animal Health Inc, 5.2720%, 8/28/23 | 5,460,000 | 5,872,721 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 8,515,000 | 9,467,661 | |||||
Hasbro Inc, 6.3500%, 3/15/40 | 1,921,000 | 2,678,192 | |||||
Hasbro Inc, 5.1000%, 5/15/44 | 1,990,000 | 2,432,528 | |||||
HCA Inc, 4.7500%, 5/1/23 | 3,958,000 | 4,240,930 | |||||
HCA Inc, 5.3750%, 2/1/25 | 2,189,000 | 2,469,192 | |||||
HCA Inc, 5.8750%, 2/15/26 | 1,152,000 | 1,331,309 | |||||
HCA Inc, 5.3750%, 9/1/26 | 883,000 | 1,016,112 | |||||
HCA Inc, 5.6250%, 9/1/28 | 2,351,000 | 2,785,935 | |||||
HCA Inc, 5.8750%, 2/1/29 | 1,902,000 | 2,296,665 | |||||
HCA Inc, 3.5000%, 9/1/30 | 9,956,000 | 10,606,824 | |||||
HCA Inc, 5.5000%, 6/15/47 | 1,035,000 | 1,348,007 | |||||
HCA Inc, 5.2500%, 6/15/49 | 1,552,000 | 1,978,322 | |||||
HCA Inc, 3.5000%, 7/15/51 | 5,333,000 | 5,330,570 | |||||
JBS Finance Luxembourg Sarl, 3.6250%, 1/15/32 (144A) | 3,765,000 | 3,763,833 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | 2,573,000 | 2,827,084 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.5000%, 4/15/29 (144A) | 7,364,000 | 8,275,369 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
5.5000%, 1/15/30 (144A) | 5,277,000 | 5,901,691 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
3.7500%, 12/1/31 (144A) | 3,507,000 | 3,588,538 | |||||
Kraft Heinz Foods Co, 3.8750%, 5/15/27 | 4,757,000 | 5,226,865 | |||||
Kraft Heinz Foods Co, 5.0000%, 6/4/42 | 2,892,000 | 3,531,417 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 833,000 | 943,955 | |||||
Kraft Heinz Foods Co, 4.8750%, 10/1/49 | 1,946,000 | 2,362,349 | |||||
Mondelez International Inc, 2.7500%, 4/13/30 | 720,000 | 758,406 | |||||
Organon Finance 1 LLC, 4.1250%, 4/30/28 (144A) | 6,012,000 | 6,131,038 | |||||
Royalty Pharma PLC, 3.5500%, 9/2/50 (144A) | 3,923,000 | 3,901,995 | |||||
Sysco Corp, 6.6000%, 4/1/50 | 1,422,000 | 2,208,883 | |||||
142,491,312 | |||||||
Electric – 0.5% | |||||||
Dominion Energy Inc, 3.3750%, 4/1/30 | 5,928,000 | 6,455,061 | |||||
Duquesne Light Holdings Inc, 2.7750%, 1/7/32 (144A) | 4,842,000 | 4,879,267 | |||||
East Ohio Gas Co/The, 2.0000%, 6/15/30 (144A) | 648,000 | 640,619 | |||||
NextEra Energy Capital Holdings Inc, 2.7500%, 5/1/25 | 2,601,000 | 2,762,430 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 4,447,000 | 4,609,782 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 4,756,000 | 4,923,506 | |||||
NRG Energy Inc, 3.3750%, 2/15/29 (144A) | 4,783,000 | 4,681,457 | |||||
NRG Energy Inc, 3.6250%, 2/15/31 (144A) | 5,400,000 | 5,306,580 | |||||
Pacific Gas and Electric Co, 3.0000%, 6/15/28 | 5,674,000 | 5,699,522 | |||||
39,958,224 | |||||||
Energy – 0.5% | |||||||
Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 | 4,749,000 | 5,187,248 | |||||
Cheniere Energy Inc, 4.6250%, 10/15/28 (144A) | 6,335,000 | 6,683,425 | |||||
Cheniere Energy Partners LP, 4.0000%, 3/1/31 (144A) | 3,621,000 | 3,783,945 | |||||
Continental Resources Inc, 5.7500%, 1/15/31 (144A) | 5,520,000 | 6,610,200 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 1,589,000 | 1,760,777 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 1,185,000 | 1,389,750 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 184,000 | 212,590 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 6,466,000 | 6,781,217 | |||||
NGPL PipeCo LLC, 3.2500%, 7/15/31 (144A) | 2,236,000 | 2,304,487 | |||||
ONEOK Inc, 6.3500%, 1/15/31 | 3,407,000 | 4,405,803 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Energy– (continued) | |||||||
ONEOK Inc, 7.1500%, 1/15/51 | $890,000 | $1,308,372 | |||||
40,427,814 | |||||||
Finance Companies – 0.4% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | |||||||
4.6250%, 10/15/27 | 5,280,000 | 5,913,248 | |||||
Air Lease Corp, 1.8750%, 8/15/26 | 4,823,000 | 4,826,727 | |||||
Air Lease Corp, 3.0000%, 2/1/30 | 2,435,000 | 2,469,882 | |||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | 8,684,000 | 10,407,613 | |||||
Quicken Loans LLC, 3.6250%, 3/1/29 (144A) | 4,435,000 | 4,379,562 | |||||
Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | 6,482,000 | 6,530,550 | |||||
34,527,582 | |||||||
Financial Institutions – 0% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 2,938,000 | 3,055,732 | |||||
Industrial Conglomerates – 0.1% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 3.4489%‡,µ | 5,540,000 | 5,429,200 | |||||
Information Technology Services – 0.1% | |||||||
Booz Allen Hamilton Inc, 3.8750%, 9/1/28 (144A) | 5,412,000 | 5,520,240 | |||||
Insurance – 0.6% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 2,493,000 | 2,867,580 | |||||
Brown & Brown Inc, 2.3750%, 3/15/31 | 955,000 | 954,184 | |||||
Centene Corp, 5.3750%, 6/1/26 (144A) | 6,910,000 | 7,220,950 | |||||
Centene Corp, 4.2500%, 12/15/27 | 5,363,000 | 5,651,261 | |||||
Centene Corp, 2.4500%, 7/15/28 | 6,624,000 | 6,713,424 | |||||
Centene Corp, 3.0000%, 10/15/30 | 2,372,000 | 2,436,708 | |||||
Centene Corp, 2.5000%, 3/1/31 | 1,618,000 | 1,595,753 | |||||
Molina Healthcare Inc, 4.3750%, 6/15/28 (144A) | 13,333,000 | 13,899,652 | |||||
Prudential Financial Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.0350%, 3.7000%, 10/1/50‡ | 7,720,000 | 8,048,100 | |||||
49,387,612 | |||||||
Real Estate Investment Trusts (REITs) – 0.3% | |||||||
Agree LP, 2.0000%, 6/15/28 | 3,231,000 | 3,204,422 | |||||
Agree LP, 2.9000%, 10/1/30 | 2,058,000 | 2,147,283 | |||||
Agree LP, 2.6000%, 6/15/33 | 2,424,000 | 2,415,054 | |||||
MPT Operating Partnership LP / MPT Finance Corp, 3.5000%, 3/15/31 | 5,909,000 | 5,968,031 | |||||
Sun Communities Inc, 2.7000%, 7/15/31 | 6,161,000 | 6,160,376 | |||||
19,895,166 | |||||||
Technology – 1.9% | |||||||
Analog Devices Inc, 2.9500%, 4/1/25 | 2,815,000 | 3,011,887 | |||||
Broadcom Inc, 4.1500%, 11/15/30 | 5,187,000 | 5,816,780 | |||||
Broadcom Inc, 4.3000%, 11/15/32 | 4,150,000 | 4,725,711 | |||||
Broadcom Inc, 3.4190%, 4/15/33 (144A) | 5,082,000 | 5,336,935 | |||||
Broadcom Inc, 3.4690%, 4/15/34 (144A) | 8,000,000 | 8,462,036 | |||||
Broadridge Financial Solutions Inc, 2.6000%, 5/1/31 | 5,341,000 | 5,438,436 | |||||
CoStar Group Inc, 2.8000%, 7/15/30 (144A) | 6,989,000 | 7,099,850 | |||||
Equinix Inc, 2.1500%, 7/15/30 | 2,665,000 | 2,647,987 | |||||
Marvell Technology Inc, 4.2000%, 6/22/23 (144A) | 1,361,000 | 1,446,890 | |||||
Marvell Technology Inc, 1.6500%, 4/15/26 (144A) | 3,675,000 | 3,672,879 | |||||
Marvell Technology Inc, 4.8750%, 6/22/28 (144A) | 4,065,000 | 4,699,144 | |||||
Marvell Technology Inc, 2.9500%, 4/15/31 (144A) | 5,823,000 | 6,034,788 | |||||
Microchip Technology Inc, 2.6700%, 9/1/23 | 6,452,000 | 6,719,884 | |||||
Microchip Technology Inc, 4.2500%, 9/1/25 | 5,055,000 | 5,307,072 | |||||
MSCI Inc, 4.0000%, 11/15/29 (144A) | 422,000 | 445,210 | |||||
MSCI Inc, 3.6250%, 9/1/30 (144A) | 7,118,000 | 7,279,294 | |||||
MSCI Inc, 3.8750%, 2/15/31 (144A) | 6,019,000 | 6,246,277 | |||||
PayPal Holdings Inc, 1.6500%, 6/1/25 | 2,243,000 | 2,301,990 | |||||
Qorvo Inc, 3.3750%, 4/1/31 (144A) | 5,951,000 | 6,202,251 | |||||
Seagate HDD Cayman, 4.8750%, 6/1/27 | 212,000 | 233,730 | |||||
Seagate HDD Cayman, 4.0910%, 6/1/29 (144A) | 1,690,000 | 1,730,222 | |||||
Seagate HDD Cayman, 3.1250%, 7/15/29 (144A) | 988,000 | 957,288 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Technology– (continued) | |||||||
Seagate HDD Cayman, 4.1250%, 1/15/31 (144A) | $1,741,000 | $1,775,820 | |||||
Sensata Technologies Inc, 3.7500%, 2/15/31 (144A) | 2,439,000 | 2,411,756 | |||||
SK Hynix Inc, 1.5000%, 1/19/26 (144A) | 4,696,000 | 4,632,228 | |||||
SK Hynix Inc, 2.3750%, 1/19/31 (144A) | 3,075,000 | 2,994,221 | |||||
Skyworks Solutions Inc, 0.9000%, 6/1/23 | 1,126,000 | 1,129,348 | |||||
Skyworks Solutions Inc, 1.8000%, 6/1/26 | 1,755,000 | 1,777,110 | |||||
Skyworks Solutions Inc, 3.0000%, 6/1/31 | 1,575,000 | 1,609,822 | |||||
Switch Ltd, 4.1250%, 6/15/29 (144A) | 4,148,000 | 4,256,885 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 3,189,000 | 3,646,016 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 5,510,000 | 6,121,229 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 3,194,000 | 3,746,015 | |||||
TSMC Global Ltd, 1.2500%, 4/23/26 (144A) | 6,559,000 | 6,502,088 | |||||
TSMC Global Ltd, 1.7500%, 4/23/28 (144A) | 6,559,000 | 6,557,163 | |||||
Twilio Inc, 3.6250%, 3/15/29 | 2,158,000 | 2,201,160 | |||||
Twilio Inc, 3.8750%, 3/15/31 | 2,158,000 | 2,214,647 | |||||
147,392,049 | |||||||
Transportation – 0.1% | |||||||
GXO Logistics inc, 1.6500%, 7/15/26 (144A) | 4,255,000 | 4,233,555 | |||||
GXO Logistics inc, 2.6500%, 7/15/31 (144A) | 2,815,000 | 2,792,396 | |||||
7,025,951 | |||||||
Total Corporate Bonds (cost $962,731,057) | 1,000,651,270 | ||||||
Inflation-Indexed Bonds– 1.4% | |||||||
United States Treasury Inflation Indexed Bonds, 0.6250%, 4/15/23ÇÇ | 30,434,780 | 32,193,696 | |||||
United States Treasury Inflation Indexed Bonds, 0.1250%, 4/15/26ÇÇ | 47,941,487 | 52,148,852 | |||||
United States Treasury Inflation Indexed Bonds, 0.1250%, 1/15/31ÇÇ | 19,008,531 | 20,917,056 | |||||
Total Inflation-Indexed Bonds (cost $105,283,501) | 105,259,604 | ||||||
Mortgage-Backed Securities– 5.0% | |||||||
Fannie Mae: | |||||||
1.5000%, TBA, 15 Year Maturity | 1,180,441 | 1,194,240 | |||||
2.0000%, TBA, 15 Year Maturity | 10,750,785 | 11,087,500 | |||||
2.5000%, TBA, 15 Year Maturity | 8,099,200 | 8,445,036 | |||||
2.0000%, TBA, 30 Year Maturity | 29,455,483 | 29,754,456 | |||||
2.5000%, TBA, 30 Year Maturity | 59,717,563 | 61,753,932 | |||||
3.5000%, TBA, 30 Year Maturity | 20,048,900 | 21,101,467 | |||||
133,336,631 | |||||||
Fannie Mae Pool: | |||||||
3.0000%, 10/1/34 | 507,998 | 538,185 | |||||
2.5000%, 11/1/34 | 352,557 | 371,059 | |||||
3.0000%, 11/1/34 | 208,353 | 221,994 | |||||
3.0000%, 12/1/34 | 217,812 | 231,870 | |||||
6.0000%, 2/1/37 | 81,075 | 96,097 | |||||
4.5000%, 11/1/42 | 438,808 | 486,315 | |||||
3.0000%, 1/1/43 | 239,491 | 253,978 | |||||
3.0000%, 2/1/43 | 67,541 | 71,766 | |||||
3.0000%, 5/1/43 | 2,230,851 | 2,346,359 | |||||
3.0000%, 5/1/43 | 532,795 | 566,476 | |||||
5.0000%, 7/1/44 | 56,704 | 63,617 | |||||
4.5000%, 10/1/44 | 1,127,694 | 1,264,818 | |||||
4.5000%, 3/1/45 | 1,647,554 | 1,847,891 | |||||
4.5000%, 6/1/45 | 961,595 | 1,068,301 | |||||
3.5000%, 12/1/45 | 678,568 | 723,873 | |||||
3.0000%, 1/1/46 | 81,551 | 86,005 | |||||
4.5000%, 2/1/46 | 2,009,907 | 2,227,506 | |||||
3.5000%, 7/1/46 | 1,120,295 | 1,212,672 | |||||
3.0000%, 9/1/46 | 5,696,089 | 6,047,051 | |||||
3.0000%, 2/1/47 | 18,341,081 | 19,471,155 | |||||
3.0000%, 3/1/47 | 2,018,751 | 2,149,184 | |||||
3.5000%, 3/1/47 | 586,359 | 625,507 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
3.5000%, 7/1/47 | $502,833 | $536,404 | |||||
3.5000%, 8/1/47 | 405,080 | 428,228 | |||||
3.5000%, 8/1/47 | 345,860 | 376,333 | |||||
3.5000%, 12/1/47 | 168,347 | 183,180 | |||||
3.5000%, 12/1/47 | 99,171 | 107,909 | |||||
3.5000%, 1/1/48 | 1,132,660 | 1,215,981 | |||||
4.0000%, 1/1/48 | 4,061,838 | 4,440,589 | |||||
4.0000%, 1/1/48 | 4,017,101 | 4,383,392 | |||||
3.0000%, 2/1/48 | 1,025,147 | 1,096,989 | |||||
3.5000%, 3/1/48 | 154,523 | 168,055 | |||||
4.0000%, 3/1/48 | 1,380,563 | 1,507,816 | |||||
4.5000%, 3/1/48 | 50,622 | 54,494 | |||||
3.0000%, 5/1/48 | 451,817 | 477,540 | |||||
5.0000%, 5/1/48 | 1,231,022 | 1,345,022 | |||||
3.5000%, 7/1/48 | 14,049,133 | 14,930,545 | |||||
4.5000%, 8/1/48 | 29,742 | 31,984 | |||||
3.0000%, 11/1/48 | 2,130,839 | 2,241,169 | |||||
4.0000%, 2/1/49 | 691,409 | 737,232 | |||||
3.0000%, 8/1/49 | 1,258,058 | 1,336,870 | |||||
3.0000%, 9/1/49 | 235,536 | 248,238 | |||||
2.5000%, 1/1/50 | 632,780 | 657,058 | |||||
2.5000%, 10/1/50 | 1,109,623 | 1,149,780 | |||||
2.5000%, 1/1/51 | 2,127,757 | 2,201,060 | |||||
3.5000%, 8/1/56 | 3,938,213 | 4,275,145 | |||||
3.0000%, 2/1/57 | 3,800,251 | 4,037,566 | |||||
3.0000%, 6/1/57 | 72,194 | 76,702 | |||||
90,216,960 | |||||||
Freddie Mac Gold Pool: | |||||||
3.5000%, 1/1/47 | 424,622 | 457,439 | |||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 4,867,436 | 5,146,907 | |||||
3.0000%, 9/1/32 | 993,118 | 1,052,081 | |||||
3.0000%, 10/1/32 | 503,673 | 531,004 | |||||
3.0000%, 1/1/33 | 616,713 | 653,329 | |||||
2.5000%, 12/1/33 | 4,956,537 | 5,190,905 | |||||
3.0000%, 10/1/34 | 1,063,618 | 1,129,787 | |||||
3.0000%, 10/1/34 | 433,401 | 459,135 | |||||
2.5000%, 11/1/34 | 1,522,513 | 1,602,582 | |||||
2.5000%, 11/1/34 | 307,894 | 324,086 | |||||
6.0000%, 4/1/40 | 1,281,553 | 1,525,033 | |||||
2.0000%, 5/1/41 | 22,494,590 | 22,995,238 | |||||
3.5000%, 7/1/42 | 200,281 | 215,721 | |||||
3.5000%, 8/1/42 | 265,492 | 285,961 | |||||
3.5000%, 8/1/42 | 213,858 | 230,346 | |||||
3.5000%, 2/1/43 | 707,538 | 762,921 | |||||
3.0000%, 3/1/43 | 2,088,249 | 2,217,348 | |||||
3.0000%, 6/1/43 | 146,495 | 153,119 | |||||
3.5000%, 2/1/44 | 743,981 | 802,216 | |||||
4.5000%, 5/1/44 | 372,798 | 414,169 | |||||
3.5000%, 12/1/44 | 4,453,510 | 4,781,796 | |||||
3.0000%, 1/1/45 | 1,117,284 | 1,183,887 | |||||
3.0000%, 1/1/46 | 175,487 | 188,446 | |||||
3.5000%, 7/1/46 | 999,952 | 1,077,393 | |||||
3.0000%, 8/1/46 | 282,405 | 297,018 | |||||
3.0000%, 10/1/46 | 2,318,192 | 2,457,423 | |||||
4.0000%, 3/1/47 | 461,858 | 501,304 | |||||
3.0000%, 4/1/47 | 429,386 | 451,604 | |||||
3.5000%, 4/1/47 | 178,197 | 193,002 | |||||
3.5000%, 9/1/47 | 1,638,395 | 1,732,008 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Freddie Mac Pool– (continued) | |||||||
3.5000%, 12/1/47 | $2,516,537 | $2,714,058 | |||||
3.5000%, 2/1/48 | 987,316 | 1,056,445 | |||||
4.0000%, 3/1/48 | 1,217,229 | 1,329,798 | |||||
4.5000%, 3/1/48 | 46,617 | 50,138 | |||||
4.0000%, 4/1/48 | 1,440,674 | 1,533,364 | |||||
4.0000%, 4/1/48 | 1,022,569 | 1,111,718 | |||||
4.0000%, 5/1/48 | 1,796,916 | 1,916,400 | |||||
4.5000%, 7/1/48 | 318,710 | 343,138 | |||||
5.0000%, 9/1/48 | 133,178 | 145,836 | |||||
4.5000%, 12/1/48 | 912,824 | 993,953 | |||||
3.0000%, 8/1/49 | 913,596 | 964,194 | |||||
3.0000%, 8/1/49 | 376,688 | 400,316 | |||||
3.0000%, 12/1/49 | 582,509 | 607,190 | |||||
3.0000%, 12/1/49 | 577,743 | 602,222 | |||||
2.5000%, 1/1/50 | 259,549 | 269,521 | |||||
3.0000%, 3/1/50 | 723,550 | 755,510 | |||||
3.5000%, 3/1/50 | 301,536 | 320,147 | |||||
73,669,717 | |||||||
Ginnie Mae: | |||||||
2.0000%, TBA, 30 Year Maturity | 44,216,122 | 45,024,393 | |||||
2.5000%, TBA, 30 Year Maturity | 20,540,500 | 21,245,861 | |||||
66,270,254 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 4,169,981 | 4,625,273 | |||||
4.5000%, 8/15/46 | 4,363,963 | 4,920,789 | |||||
4.0000%, 7/15/47 | 1,041,749 | 1,138,196 | |||||
4.0000%, 8/15/47 | 199,913 | 218,422 | |||||
4.0000%, 11/15/47 | 342,101 | 373,773 | |||||
4.0000%, 12/15/47 | 403,822 | 441,209 | |||||
11,717,662 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 487,051 | 522,409 | |||||
4.0000%, 8/20/47 | 98,193 | 105,629 | |||||
4.0000%, 8/20/47 | 71,989 | 77,216 | |||||
4.5000%, 2/20/48 | 596,132 | 642,955 | |||||
4.0000%, 5/20/48 | 286,365 | 304,422 | |||||
4.5000%, 5/20/48 | 1,238,282 | 1,346,784 | |||||
4.5000%, 5/20/48 | 144,446 | 157,103 | |||||
4.0000%, 6/20/48 | 2,874,740 | 3,053,305 | |||||
5.0000%, 8/20/48 | 2,259,066 | 2,452,358 | |||||
8,662,181 | |||||||
Total Mortgage-Backed Securities (cost $378,325,390) | 384,330,844 | ||||||
United States Treasury Notes/Bonds– 9.4% | |||||||
0.1250%, 2/28/23 | 157,629,000 | 157,431,964 | |||||
0.1250%, 4/30/23 | 134,497,000 | 134,244,818 | |||||
0.2500%, 5/15/24 | 9,749,000 | 9,695,685 | |||||
0.3750%, 1/31/26 | 46,025,100 | 45,102,800 | |||||
0.5000%, 2/28/26 | 86,943,000 | 85,625,270 | |||||
0.7500%, 4/30/26 | 45,488,000 | 45,257,006 | |||||
1.2500%, 4/30/28 | 2,498,600 | 2,506,408 | |||||
0.8750%, 11/15/30 | 38,146,900 | 36,275,318 | |||||
1.1250%, 2/15/31 | 12,629,800 | 12,260,773 | |||||
1.6250%, 5/15/31 | 4,193,500 | 4,257,713 | |||||
1.1250%, 5/15/40 | 3,805,000 | 3,284,785 | |||||
1.3750%, 11/15/40 | 13,566,000 | 12,186,083 | |||||
1.8750%, 2/15/41 | 24,068,000 | 23,560,316 | |||||
2.2500%, 5/15/41 | 9,735,000 | 10,128,963 | |||||
2.7500%, 8/15/42 | 29,504,500 | 33,246,731 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
United States Treasury Notes/Bonds– (continued) | |||||||
1.3750%, 8/15/50 | $46,677,000 | $39,349,076 | |||||
1.6250%, 11/15/50 | 63,839,100 | 57,335,492 | |||||
1.8750%, 2/15/51 | 12,086,200 | 11,534,767 | |||||
Total United States Treasury Notes/Bonds (cost $727,245,639) | 723,283,968 | ||||||
Common Stocks– 64.5% | |||||||
Aerospace & Defense – 1.1% | |||||||
General Dynamics Corp | 265,689 | 50,018,611 | |||||
L3Harris Technologies Inc | 153,731 | 33,228,956 | |||||
83,247,567 | |||||||
Air Freight & Logistics – 1.2% | |||||||
United Parcel Service Inc | 454,323 | 94,485,554 | |||||
Airlines – 0.4% | |||||||
Southwest Airlines Co* | 567,982 | 30,154,164 | |||||
Auto Components – 0.4% | |||||||
Aptiv PLC* | 193,564 | 30,453,424 | |||||
Banks – 1.5% | |||||||
Bank of America Corp | 2,744,103 | 113,139,367 | |||||
Beverages – 0.8% | |||||||
Constellation Brands Inc | 56,868 | 13,300,857 | |||||
Monster Beverage Corp* | 569,305 | 52,006,012 | |||||
65,306,869 | |||||||
Biotechnology – 0.9% | |||||||
AbbVie Inc | 594,110 | 66,920,550 | |||||
Capital Markets – 2.8% | |||||||
Charles Schwab Corp | 185,614 | 13,514,555 | |||||
CME Group Inc | 308,206 | 65,549,252 | |||||
Morgan Stanley | 1,206,488 | 110,622,885 | |||||
S&P Global Inc | 52,759 | 21,654,932 | |||||
211,341,624 | |||||||
Chemicals – 0.4% | |||||||
Sherwin-Williams Co | 126,458 | 34,453,482 | |||||
Communications Equipment – 0.5% | |||||||
Motorola Solutions Inc | 168,671 | 36,576,306 | |||||
Consumer Finance – 1.1% | |||||||
American Express Co | 524,948 | 86,737,158 | |||||
Electrical Equipment – 0.4% | |||||||
Rockwell Automation Inc | 102,035 | 29,184,051 | |||||
Electronic Equipment, Instruments & Components – 0.4% | |||||||
Corning Inc | 674,663 | 27,593,717 | |||||
Entertainment – 1.7% | |||||||
Activision Blizzard Inc | 475,311 | 45,363,682 | |||||
Netflix Inc* | 45,559 | 24,064,719 | |||||
Walt Disney Co* | 366,442 | 64,409,510 | |||||
133,837,911 | |||||||
Food & Staples Retailing – 1.5% | |||||||
Costco Wholesale Corp | 224,314 | 88,754,320 | |||||
Sysco Corp | 351,279 | 27,311,942 | |||||
116,066,262 | |||||||
Food Products – 0.5% | |||||||
Hershey Co | 206,936 | 36,044,112 | |||||
Health Care Equipment & Supplies – 2.7% | |||||||
Abbott Laboratories | 593,112 | 68,759,474 | |||||
Edwards Lifesciences Corp* | 342,096 | 35,430,883 | |||||
Intuitive Surgical Inc* | 30,613 | 28,152,939 | |||||
Medtronic PLC | 338,686 | 42,041,093 | |||||
Stryker Corp | 114,031 | 29,617,272 | |||||
204,001,661 | |||||||
Health Care Providers & Services – 2.1% | |||||||
UnitedHealth Group Inc | 405,202 | 162,259,089 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Hotels, Restaurants & Leisure – 2.6% | |||||||
Hilton Worldwide Holdings Inc* | 393,686 | $47,486,405 | |||||
McDonald's Corp | 432,113 | 99,813,782 | |||||
Starbucks Corp | 455,867 | 50,970,489 | |||||
198,270,676 | |||||||
Household Products – 0.9% | |||||||
Procter & Gamble Co | 508,412 | 68,600,031 | |||||
Industrial Conglomerates – 1.1% | |||||||
Honeywell International Inc | 385,241 | 84,502,613 | |||||
Information Technology Services – 3.4% | |||||||
Accenture PLC | 171,258 | 50,485,146 | |||||
Fidelity National Information Services Inc | 214,300 | 30,359,881 | |||||
Mastercard Inc | 497,021 | 181,457,397 | |||||
262,302,424 | |||||||
Insurance – 1.1% | |||||||
Progressive Corp | 866,994 | 85,147,481 | |||||
Interactive Media & Services – 3.6% | |||||||
Alphabet Inc - Class C* | 109,118 | 273,484,626 | |||||
Internet & Direct Marketing Retail – 3.7% | |||||||
Amazon.com Inc* | 68,092 | 234,247,375 | |||||
Booking Holdings Inc* | 22,694 | 49,656,514 | |||||
283,903,889 | |||||||
Leisure Products – 0.5% | |||||||
Hasbro Inc | 383,896 | 36,285,850 | |||||
Life Sciences Tools & Services – 1.2% | |||||||
Illumina Inc* | 65,944 | 31,205,360 | |||||
Thermo Fisher Scientific Inc | 125,501 | 63,311,489 | |||||
94,516,849 | |||||||
Machinery – 1.4% | |||||||
Deere & Co | 229,063 | 80,792,811 | |||||
Parker-Hannifin Corp | 32,303 | 9,920,574 | |||||
Trane Technologies PLC | 83,679 | 15,408,651 | |||||
106,122,036 | |||||||
Media – 1.4% | |||||||
Comcast Corp | 1,856,679 | 105,867,837 | |||||
Multiline Retail – 1.0% | |||||||
Dollar General Corp | 347,704 | 75,239,669 | |||||
Personal Products – 0.3% | |||||||
Estee Lauder Cos Inc | 65,620 | 20,872,410 | |||||
Pharmaceuticals – 2.4% | |||||||
AstraZeneca PLC (ADR) | 398,761 | 23,885,784 | |||||
Eli Lilly & Co | 444,964 | 102,128,137 | |||||
Merck & Co Inc | 793,852 | 61,737,870 | |||||
187,751,791 | |||||||
Real Estate Management & Development – 0.3% | |||||||
CBRE Group Inc* | 295,202 | 25,307,667 | |||||
Road & Rail – 0.1% | |||||||
CSX Corp | 284,748 | 9,134,716 | |||||
Semiconductor & Semiconductor Equipment – 4.7% | |||||||
Advanced Micro Devices Inc* | 381,973 | 35,878,724 | |||||
Lam Research Corp | 205,620 | 133,796,934 | |||||
NVIDIA Corp | 148,081 | 118,479,608 | |||||
Texas Instruments Inc | 384,992 | 74,033,962 | |||||
362,189,228 | |||||||
Software – 8.6% | |||||||
Adobe Inc* | 273,374 | 160,098,749 | |||||
Autodesk Inc* | 61,021 | 17,812,030 | |||||
Cadence Design Systems Inc* | 214,782 | 29,386,473 | |||||
Microsoft Corp | 1,471,142 | 398,532,368 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Software– (continued) | |||||||
salesforce.com Inc* | 232,449 | $56,780,317 | |||||
662,609,937 | |||||||
Specialty Retail – 1.6% | |||||||
Home Depot Inc | 374,981 | 119,577,691 | |||||
Technology Hardware, Storage & Peripherals – 3.3% | |||||||
Apple Inc | 1,858,731 | 254,571,798 | |||||
Textiles, Apparel & Luxury Goods – 0.9% | |||||||
NIKE Inc | 454,865 | 70,272,094 | |||||
Total Common Stocks (cost $2,739,755,600) | 4,948,334,181 | ||||||
Preferred Stocks– 0.2% | |||||||
Banks – 0.2% | |||||||
First Republic Bank/CA, 4.1250%µ | 242,075 | 6,209,224 | |||||
Truist Financial Corp, 4.7500%µ | 264,250 | 7,034,335 | |||||
Total Preferred Stocks (cost $12,658,125) | 13,243,559 | ||||||
Investment Companies– 4.0% | |||||||
Money Markets – 4.0% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $303,857,826) | 303,832,709 | 303,863,092 | |||||
Total Investments (total cost $5,651,645,506) – 103.1% | 7,907,211,654 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (3.1)% | (235,584,754) | ||||||
Net Assets – 100% | $7,671,626,900 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $7,752,652,269 | 98.0 | % | ||
United Kingdom | 63,371,786 | 0.8 | |||
France | 14,913,552 | 0.2 | |||
Australia | 13,603,650 | 0.2 | |||
Taiwan | 13,059,251 | 0.2 | |||
Canada | 10,179,067 | 0.1 | |||
Luxembourg | 9,412,974 | 0.1 | |||
Ireland | 8,258,496 | 0.1 | |||
South Korea | 7,626,449 | 0.1 | |||
Belgium | 5,746,505 | 0.1 | |||
Spain | 5,673,559 | 0.1 | |||
Mexico | 2,714,096 | 0.0 |
Total | $7,907,211,654 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 4.0% | ||||||||||
Money Markets - 4.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 75,485 | $ | - | $ | - | $ | 303,863,092 | ||
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 4.0% | ||||||||||
Money Markets - 4.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 182,258,962 | 795,208,916 | (673,604,786) | 303,863,092 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
20 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Balanced Index | Balanced Index is an internally-calculated, hypothetical combination of total returns from the S&P 500® Index (55%) and the Bloomberg Barclays U.S. Aggregate Bond Index (45%). |
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
TBA | (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned. |
ULC | Unlimited Liability Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2021 is $664,767,171, which represents 8.7% of net assets. |
* | Non-income producing security. |
ƒ | All or a portion of this position is not funded, or has been purchased on a delayed delivery or when-issued basis. If applicable, interest rates will be determined and interest will begin to accrue at a future date. See Notes to Financial Statements. |
‡ | Variable or floating rate security. Rate shown is the current rate as of June 30, 2021. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ÇÇ | Security is a U.S. Treasury Inflation-Protected Security (TIPS). |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
Janus Aspen Series | 21 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 395,835,820 | $ | - | ||||||
Bank Loans and Mezzanine Loans | - | 32,409,316 | - | |||||||||
Corporate Bonds | - | 1,000,651,270 | - | |||||||||
Inflation-Indexed Bonds | - | 105,259,604 | - | |||||||||
Mortgage-Backed Securities | - | 384,330,844 | - | |||||||||
United States Treasury Notes/Bonds | - | 723,283,968 | - | |||||||||
Common Stocks | 4,948,334,181 | - | - | |||||||||
Preferred Stocks | - | 13,243,559 | - | |||||||||
Investment Companies | - | 303,863,092 | - | |||||||||
Total Assets | $ | 4,948,334,181 | $ | 2,958,877,473 | $ | - | ||||||
22 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $5,347,787,680) |
| $ | 7,603,348,562 |
| |
| Affiliated investments, at value (cost $303,857,826) |
|
| 303,863,092 |
| |
| Cash |
|
| 505,213 |
| |
| Non-interested Trustees' deferred compensation |
|
| 186,701 |
| |
| Receivables: |
|
|
|
| |
|
| Interest |
|
| 11,234,936 |
|
|
| Investments sold |
|
| 9,723,392 |
|
|
| Portfolio shares sold |
|
| 5,427,511 |
|
|
| Dividends |
|
| 1,533,004 |
|
|
| Dividends from affiliates |
|
| 13,547 |
|
| Other assets |
|
| 13,230 |
| |
Total Assets |
|
| 7,935,849,188 |
| ||
Liabilities: |
|
|
|
| ||
| Payables: |
|
| — |
| |
|
| TBA investments purchased |
|
| 209,053,540 |
|
|
| Investments purchased |
|
| 48,405,273 |
|
|
| Advisory fees |
|
| 3,387,904 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 1,441,097 |
|
|
| Portfolio shares repurchased |
|
| 1,186,525 |
|
|
| Transfer agent fees and expenses |
|
| 320,765 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 186,701 |
|
|
| Professional fees |
|
| 31,739 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 26,340 |
|
|
| Affiliated portfolio administration fees payable |
|
| 15,400 |
|
|
| Custodian fees |
|
| 6,307 |
|
|
| Accrued expenses and other payables |
|
| 160,697 |
|
Total Liabilities |
|
| 264,222,288 |
| ||
Net Assets |
| $ | 7,671,626,900 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 5,262,092,892 |
| |
| Total distributable earnings (loss) |
|
| 2,409,534,008 |
| |
Total Net Assets |
| $ | 7,671,626,900 |
| ||
Net Assets - Institutional Shares |
| $ | 487,954,957 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 10,448,236 |
| |
Net Asset Value Per Share |
| $ | 46.70 |
| ||
Net Assets - Service Shares |
| $ | 7,183,671,943 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 145,338,870 |
| |
Net Asset Value Per Share |
| $ | 49.43 |
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 23 |
Janus Henderson VIT Balanced Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Interest | $ | 29,565,394 |
| |
| Dividends |
| 27,915,347 |
| |
| Dividends from affiliates |
| 75,485 |
| |
| Other income |
| 185,793 |
| |
| Foreign tax withheld |
| (8,252) |
| |
Total Investment Income |
| 57,733,767 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 18,951,717 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 8,041,184 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 114,647 |
|
|
| Service Shares |
| 1,608,237 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 11,310 |
|
|
| Service Shares |
| 64,248 |
|
| Affiliated portfolio administration fees |
| 107,927 |
| |
| Shareholder reports expense |
| 78,501 |
| |
| Professional fees |
| 52,374 |
| |
| Non-interested Trustees’ fees and expenses |
| 50,942 |
| |
| Custodian fees |
| 20,163 |
| |
| Registration fees |
| 7,623 |
| |
| Other expenses |
| 179,124 |
| |
Total Expenses |
| 29,287,997 |
| ||
Net Investment Income/(Loss) |
| 28,445,770 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments |
| 163,429,222 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 163,429,222 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments and non-interested Trustees’ deferred compensation |
| 391,258,194 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 391,258,194 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 583,133,186 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
24 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 28,445,770 |
| $ | 73,841,683 |
| |
| Net realized gain/(loss) on investments |
| 163,429,222 |
|
| 57,037,728 |
| |
| Change in unrealized net appreciation/depreciation |
| 391,258,194 |
|
| 675,809,821 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 583,133,186 |
|
| 806,689,232 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (6,234,497) |
|
| (14,605,878) |
|
|
| Service Shares |
| (79,456,433) |
|
| (160,131,796) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (85,690,930) |
|
| (174,737,674) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (8,980,336) |
|
| (25,132,978) |
|
|
| Service Shares |
| 501,833,480 |
|
| 782,520,443 |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 492,853,144 |
|
| 757,387,465 |
| ||
Net Increase/(Decrease) in Net Assets |
| 990,295,400 |
|
| 1,389,339,023 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 6,681,331,500 |
|
| 5,291,992,477 |
| |
| End of period | $ | 7,671,626,900 |
| $ | 6,681,331,500 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 25 |
Janus Henderson VIT Balanced Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $43.58 |
|
| $39.48 |
|
| $33.75 |
|
| $35.27 |
|
| $30.32 |
|
| $30.08 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.23 |
|
| 0.61 |
|
| 0.74 |
|
| 0.66 |
|
| 0.64 |
|
| 0.58 |
| |
|
| Net realized and unrealized gain/(loss) |
| 3.50 |
|
| 4.86 |
|
| 6.74 |
|
| (0.42) |
|
| 4.92 |
|
| 0.77 |
| |
| Total from Investment Operations |
| 3.73 |
|
| 5.47 |
|
| 7.48 |
|
| 0.24 |
|
| 5.56 |
|
| 1.35 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.24) |
|
| (0.73) |
|
| (0.72) |
|
| (0.77) |
|
| (0.54) |
|
| (0.67) |
| |
|
| Distributions (from capital gains) |
| (0.37) |
|
| (0.64) |
|
| (1.03) |
|
| (0.99) |
|
| (0.07) |
|
| (0.44) |
| |
| Total Dividends and Distributions |
| (0.61) |
|
| (1.37) |
|
| (1.75) |
|
| (1.76) |
|
| (0.61) |
|
| (1.11) |
| ||
| Net Asset Value, End of Period |
| $46.70 |
|
| $43.58 |
|
| $39.48 |
|
| $33.75 |
|
| $35.27 |
|
| $30.32 |
| ||
| Total Return* |
| 8.56% |
|
| 14.31% |
|
| 22.59% |
|
| 0.68% |
|
| 18.43% |
|
| 4.60% |
| ||
| Net Assets, End of Period (in thousands) |
| $487,955 |
|
| $464,280 |
|
| $446,026 |
|
| $402,796 |
|
| $429,403 |
|
| $403,833 |
| ||
| Average Net Assets for the Period (in thousands) |
| $470,049 |
|
| $430,893 |
|
| $426,775 |
|
| $429,843 |
|
| $417,575 |
|
| $413,338 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.61% |
|
| 0.62% |
|
| 0.62% |
|
| 0.63% |
|
| 0.63% |
|
| 0.62% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.61% |
|
| 0.62% |
|
| 0.62% |
|
| 0.63% |
|
| 0.63% |
|
| 0.62% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 1.05% |
|
| 1.54% |
|
| 1.99% |
|
| 1.85% |
|
| 1.94% |
|
| 1.94% |
| |
| Portfolio Turnover Rate |
| 34%(2) |
|
| 80%(2) |
|
| 79%(2) |
|
| 97%(2) |
|
| 67%(2) |
|
| 80% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $46.11 |
|
| $41.70 |
|
| $35.59 |
|
| $37.09 |
|
| $31.89 |
|
| $31.61 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.19 |
|
| 0.54 |
|
| 0.68 |
|
| 0.60 |
|
| 0.58 |
|
| 0.53 |
| |
|
| Net realized and unrealized gain/(loss) |
| 3.69 |
|
| 5.15 |
|
| 7.11 |
|
| (0.44) |
|
| 5.17 |
|
| 0.80 |
| |
| Total from Investment Operations |
| 3.88 |
|
| 5.69 |
|
| 7.79 |
|
| 0.16 |
|
| 5.75 |
|
| 1.33 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.19) |
|
| (0.64) |
|
| (0.65) |
|
| (0.67) |
|
| (0.48) |
|
| (0.61) |
| |
|
| Distributions (from capital gains) |
| (0.37) |
|
| (0.64) |
|
| (1.03) |
|
| (0.99) |
|
| (0.07) |
|
| (0.44) |
| |
| Total Dividends and Distributions |
| (0.56) |
|
| (1.28) |
|
| (1.68) |
|
| (1.66) |
|
| (0.55) |
|
| (1.05) |
| ||
| Net Asset Value, End of Period |
| $49.43 |
|
| $46.11 |
|
| $41.70 |
|
| $35.59 |
|
| $37.09 |
|
| $31.89 |
| ||
| Total Return* |
| 8.43% |
|
| 14.05% |
|
| 22.27% |
|
| 0.43% |
|
| 18.13% |
|
| 4.32% |
| ||
| Net Assets, End of Period (in thousands) |
| $7,183,672 |
|
| $6,217,051 |
|
| $4,845,966 |
|
| $3,445,696 |
|
| $2,887,613 |
|
| $2,227,878 |
| ||
| Average Net Assets for the Period (in thousands) |
| $6,588,762 |
|
| $5,239,258 |
|
| $4,109,486 |
|
| $3,235,435 |
|
| $2,523,514 |
|
| $1,938,234 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.85% |
|
| 0.87% |
|
| 0.87% |
|
| 0.88% |
|
| 0.88% |
|
| 0.87% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.85% |
|
| 0.87% |
|
| 0.87% |
|
| 0.88% |
|
| 0.88% |
|
| 0.87% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.80% |
|
| 1.28% |
|
| 1.74% |
|
| 1.62% |
|
| 1.69% |
|
| 1.71% |
| |
| Portfolio Turnover Rate |
| 34%(2) |
|
| 80%(2) |
|
| 79%(2) |
|
| 97%(2) |
|
| 67%(2) |
|
| 80% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
26 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Balanced Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 27 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP 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.
28 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
The Fund may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes, or adverse developments specific to the issuer.
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital") or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high
Janus Aspen Series | 29 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
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 have a principal value that is periodically adjusted according to the rate of inflation. If an index measuring inflation falls, the principal value of 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. Other non-U.S. sovereign governments also issue inflation-linked securities (sometimes referred to as “linkers”) that are tied to their own local consumer price indices. In certain of these non-U.S. jurisdictions, the repayment of the original bond principal upon the maturity of an inflation-linked bond is not guaranteed, allowing for the amount of the bond repaid at maturity to be less than par. 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, 2021.
· Bank Loans - Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. The Portfolio’s investments in bank loans are generally acquired as a participation interest in, or assignment of, loans originated by a lender or other financial institution. These investments may include institutionally-traded floating and fixed-rate debt securities.
· Floating Rate Loans – Floating rate loans are debt securities that have floating interest rates, that adjust periodically, and are tied to a benchmark lending rate, such as London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (‘‘borrowers’’) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are
30 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
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 and commercial 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 as to the timely payment of principal and interest by the full faith and credit of the U.S. Government. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, extension risk (if interest rates rise), and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Janus Aspen Series | 31 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
To facilitate TBA commitments, the Portfolio is required to segregate or otherwise earmark liquid assets marked to market daily in an amount at least equal to such TBA commitments. Rules of the Financial Industry Regulatory Authority (“FINRA”) which are expected to be effective in October 2021, include mandatory margin requirements for TBA commitments which, in some circumstances, will require the Portfolio to also post collateral. These collateral requirements may increase costs associated with the Portfolio’s participation in the TBA market.
When-Issued, Delayed Delivery and Forward Commitment Transactions
The Portfolio may purchase or sell securities on a when-issued, delayed delivery, or forward commitment basis. When purchasing a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Typically, no income accrues on securities the Portfolio has committed to purchase prior to the time delivery of the securities is made. Because the Portfolio is not required to pay for the security until the delivery date, these risks are in addition to the risks associated with the Portfolio’s other investments. If the other party to a transaction fails to deliver the securities, the Portfolio could miss a favorable price or yield opportunity. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases are outstanding, the purchases may result in a form of leverage. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases (including TBA commitments) are outstanding, the purchases may result in a form of leverage.
When the Portfolio has sold a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio does not participate in future gains or losses with respect to the security. If the other party to a transaction fails to pay for the securities, the Portfolio could suffer a loss. Additionally, when selling a security on a when-issued, delayed delivery, or forward commitment basis without owning the security, the Portfolio will incur a loss if the security’s price appreciates in value such that the security’s price is above the agreed upon price on the settlement date. The Portfolio
32 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
may dispose of or renegotiate a transaction after it is entered into, and may purchase or sell when-issued, delayed delivery or forward commitment securities before the settlement date, which may result in a gain or loss.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital Management LLC (“Janus Capital”) an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.55% of its average daily net assets.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. 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
Janus Aspen Series | 33 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 5,669,911,688 | $2,251,553,674 | $(14,253,708) | $ 2,237,299,966 |
34 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 344,424 | $ 15,411,887 |
| 833,472 | $ 32,931,124 | |
Reinvested dividends and distributions | 135,591 | 6,234,497 |
| 377,963 | 14,605,878 | |
Shares repurchased | (684,233) | (30,626,720) |
| (1,857,858) | (72,669,980) | |
Net Increase/(Decrease) | (204,218) | $ (8,980,336) |
| (646,423) | $ (25,132,978) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 11,870,155 | $563,905,898 |
| 21,712,567 | $911,634,210 | |
Reinvested dividends and distributions | 1,632,555 | 79,456,433 |
| 3,917,443 | 160,131,796 | |
Shares repurchased | (2,999,779) | (141,528,851) |
| (7,010,260) | (289,245,563) | |
Net Increase/(Decrease) | 10,502,931 | $501,833,480 |
| 18,619,750 | $782,520,443 |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$1,256,862,387 | $1,428,743,096 | $ 1,398,593,540 | $ 872,494,259 |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
Janus Aspen Series | 35 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
36 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
Janus Aspen Series | 37 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
38 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
Janus Aspen Series | 39 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
40 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
Janus Aspen Series | 41 |
Janus Henderson VIT Balanced Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
42 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Aspen Series | 43 |
Janus Henderson VIT Balanced Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
44 | JUNE 30, 2021 |
Janus Henderson VIT Balanced Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Aspen Series | 45 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81113 08-21 |
SEMIANNUAL REPORT June 30, 2021 | ||
Janus Henderson VIT Enterprise Portfolio | ||
Janus Aspen Series | ||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Enterprise Portfolio
PORTFOLIO SNAPSHOT By taking a moderate approach to an asset class with potential for rapid growth, this mid-cap growth fund has demonstrated lower volatility than the index. Unlike other competitor products that focus on short-term growth rates, this strategy seeks to invest in companies that exhibit sustainable and durable growth. | Philip Cody Wheaton co-portfolio manager | Brian Demain co-portfolio manager | |||
Janus Henderson VIT Enterprise Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| Lam Research Corp | 1.71% |
| 0.46% |
| Nice Ltd (ADR) | 2.30% |
| -0.67% |
| LPL Financial Holdings Inc | 2.46% |
| 0.36% |
| Global Payments Inc | 1.69% |
| -0.45% |
| CarMax Inc | 1.70% |
| 0.34% |
| Ritchie Bros Auctioneers Inc | 1.36% |
| -0.40% |
| Sealed Air Corp | 1.15% |
| 0.29% |
| Ceridian HCM Holding Inc | 1.41% |
| -0.30% |
| Waters Corp | 1.15% |
| 0.28% |
| SS&C Technologies Holdings Inc | 2.52% |
| -0.29% |
| 5 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell Midcap Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Financials |
| 1.06% |
| 11.25% | 3.44% |
| Materials |
| 0.54% |
| 1.15% | 2.02% |
| Consumer Staples |
| 0.35% |
| 0.00% | 3.39% |
| Communication Services |
| 0.18% |
| 0.55% | 6.47% |
| Energy |
| 0.00% |
| 1.40% | 0.53% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell Midcap Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Health Care |
| -1.13% |
| 17.52% | 21.91% |
| Industrials |
| -0.71% |
| 14.69% | 11.96% |
| Information Technology |
| -0.53% |
| 37.81% | 37.55% |
| Other** |
| -0.33% |
| 3.70% | 0.00% |
| Consumer Discretionary |
| -0.13% |
| 8.04% | 11.01% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | 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 | 1 |
Janus Henderson VIT Enterprise Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
KLA Corp | |
Semiconductor & Semiconductor Equipment | 2.8% |
SS&C Technologies Holdings Inc | |
Software | 2.6% |
LPL Financial Holdings Inc | |
Capital Markets | 2.5% |
TE Connectivity Ltd | |
Electronic Equipment, Instruments & Components | 2.3% |
Broadridge Financial Solutions Inc | |
Information Technology Services | 2.3% |
12.5% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 97.8% | ||||
Investment Companies | 2.1% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 0.6% | ||||
Other | (0.5)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 9.47% | 40.51% | 19.07% | 15.56% | 11.87% |
|
| 0.72% | |
Service Shares |
| 9.33% | 40.15% | 18.77% | 15.27% | 11.59% |
|
| 0.97% | |
Russell Midcap Growth Index |
| 10.44% | 43.77% | 20.52% | 15.13% | 11.16% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 3rd | 1st | 2nd |
|
|
| |
Morningstar Ranking - based on total returns for Mid-Cap Growth Funds |
| - | 409/583 | 336/539 | 106/503 | 46/150 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Aspen Series | 3 |
Janus Henderson VIT Enterprise Portfolio (unaudited)
Performance
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,094.70 | $3.69 |
| $1,000.00 | $1,021.27 | $3.56 | 0.71% | ||
Service Shares | $1,000.00 | $1,093.30 | $4.93 |
| $1,000.00 | $1,020.08 | $4.76 | 0.95% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 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 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 97.8% | |||||||
Aerospace & Defense – 2.9% | |||||||
L3Harris Technologies Inc | 111,517 | $24,104,400 | |||||
Teledyne Technologies Inc* | 62,980 | 26,377,913 | |||||
50,482,313 | |||||||
Airlines – 0.9% | |||||||
Ryanair Holdings PLC (ADR)* | 144,035 | 15,586,027 | |||||
Auto Components – 0.6% | |||||||
Visteon Corp* | 83,313 | 10,075,874 | |||||
Banks – 1.0% | |||||||
SVB Financial Group* | 29,796 | 16,579,388 | |||||
Biotechnology – 2.5% | |||||||
Abcam PLC (ADR)* | 217,491 | 4,141,029 | |||||
Ascendis Pharma A/S (ADR)* | 43,606 | 5,736,369 | |||||
BioMarin Pharmaceutical Inc* | 131,071 | 10,936,564 | |||||
Emergent BioSolutions Inc* | 77,304 | 4,869,379 | |||||
Neurocrine Biosciences Inc* | 123,256 | 11,995,274 | |||||
Sarepta Therapeutics Inc* | 79,924 | 6,213,292 | |||||
43,891,907 | |||||||
Capital Markets – 4.5% | |||||||
Cboe Global Markets Inc | 111,698 | 13,297,647 | |||||
Charles Schwab Corp | 124,674 | 9,077,514 | |||||
LPL Financial Holdings Inc | 318,706 | 43,018,936 | |||||
MSCI Inc | 23,722 | 12,645,724 | |||||
78,039,821 | |||||||
Commercial Services & Supplies – 3.1% | |||||||
Cimpress PLC* | 150,495 | 16,315,163 | |||||
Edenred | 266,708 | 15,193,929 | |||||
Ritchie Bros Auctioneers Inc | 370,885 | 21,986,063 | |||||
53,495,155 | |||||||
Containers & Packaging – 0.9% | |||||||
Sealed Air Corp | 254,561 | 15,082,739 | |||||
Diversified Consumer Services – 1.7% | |||||||
Courser Inc*,# | 46,793 | 1,851,131 | |||||
frontdoor Inc* | 259,707 | 12,938,603 | |||||
Terminix Global Holdings Inc* | 320,713 | 15,301,217 | |||||
30,090,951 | |||||||
Electric Utilities – 1.4% | |||||||
Alliant Energy Corp | 436,714 | 24,351,173 | |||||
Electrical Equipment – 1.8% | |||||||
Sensata Technologies Holding PLC* | 548,418 | 31,791,791 | |||||
Electronic Equipment, Instruments & Components – 5.5% | |||||||
Dolby Laboratories Inc | 127,415 | 12,523,620 | |||||
Flex Ltd* | 1,330,400 | 23,774,248 | |||||
National Instruments Corp | 439,730 | 18,591,784 | |||||
TE Connectivity Ltd | 297,727 | 40,255,668 | |||||
95,145,320 | |||||||
Entertainment – 0.8% | |||||||
Liberty Media Corp-Liberty Formula One* | 304,044 | 14,657,961 | |||||
Equity Real Estate Investment Trusts (REITs) – 2.4% | |||||||
Crown Castle International Corp | 37,064 | 7,231,186 | |||||
Lamar Advertising Co | 333,522 | 34,826,367 | |||||
42,057,553 | |||||||
Health Care Equipment & Supplies – 8.2% | |||||||
Boston Scientific Corp* | 899,817 | 38,476,175 | |||||
Cooper Cos Inc | 94,163 | 37,313,972 | |||||
Dentsply Sirona Inc | 287,160 | 18,165,742 | |||||
ICU Medical Inc* | 76,971 | 15,840,632 | |||||
STERIS PLC | 78,372 | 16,168,144 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Health Care Equipment & Supplies– (continued) | |||||||
Teleflex Inc | 39,346 | $15,808,829 | |||||
141,773,494 | |||||||
Health Care Technology – 0.1% | |||||||
Doximity Inc - Class A* | 22,722 | 1,322,420 | |||||
Hotels, Restaurants & Leisure – 1.4% | |||||||
Aramark | 353,233 | 13,157,929 | |||||
GVC Holdings PLC* | 429,793 | 10,376,118 | |||||
23,534,047 | |||||||
Information Technology Services – 12.1% | |||||||
Amdocs Ltd | 390,967 | 30,245,207 | |||||
Broadridge Financial Solutions Inc | 243,635 | 39,354,362 | |||||
Fidelity National Information Services Inc | 199,502 | 28,263,448 | |||||
Global Payments Inc | 148,932 | 27,930,707 | |||||
GoDaddy Inc* | 422,516 | 36,741,991 | |||||
WEX Inc* | 146,626 | 28,430,781 | |||||
Wix.com Ltd* | 65,073 | 18,889,390 | |||||
209,855,886 | |||||||
Insurance – 6.1% | |||||||
Aon PLC | 159,109 | 37,988,865 | |||||
Intact Financial Corp | 267,396 | 36,333,839 | |||||
Oscar Health Inc - Class A*,# | 116,407 | 2,502,751 | |||||
WR Berkley Corp | 390,009 | 29,028,370 | |||||
105,853,825 | |||||||
Internet & Direct Marketing Retail – 1.2% | |||||||
Wayfair Inc*,# | 66,522 | 21,001,661 | |||||
Life Sciences Tools & Services – 4.2% | |||||||
ICON PLC* | 8,122 | 1,678,899 | |||||
Illumina Inc* | 29,154 | 13,795,964 | |||||
PerkinElmer Inc | 98,426 | 15,197,959 | |||||
PRA Health Sciences Inc* | 135,378 | 22,365,799 | |||||
Waters Corp* | 57,809 | 19,979,369 | |||||
73,017,990 | |||||||
Machinery – 2.9% | |||||||
Ingersoll Rand Inc* | 427,312 | 20,857,099 | |||||
Rexnord Corp | 354,726 | 17,750,489 | |||||
Wabtec Corp | 138,337 | 11,385,135 | |||||
49,992,723 | |||||||
Oil, Gas & Consumable Fuels – 1.5% | |||||||
Magellan Midstream Partners LP | 536,430 | 26,236,791 | |||||
Pharmaceuticals – 2.4% | |||||||
Catalent Inc* | 209,668 | 22,669,304 | |||||
Elanco Animal Health Inc* | 453,126 | 15,718,941 | |||||
Royalty Pharma PLC - Class A | 85,249 | 3,494,357 | |||||
41,882,602 | |||||||
Professional Services – 0.7% | |||||||
Verisk Analytics Inc | 67,174 | 11,736,641 | |||||
Real Estate Management & Development – 0.6% | |||||||
Redfin Corp* | 162,405 | 10,298,101 | |||||
Road & Rail – 1.9% | |||||||
JB Hunt Transport Services Inc | 206,490 | 33,647,546 | |||||
Semiconductor & Semiconductor Equipment – 8.2% | |||||||
KLA Corp | 151,315 | 49,057,836 | |||||
Lam Research Corp | 37,734 | 24,553,514 | |||||
Microchip Technology Inc | 180,278 | 26,994,828 | |||||
NXP Semiconductors NV | 67,266 | 13,837,962 | |||||
ON Semiconductor Corp* | 745,279 | 28,529,280 | |||||
142,973,420 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Software – 10.7% | |||||||
Atlassian Corp PLC* | 48,654 | $12,497,266 | |||||
Ceridian HCM Holding Inc* | 259,960 | 24,935,363 | |||||
Constellation Software Inc/Canada | 25,668 | 38,881,201 | |||||
Dynatrace Inc* | 217,904 | 12,729,952 | |||||
j2 Global Inc* | 66,856 | 9,196,043 | |||||
Nice Ltd (ADR)* | 152,715 | 37,790,854 | |||||
SS&C Technologies Holdings Inc | 632,117 | 45,550,351 | |||||
Topicus.com Inc* | 47,167 | 3,426,971 | |||||
185,008,001 | |||||||
Specialty Retail – 3.3% | |||||||
Burlington Stores Inc* | 44,576 | 14,353,026 | |||||
CarMax Inc* | 256,819 | 33,168,174 | |||||
Vroom Inc*,# | 237,086 | 9,924,420 | |||||
57,445,620 | |||||||
Textiles, Apparel & Luxury Goods – 1.1% | |||||||
Gildan Activewear Inc | 508,994 | 18,792,058 | |||||
Trading Companies & Distributors – 1.2% | |||||||
Ferguson PLC | 151,231 | 21,021,446 | |||||
Total Common Stocks (cost $899,578,407) | 1,696,722,245 | ||||||
Investment Companies– 2.1% | |||||||
Money Markets – 2.1% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $36,994,152) | 36,990,453 | 36,994,152 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.6% | |||||||
Investment Companies – 0.5% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 8,682,250 | 8,682,250 | |||||
Time Deposits – 0.1% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $2,170,563 | 2,170,563 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $10,852,813) | 10,852,813 | ||||||
Total Investments (total cost $947,425,372) – 100.5% | 1,744,569,210 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.5)% | (9,500,920) | ||||||
Net Assets – 100% | $1,735,068,290 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $1,503,259,197 | 86.2 | % | ||
Canada | 119,420,132 | 6.8 | |||
Israel | 56,680,244 | 3.3 | |||
Ireland | 17,264,926 | 1.0 | |||
France | 15,193,929 | 0.9 | |||
United Kingdom | 14,517,147 | 0.8 | |||
Australia | 12,497,266 | 0.7 | |||
Denmark | 5,736,369 | 0.3 |
Total | $1,744,569,210 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 2.1% | ||||||||||
Money Markets - 2.1% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 22,061 | $ | 3,439 | $ | (3,439) | $ | 36,994,152 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.5% | ||||||||||
Investment Companies - 0.5% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 7,166∆ | - | - | 8,682,250 | ||||||
Total Affiliated Investments - 2.6% | $ | 29,227 | $ | 3,439 | $ | (3,439) | $ | 45,676,402 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 2.1% | ||||||||||
Money Markets - 2.1% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 67,878,884 | 153,768,801 | (184,653,533) | 36,994,152 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.5% | ||||||||||
Investment Companies - 0.5% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 2,859,857 | 57,158,549 | (51,336,156) | 8,682,250 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedule of Forward Foreign Currency Exchange Contracts |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | USD Currency Amount (Sold)/ Purchased | Market Value and Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital, Inc.: | ||||||||
Canadian Dollar | 8/5/21 | (10,128,000) | $ | 8,388,116 | $ | 216,433 | ||
Euro | 8/5/21 | 1,300,000 | (1,593,904) | (51,465) | ||||
Euro | 8/5/21 | (4,161,000) | 5,095,644 | 158,654 | ||||
323,622 | ||||||||
Citibank, National Association: | ||||||||
Canadian Dollar | 8/5/21 | 903,000 | (741,270) | (12,693) | ||||
Canadian Dollar | 8/5/21 | (6,513,000) | 5,384,393 | 129,439 | ||||
Euro | 8/5/21 | (4,921,000) | 6,030,937 | 192,214 | ||||
308,960 | ||||||||
Credit Suisse International: | ||||||||
Canadian Dollar | 8/5/21 | (15,859,000) | 13,150,442 | 354,755 | ||||
Euro | 8/5/21 | 349,000 | (427,792) | (13,707) | ||||
341,048 | ||||||||
HSBC Securities (USA), Inc.: | ||||||||
Canadian Dollar | 8/5/21 | (10,862,000) | 8,994,477 | 230,572 | ||||
Euro | 8/5/21 | (5,887,800) | 7,214,027 | 228,204 | ||||
458,776 | ||||||||
JPMorgan Chase Bank, National Association: | ||||||||
Canadian Dollar | 8/5/21 | (952,000) | 788,779 | 20,666 | ||||
Euro | 8/5/21 | (13,889,000) | 17,011,800 | 532,625 | ||||
553,291 | ||||||||
State Street: | ||||||||
Canadian Dollar | 8/5/21 | (27,000) | 22,408 | 624 | ||||
Euro | 8/5/21 | (392,000) | 480,398 | 15,293 | ||||
15,917 | ||||||||
Total | $ | 2,001,614 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2021
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, 2021.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2021 | |||||
|
|
|
|
|
|
|
|
|
|
| Currency |
Asset Derivatives: |
|
|
| ||
Forward foreign currency exchange contracts |
|
| $2,079,479 | ||
Liability Derivatives: |
|
|
| ||
Forward foreign currency exchange contracts |
|
| $ 77,865 | ||
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, 2021.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the period ended June 30, 2021 | ||||
|
|
|
|
|
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
| Currency | ||
Forward foreign currency exchange contracts |
| $(1,951,311) | ||
|
|
| ||
|
|
| ||
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||
Derivative |
| Currency | ||
Forward foreign currency exchange contracts |
| $ 2,199,004 | ||
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
Average Ending Monthly Market Value of Derivative Instruments During the Period Ended June 30, 2021 | |
|
|
| Market Value(a) |
Forward foreign currency exchange contracts, purchased | $ 14,350,610 |
Forward foreign currency exchange contracts, sold | 82,905,960 |
(a) Forward foreign currency exchange contracts are reported as the average ending monthly currency amount purchased or sold. |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Enterprise Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell Midcap® Growth Index | Russell Midcap® Growth Index reflects the performance of U.S. mid-cap equities with higher price-to-book ratios and higher forecasted growth values. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Common Stocks | $ | 1,696,722,245 | $ | - | $ | - | |||||||
Investment Companies | - | 36,994,152 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 10,852,813 | - | ||||||||||
Total Investments in Securities | $ | 1,696,722,245 | $ | 47,846,965 | $ | - | |||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | - | 2,079,479 | - | ||||||||||
Total Assets | $ | 1,696,722,245 | $ | 49,926,444 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | - | $ | 77,865 | $ | - | |||||||
(a) | Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date. |
12 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $901,748,970)(1) |
| $ | 1,698,892,808 |
| |
| Affiliated investments, at value (cost $45,676,402) |
|
| 45,676,402 |
| |
| Forward foreign currency exchange contracts |
|
| 2,079,479 |
| |
| Non-interested Trustees' deferred compensation |
|
| 42,245 |
| |
| Receivables: |
|
|
|
| |
|
| Investments sold |
|
| 4,743,294 |
|
|
| Portfolio shares sold |
|
| 1,549,007 |
|
|
| Dividends |
|
| 671,822 |
|
|
| Dividends from affiliates |
|
| 1,738 |
|
| Other assets |
|
| 4,068 |
| |
Total Assets |
|
| 1,753,660,863 |
| ||
Liabilities: |
|
|
|
| ||
| Foreign cash due to custodian |
|
| 174 |
| |
| Collateral for securities loaned (Note 3) |
|
| 10,852,813 |
| |
| Forward foreign currency exchange contracts |
|
| 77,865 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 4,954,184 |
|
|
| Portfolio shares repurchased |
|
| 1,371,337 |
|
|
| Advisory fees |
|
| 911,703 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 200,412 |
|
|
| Transfer agent fees and expenses |
|
| 75,759 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 42,245 |
|
|
| Professional fees |
|
| 23,966 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 6,616 |
|
|
| Affiliated portfolio administration fees payable |
|
| 3,561 |
|
|
| Custodian fees |
|
| 2,430 |
|
|
| Accrued expenses and other payables |
|
| 69,508 |
|
Total Liabilities |
|
| 18,592,573 |
| ||
Net Assets |
| $ | 1,735,068,290 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 799,781,071 |
| |
| Total distributable earnings (loss) |
|
| 935,287,219 |
| |
Total Net Assets |
| $ | 1,735,068,290 |
| ||
Net Assets - Institutional Shares |
| $ | 744,228,084 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 7,902,424 |
| |
Net Asset Value Per Share |
| $ | 94.18 |
| ||
Net Assets - Service Shares |
| $ | 990,840,206 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 11,418,752 |
| |
Net Asset Value Per Share |
| $ | 86.77 |
|
(1) Includes $10,629,969 of securities on loan. See Note 3 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Enterprise Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 9,419,898 |
| |
| Dividends from affiliates |
| 22,061 |
| |
| Affiliated securities lending income, net |
| 7,166 |
| |
| Unaffiliated securities lending income, net |
| 159 |
| |
| Foreign tax withheld |
| (143,681) |
| |
Total Investment Income |
| 9,305,603 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 5,428,726 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 1,167,273 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 190,665 |
|
|
| Service Shares |
| 233,455 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 19,037 |
|
|
| Service Shares |
| 9,636 |
|
| Shareholder reports expense |
| 45,968 |
| |
| Affiliated portfolio administration fees |
| 26,422 |
| |
| Professional fees |
| 22,673 |
| |
| Non-interested Trustees’ fees and expenses |
| 12,877 |
| |
| Custodian fees |
| 12,876 |
| |
| Registration fees |
| 11,471 |
| |
| Other expenses |
| 60,254 |
| |
Total Expenses |
| 7,241,333 |
| ||
Net Investment Income/(Loss) |
| 2,064,270 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 138,826,597 |
| |
| Investments in affiliates |
| 3,439 |
| |
| Forward foreign currency exchange contracts |
| (1,951,311) |
| |
Total Net Realized Gain/(Loss) on Investments |
| 136,878,725 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation |
| 15,204,233 |
| |
| Investments in affiliates |
| (3,439) |
| |
| Forward foreign currency exchange contracts |
| 2,199,004 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 17,399,798 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 156,342,793 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 2,064,270 |
| $ | 1,751,409 |
| |
| Net realized gain/(loss) on investments |
| 136,878,725 |
|
| 152,530,739 |
| |
| Change in unrealized net appreciation/depreciation |
| 17,399,798 |
|
| 116,773,165 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 156,342,793 |
|
| 271,055,313 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (68,341,267) |
|
| (51,851,530) |
|
|
| Service Shares |
| (91,137,615) |
|
| (59,611,141) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (159,478,882) |
|
| (111,462,671) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (26,881,039) |
|
| (91,362,702) |
|
|
| Service Shares |
| 74,722,835 |
|
| 9,681,015 |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 47,841,796 |
|
| (81,681,687) |
| ||
Net Increase/(Decrease) in Net Assets |
| 44,705,707 |
|
| 77,910,955 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 1,690,362,583 |
|
| 1,612,451,628 |
| |
| End of period | $ | 1,735,068,290 |
| $ | 1,690,362,583 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Enterprise Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $94.21 |
|
| $85.46 |
|
| $67.02 |
|
| $70.65 |
|
| $59.27 |
|
| $57.33 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.18 |
|
| 0.20 |
|
| 0.29 |
|
| 0.21 |
|
| 0.11 |
|
| 0.28 |
| |
|
| Net realized and unrealized gain/(loss) |
| 8.70 |
|
| 14.53 |
|
| 23.06 |
|
| (0.16) |
|
| 15.67 |
|
| 6.50 |
| |
| Total from Investment Operations |
| 8.88 |
|
| 14.73 |
|
| 23.35 |
|
| 0.05 |
|
| 15.78 |
|
| 6.78 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.33) |
|
| (0.06) |
|
| (0.16) |
|
| (0.18) |
|
| (0.17) |
|
| (0.09) |
| |
|
| Distributions (from capital gains) |
| (8.58) |
|
| (5.92) |
|
| (4.75) |
|
| (3.50) |
|
| (4.23) |
|
| (4.75) |
| |
| Total Dividends and Distributions |
| (8.91) |
|
| (5.98) |
|
| (4.91) |
|
| (3.68) |
|
| (4.40) |
|
| (4.84) |
| ||
| Net Asset Value, End of Period |
| $94.18 |
|
| $94.21 |
|
| $85.46 |
|
| $67.02 |
|
| $70.65 |
|
| $59.27 |
| ||
| Total Return* |
| 9.47% |
|
| 19.47% |
|
| 35.48% |
|
| (0.41)% |
|
| 27.42% |
|
| 12.36% |
| ||
| Net Assets, End of Period (in thousands) |
| $744,228 |
|
| $768,141 |
|
| $791,044 |
|
| $577,477 |
|
| $618,750 |
|
| $459,250 |
| ||
| Average Net Assets for the Period (in thousands) |
| $781,691 |
|
| $699,442 |
|
| $707,052 |
|
| $641,390 |
|
| $556,940 |
|
| $435,190 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.71% |
|
| 0.72% |
|
| 0.72% |
|
| 0.72% |
|
| 0.73% |
|
| 0.72% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.71% |
|
| 0.72% |
|
| 0.72% |
|
| 0.72% |
|
| 0.73% |
|
| 0.72% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.37% |
|
| 0.25% |
|
| 0.37% |
|
| 0.29% |
|
| 0.17% |
|
| 0.48% |
| |
| Portfolio Turnover Rate |
| 11% |
|
| 16% |
|
| 14% |
|
| 14% |
|
| 14% |
|
| 20% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $87.46 |
|
| $79.93 |
|
| $63.00 |
|
| $66.67 |
|
| $56.22 |
|
| $54.67 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.06 |
|
| —(2) |
|
| 0.09 |
|
| 0.03 |
|
| (0.05) |
|
| 0.12 |
| |
|
| Net realized and unrealized gain/(loss) |
| 8.06 |
|
| 13.45 |
|
| 21.63 |
|
| (0.12) |
|
| 14.82 |
|
| 6.19 |
| |
| Total from Investment Operations |
| 8.12 |
|
| 13.45 |
|
| 21.72 |
|
| (0.09) |
|
| 14.77 |
|
| 6.31 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.23) |
|
| — |
|
| (0.04) |
|
| (0.08) |
|
| (0.09) |
|
| (0.01) |
| |
|
| Distributions (from capital gains) |
| (8.58) |
|
| (5.92) |
|
| (4.75) |
|
| (3.50) |
|
| (4.23) |
|
| (4.75) |
| |
| Total Dividends and Distributions |
| (8.81) |
|
| (5.92) |
|
| (4.79) |
|
| (3.58) |
|
| (4.32) |
|
| (4.76) |
| ||
| Net Asset Value, End of Period |
| $86.77 |
|
| $87.46 |
|
| $79.93 |
|
| $63.00 |
|
| $66.67 |
|
| $56.22 |
| ||
| Total Return* |
| 9.33% |
|
| 19.18% |
|
| 35.14% |
|
| (0.65)% |
|
| 27.09% |
|
| 12.10% |
| ||
| Net Assets, End of Period (in thousands) |
| $990,840 |
|
| $922,221 |
|
| $821,408 |
|
| $588,973 |
|
| $555,550 |
|
| $419,251 |
| ||
| Average Net Assets for the Period (in thousands) |
| $956,774 |
|
| $773,949 |
|
| $734,274 |
|
| $612,433 |
|
| $489,237 |
|
| $373,400 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.95% |
|
| 0.97% |
|
| 0.97% |
|
| 0.97% |
|
| 0.98% |
|
| 0.97% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.95% |
|
| 0.97% |
|
| 0.97% |
|
| 0.97% |
|
| 0.98% |
|
| 0.97% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.13% |
|
| 0.00%(3) |
|
| 0.12% |
|
| 0.04% |
|
| (0.08)% |
|
| 0.22% |
| |
| Portfolio Turnover Rate |
| 11% |
|
| 16% |
|
| 14% |
|
| 14% |
|
| 14% |
|
| 20% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Less than $0.005 on a per share basis. (3) Less than 0.005%. |
See Notes to Financial Statements. | |
16 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Enterprise Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 17 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 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 describes the amounts of transfers into or out of Level 3 of the fair value hierarchy during the period.
Financial assets of $3,426,971 were transferred out of Level 3 to Level 1 since 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 daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
18 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Derivative Instruments
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on futures 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, 2021 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than
Janus Aspen Series | 19 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result, the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
· Commodity Risk – the risk related to the change in value of commodities or commodity-linked investments due to changes in the overall market movements, volatility of the underlying benchmark, changes in interest rates, or other factors affecting a particular industry or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short
20 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading.
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for non-hedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations for the change in unrealized net appreciation/depreciation (if applicable). The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a forward currency contract is reported on the Statement of Operations (if applicable).
During the period, the Portfolio entered into forward currency contracts with the obligation to purchase foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
During the period, the Portfolio entered into forward currency contracts with the obligation to sell foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
3. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
Janus Aspen Series | 21 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following tables present gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2021” table located in the Portfolio’s Schedule of Investments.
22 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
Barclays Capital, Inc. | $ | 375,087 | $ | (51,465) | $ | — | $ | 323,622 | |
Citibank, National Association | 321,653 | (12,693) | — | 308,960 | |||||
Credit Suisse International | 354,755 | (13,707) | — | 341,048 | |||||
HSBC Securities (USA), Inc. | 458,776 | — | — | 458,776 | |||||
JPMorgan Chase Bank, National Association | 11,183,260 | — | (10,629,969) | 553,291 | |||||
State Street | 15,917 | — | — | 15,917 | |||||
Total | $ | 12,709,448 | $ | (77,865) | $ | (10,629,969) | $ | 2,001,614 | |
Offsetting of Financial Liabilities and Derivative Liabilities | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Liabilities | or Liability(a) | Pledged(b) | Net Amount | |||||
Barclays Capital, Inc. | $ | 51,465 | $ | (51,465) | $ | — | $ | — | |
Citibank, National Association | 12,693 | (12,693) | — | — | |||||
Credit Suisse International | 13,707 | (13,707) | — | — | |||||
Total | $ | 77,865 | $ | (77,865) | $ | — | $ | — | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | ||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
The Portfolio generally does not exchange collateral on its forward foreign currency contracts with its counterparties; however, all liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Certain securities may be segregated at the Portfolio’s custodian. These segregated securities are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their cover and/or market value equals or exceeds the Portfolio’s corresponding forward foreign currency exchange contract's obligation value.
Janus Aspen Series | 23 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $10,629,969. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $10,852,813, resulting in the net amount due to the counterparty of $222,844.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.64% of its average daily net assets.
24 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 are included in “Non-interested Trustees’ fees
Janus Aspen Series | 25 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
5. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. 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.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 950,397,543 | $804,087,166 | $ (9,915,499) | $ 794,171,667 |
Information on the tax components of derivatives as of June 30, 2021 is as follows:
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
| $ 2,079,479 | $ (77,865) | $ 2,001,614 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
26 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
6. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 356,687 | $ 34,890,362 |
| 962,490 | $ 74,261,046 | |
Reinvested dividends and distributions | 729,518 | 68,341,267 |
| 726,925 | 51,851,530 | |
Shares repurchased | (1,337,113) | (130,112,668) |
| (2,792,786) | (217,475,278) | |
Net Increase/(Decrease) | (250,908) | $(26,881,039) |
| (1,103,371) | $ (91,362,702) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 818,907 | $ 74,737,807 |
| 2,291,089 | $163,267,970 | |
Reinvested dividends and distributions | 1,055,689 | 91,137,615 |
| 898,977 | 59,611,141 | |
Shares repurchased | (1,000,100) | (91,152,587) |
| (2,922,142) | (213,198,096) | |
Net Increase/(Decrease) | 874,496 | $ 74,722,835 |
| 267,924 | $ 9,681,015 |
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$181,389,661 | $ 263,196,548 | $ - | $ - |
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
Janus Aspen Series | 27 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
28 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
Janus Aspen Series | 29 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
30 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
Janus Aspen Series | 31 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
32 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
Janus Aspen Series | 33 |
Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
34 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Aspen Series | 35 |
Janus Henderson VIT Enterprise Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
36 | JUNE 30, 2021 |
Janus Henderson VIT Enterprise Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Aspen Series | 37 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81116 08-21 |
SEMIANNUAL REPORT June 30, 2021 | |||||
Janus Henderson VIT Flexible Bond Portfolio | |||||
Janus Aspen Series | |||||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Flexible Bond Portfolio
PORTFOLIO SNAPSHOT We believe our research-driven investment process, diversified portfolio construction and robust risk management can drive consistent risk-adjusted performance, with excess returns generated primarily through sector and security decisions. Our collaborative investment teams utilize our broad investment flexibility across the investment cycle in an effort to capitalize on attractive opportunities and provide the downside risk management clients expect from their core fixed income portfolio. | Greg Wilensky co-portfolio manager | Michael Keough co-portfolio manager | |||
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
Fund Profile |
|
|
30-day Current Yield* | Without | With |
Institutional Shares | 1.03% | 1.05% |
Service Shares | 0.78% | 0.80% |
Weighted Average Maturity | 7.6 Years | |
Average Effective Duration** | 5.9 Years | |
* Yield will fluctuate. |
|
|
** A theoretical measure of price volatility. |
|
Ratings† Summary - (% of Total Investments) |
|
AAA | 6.0% |
AA | 36.3% |
A | 4.1% |
BBB | 24.4% |
BB | 14.4% |
B | 3.0% |
Not Rated | 10.9% |
Other | 0.9% |
† Credit ratings provided by Standard & Poor's (S&P), an independent credit rating agency. Credit ratings range from AAA (highest) to D (lowest) based on S&P's measures. Further information on S&P's rating methodology may be found at www.standardandpoors.com. Other rating agencies may rate the same securities differently. Ratings are relative and subjective and are not absolute standards of quality. Credit quality does not remove market risk and is subject to change. "Not Rated" securities are not rated by S&P, but may be rated by other rating agencies and do not necessarily indicate low quality. "Other" includes cash equivalents, equity securities, and certain derivative instruments. |
Asset Allocation - (% of Net Assets) | |||||
Corporate Bonds | 41.6% | ||||
United States Treasury Notes/Bonds | 19.1% | ||||
Mortgage-Backed Securities | 16.6% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 16.0% | ||||
Investment Companies | 11.5% | ||||
Inflation-Indexed Bonds | 4.0% | ||||
Bank Loans and Mezzanine Loans | 1.3% | ||||
Preferred Stocks | 0.5% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 0.1% | ||||
Other | (10.7)% | ||||
100.0% |
Janus Aspen Series | 1 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| |
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | ||||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | Net Annual Fund | |
Institutional Shares |
| -1.20% | 2.28% | 3.77% | 3.99% | 6.16% |
|
| 0.60% | 0.58% | |
Service Shares |
| -1.28% | 2.08% | 3.52% | 3.74% | 5.93% |
|
| 0.85% | 0.82% | |
Bloomberg Barclays U.S. Aggregate Bond Index |
| -1.60% | -0.33% | 3.03% | 3.39% | 5.08% |
|
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 2nd | 2nd | 1st |
|
|
|
| |
Morningstar Ranking - based on total returns for Intermediate Core - Plus Bond Funds |
| - | 365/593 | 263/547 | 204/478 | 7/180 |
|
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Net expense ratios reflect the expense waiver, if any, contractually agreed to for at least a one-year period commencing on April 30, 2021.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2021 Morningstar, Inc. All Rights Reserved.
2 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for indexfor index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
Janus Aspen Series | 3 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $988.00 | $2.81 |
| $1,000.00 | $1,021.97 | $2.86 | 0.57% | ||
Service Shares | $1,000.00 | $987.20 | $4.04 |
| $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. |
4 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– 16.0% | |||||||
208 Park Avenue Mortgage Trust 2017-280P, | |||||||
ICE LIBOR USD 1 Month + 0.8800%, 0.9529%, 9/15/34 (144A)‡ | $629,029 | $629,041 | |||||
Affirm Asset Securitization Trust 2020-Z2 A, 1.9000%, 1/15/25 (144A) | 342,711 | 345,082 | |||||
Affirm Asset Securitization Trust 2021-A A, 0.8800%, 8/15/25 (144A) | 723,000 | 723,918 | |||||
Angel Oak Mortgage Trust I LLC 2018-2, | |||||||
ICE LIBOR USD 12 Month + 0.7600%, 3.6740%, 7/27/48 (144A)‡ | 69,957 | 69,957 | |||||
Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | 309,775 | 310,874 | |||||
Angel Oak Mortgage Trust I LLC 2019-6, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | 288,331 | 290,056 | |||||
Angel Oak Mortgage Trust I LLC 2020-2, | |||||||
ICE LIBOR USD 12 Month + 2.2000%, 2.5310%, 1/26/65 (144A)‡ | 517,860 | 526,061 | |||||
Angel Oak Mortgage Trust I LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | 480,376 | 483,369 | |||||
Arbys Funding LLC 2020-1A, 3.2370%, 7/30/50 (144A) | 1,791,463 | 1,868,733 | |||||
Bank 2018-BN12 A4, 4.2550%, 5/15/61‡ | 260,123 | 300,249 | |||||
Bank 2019-BN17, 3.7140%, 4/15/52 | 569,676 | 641,509 | |||||
Bank 2019-BN18, 3.5840%, 5/15/62 | 978,130 | 1,098,209 | |||||
Bank 2019-BN20, 3.0110%, 9/15/62 | 466,163 | 503,612 | |||||
Bank 2019-BN23, 2.9200%, 12/15/52 | 838,600 | 905,351 | |||||
Bank 2019-BNK24, 2.9600%, 11/15/62 | 236,800 | 254,944 | |||||
Barclays Comercial Mortgage Securities LLC 2015-SRCH, | |||||||
4.1970%, 8/10/35 (144A) | 1,447,000 | 1,639,850 | |||||
Barclays Comercial Mortgage Securities LLC 2017-DELC, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 0.9229%, 8/15/36 (144A)‡ | 443,000 | 443,341 | |||||
Benchmark Mortgage Trust 2020-B16, 2.7320%, 2/15/53 | 565,000 | 597,931 | |||||
BVRT Financing Trust, 1.8270%, 7/10/32‡ | 23,780 | 23,780 | |||||
BVRT Financing Trust 2021-1F M1, 1.5600%, 7/1/33‡ | 285,835 | 285,854 | |||||
BVRT Financing Trust 2021-2F M1, 1.5600%, 1/10/32‡ | 856,571 | 856,571 | |||||
BVRT Financing Trust 2021-CRT1 M2, 2.3270%, 1/10/33‡ | 662,000 | 663,241 | |||||
BVRT Financing Trust 2021-CRT2 M1, 1.8451%, 11/10/32‡ | 722,719 | 722,719 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 0.8230%, 11/15/35 (144A)‡ | 675,372 | 675,685 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | 614,000 | 661,330 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 309,000 | 339,027 | |||||
BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 614,000 | 668,996 | |||||
BX Commercial Mortgage Trust 2019-OC11, 4.0755%, 12/9/41 (144A)‡ | 920,000 | 986,989 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 0.9200%, 0.9930%, 10/15/36 (144A)‡ | 1,251,982 | 1,254,149 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 1.1530%, 10/15/36 (144A)‡ | 208,211 | 208,450 | |||||
BX Commercial Mortgage Trust 2020-FOX A, | |||||||
ICE LIBOR USD 1 Month + 1.0000%, 1.0730%, 11/15/32 (144A)‡ | 1,756,551 | 1,761,054 | |||||
BX Commercial Mortgage Trust 2020-FOX B, | |||||||
ICE LIBOR USD 1 Month + 1.3500%, 1.4230%, 11/15/32 (144A)‡ | 314,372 | 315,020 | |||||
BX Commercial Mortgage Trust 2020-FOX C, | |||||||
ICE LIBOR USD 1 Month + 1.5500%, 1.6230%, 11/15/32 (144A)‡ | 314,372 | 315,231 | |||||
BX Commercial Mortgage Trust 2021-LBA AJV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.8730%, 2/15/36 (144A)‡ | 848,000 | 849,342 | |||||
BX Commercial Mortgage Trust 2021-LBA AV, | |||||||
ICE LIBOR USD 1 Month + 0.8000%, 0.8730%, 2/15/36 (144A)‡ | 964,000 | 965,493 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 696,000 | 758,188 | |||||
CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | 1,202,000 | 1,209,879 | |||||
CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | 441,000 | 446,258 | |||||
CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | 1,086,378 | 1,086,077 | |||||
Cold Storage Trust 2020-ICE5 A, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 0.9729%, 11/15/37 (144A)‡ | 1,740,876 | 1,745,829 | |||||
Cold Storage Trust 2020-ICE5 B, | |||||||
ICE LIBOR USD 1 Month + 1.3000%, 1.3729%, 11/15/37 (144A)‡ | 774,597 | 776,356 | |||||
Cold Storage Trust 2020-ICE5 C, | |||||||
ICE LIBOR USD 1 Month + 1.6500%, 1.7229%, 11/15/37 (144A)‡ | 777,546 | 779,495 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 5 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
COLT Funding LLC 2020-2, | |||||||
ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | $226,467 | $227,790 | |||||
COLT Funding LLC 2020-3, | |||||||
ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | 244,233 | 245,183 | |||||
Connecticut Avenue Securities Trust 2014-C04, | |||||||
ICE LIBOR USD 1 Month + 4.9000%, 4.9915%, 11/25/24‡ | 66,942 | 68,895 | |||||
Connecticut Avenue Securities Trust 2015-C02 1M2, | |||||||
ICE LIBOR USD 1 Month + 4.0000%, 4.0915%, 5/25/25‡ | 209,877 | 213,010 | |||||
Connecticut Avenue Securities Trust 2016-C03, | |||||||
ICE LIBOR USD 1 Month + 5.9000%, 5.9915%, 10/25/28‡ | 139,794 | 146,751 | |||||
Connecticut Avenue Securities Trust 2016-C04, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3415%, 1/25/29‡ | 346,459 | 361,714 | |||||
Connecticut Avenue Securities Trust 2016-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 4.2500%, 4.3415%, 4/25/29‡ | 394,270 | 410,956 | |||||
Connecticut Avenue Securities Trust 2017-C01, | |||||||
ICE LIBOR USD 1 Month + 3.5500%, 3.6415%, 7/25/29‡ | 613,694 | 634,846 | |||||
Connecticut Avenue Securities Trust 2017-C05 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.2000%, 2.2915%, 1/25/30‡ | 864,143 | 877,067 | |||||
Connecticut Avenue Securities Trust 2017-C06 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.6500%, 2.7415%, 2/25/30‡ | 738,470 | 751,854 | |||||
Connecticut Avenue Securities Trust 2017-C07 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.4000%, 2.4915%, 5/25/30‡ | 843,219 | 853,815 | |||||
Connecticut Avenue Securities Trust 2018-C03 1M2, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2415%, 10/25/30‡ | 857,619 | 868,138 | |||||
Connecticut Avenue Securities Trust 2018-R07, | |||||||
ICE LIBOR USD 1 Month + 2.4000%, 2.4915%, 4/25/31 (144A)‡ | 197,863 | 198,843 | |||||
Connecticut Avenue Securities Trust 2019-R02, | |||||||
ICE LIBOR USD 1 Month + 2.3000%, 2.3915%, 8/25/31 (144A)‡ | 161,927 | 163,023 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 2.2415%, 9/25/31 (144A)‡ | 519,923 | 523,607 | |||||
Connecticut Avenue Securities Trust 2019-R04, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.1915%, 6/25/39 (144A)‡ | 426,503 | 426,767 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.0915%, 7/25/39 (144A)‡ | 411,250 | 412,839 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 2.1915%, 10/25/39 (144A)‡ | 170,205 | 170,837 | |||||
Connecticut Avenue Securities Trust 2020-R02, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 2.0915%, 1/25/40 (144A)‡ | 1,088,750 | 1,093,347 | |||||
Cosmopolitan Hotel Trust 2017, | |||||||
ICE LIBOR USD 1 Month + 0.9300%, 1.0029%, 11/15/36 (144A)‡ | 552,036 | 552,931 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 124,275 | 125,204 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4, | |||||||
ICE LIBOR USD 1 Month + 0.9800%, 1.0530%, 5/15/36 (144A)‡ | 1,570,000 | 1,572,375 | |||||
Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | |||||||
ICE LIBOR USD 1 Month + 1.4300%, 1.5030%, 5/15/36 (144A)‡ | 831,000 | 832,134 | |||||
Credit Suisse Commercial Mortgage Trust 2020-UNFI, 4.1682%, 12/6/22‡ | 453,000 | 452,418 | |||||
Credit Suisse Commercial Mortgage Trust 2021-WEHO A, 4.0422%, 4/15/23‡ | 1,039,739 | 1,039,692 | |||||
DB Master Finance LLC 2019-1A A23, 4.3520%, 5/20/49 (144A) | 456,863 | 505,532 | |||||
DB Master Finance LLC 2019-1A A2I, 3.7870%, 5/20/49 (144A) | 570,833 | 578,368 | |||||
DB Master Finance LLC 2019-1A A2II, 4.0210%, 5/20/49 (144A) | 230,888 | 243,607 | |||||
Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | 1,183,000 | 1,177,146 | |||||
Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | 359,910 | 388,224 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 1,065,675 | 1,112,023 | |||||
Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | 553,800 | 602,916 | |||||
Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | 1,980,925 | 2,140,294 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 1,590,000 | 1,608,890 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 1,400,000 | 1,426,141 | |||||
Drive Auto Receivables Trust 2017-3, 3.5300%, 12/15/23 (144A) | 50,537 | 50,997 | |||||
Exeter Automobile Receivables Trust 2021-1A C, 0.7400%, 1/15/26 | 181,000 | 180,856 | |||||
Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | 580,000 | 579,729 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Extended Stay America Trust 2021-ESH A, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 0%, 7/15/38 (144A)‡ | $1,506,000 | $1,506,000 | |||||
Extended Stay America Trust 2021-ESH B, | |||||||
ICE LIBOR USD 1 Month + 1.3800%, 0%, 7/15/38 (144A)‡ | 410,000 | 410,000 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.0000%, 5.0915%, 7/25/25‡ | 393,113 | 403,262 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 5.7000%, 5.7915%, 4/25/28‡ | 306,673 | 324,808 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 1,389,512 | 1,472,844 | |||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | 1,515,193 | 1,604,495 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, | |||||||
ICE LIBOR USD 1 Month + 5.5500%, 5.6416%, 7/25/28‡ | 375,391 | 391,980 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | |||||||
ICE LIBOR USD 1 Month + 1.9500%, 2.0415%, 10/25/49 (144A)‡ | 135,355 | 135,993 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | |||||||
US 30 Day Average SOFR + 2.0000%, 2.0180%, 12/25/50 (144A)‡ | 910,000 | 918,446 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2, | |||||||
ICE LIBOR USD 1 Month + 3.1500%, 3.2415%, 9/25/50 (144A)‡ | 413,953 | 418,610 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | |||||||
US 30 Day Average SOFR + 2.6000%, 2.6180%, 11/25/50 (144A)‡ | 1,481,000 | 1,510,158 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | |||||||
US 30 Day Average SOFR + 2.3000%, 2.3180%, 8/25/33 (144A)‡ | 442,000 | 453,250 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | |||||||
US 30 Day Average SOFR + 2.2500%, 2.2680%, 8/25/33 (144A)‡ | 476,000 | 481,517 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.0340%, 1.1070%, 12/15/36 (144A)‡ | 293,000 | 293,309 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.3340%, 1.4070%, 12/15/36 (144A)‡ | 328,000 | 328,114 | |||||
Great Wolf Trust, | |||||||
ICE LIBOR USD 1 Month + 1.6330%, 1.7060%, 12/15/36 (144A)‡ | 365,000 | 365,134 | |||||
GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡ | 371,605 | 427,210 | |||||
GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡ | 618,450 | 702,236 | |||||
GS Mortgage Securities Trust 2020-GC45, 2.9106%, 2/13/53 | 580,000 | 621,887 | |||||
GS Mortgage Securities Trust 2020-GC47, 2.3772%, 5/12/53 | 663,000 | 683,222 | |||||
Jack in the Box Funding LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | 1,182,068 | 1,296,517 | |||||
Jack in the Box Funding LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | 1,182,068 | 1,201,168 | |||||
Jack in the Box Funding LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | 1,182,068 | 1,248,524 | |||||
Life Financial Services Trust 2021-BMR A, | |||||||
ICE LIBOR USD 1 Month + 0.7000%, 0.7730%, 3/15/38 (144A)‡ | 2,198,000 | 2,201,679 | |||||
Life Financial Services Trust 2021-BMR C, | |||||||
ICE LIBOR USD 1 Month + 1.1000%, 1.1730%, 3/15/38 (144A)‡ | 1,052,000 | 1,054,245 | |||||
Mercury Financial Credit Card Master Trust 2021-1A A, | |||||||
1.5400%, 3/20/26 (144A) | 985,000 | 988,184 | |||||
MHC Commercial Mortgage Trust 2021-MHC A, | |||||||
ICE LIBOR USD 1 Month + 0.8010%, 0.8738%, 4/15/38 (144A)‡ | 1,980,503 | 1,982,072 | |||||
MHC Commercial Mortgage Trust 2021-MHC C, | |||||||
ICE LIBOR USD 1 Month + 1.3510%, 1.4238%, 4/15/38 (144A)‡ | 954,704 | 955,621 | |||||
Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49 | 594,000 | 629,000 | |||||
Morgan Stanley Capital I Trust 2019-H6, 3.4170%, 6/15/52 | 324,754 | 359,492 | |||||
Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48 | 447,000 | 489,494 | |||||
Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51 | 590,372 | 679,559 | |||||
Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51 | 883,008 | 1,021,005 | |||||
MRA Issuance Trust 2021-NA1 A1X, | |||||||
ICE LIBOR USD 1 Month + 1.5000%, 0%, 3/8/22 (144A)‡ | 1,734,000 | 1,734,000 | |||||
New Residential Mortgage Loan Trust 2018-2, | |||||||
ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | 345,692 | 373,112 | |||||
Newday Funding Master Issuer PLC 2021-1A A2, | |||||||
SOFR + 1.1000%, 1.1100%, 3/15/29 (144A)‡ | 693,000 | 696,667 | |||||
NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | |||||||
3.8440%, 12/25/25 (144A) | 350,581 | 363,817 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | |||||||
Oak Street Investment Grade Net Lease Fund 2020-1A A1, | |||||||
1.8500%, 11/20/50 (144A) | $764,147 | $775,481 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 254,000 | 258,508 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 252,000 | 257,027 | |||||
Planet Fitness Master Issuer LLC 2018-1A, 4.2620%, 9/5/48 (144A) | 551,408 | 551,407 | |||||
Planet Fitness Master Issuer LLC 2019-1A, 3.8580%, 12/5/49 (144A) | 944,615 | 951,436 | |||||
Preston Ridge Partners Mortgage Trust 2020-1A, 2.9810%, 2/25/25 (144A)Ç | 220,621 | 222,512 | |||||
Preston Ridge Partners Mortgage Trust 2020-3, 2.8570%, 9/25/25 (144A)Ç | 1,065,451 | 1,074,148 | |||||
Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | 685,562 | 688,472 | |||||
Preston Ridge Partners Mortgage Trust 2020-5 A1, 3.1040%, 11/25/25 (144A)Ç | 361,144 | 362,084 | |||||
Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | 1,414,000 | 1,433,022 | |||||
Santander Drive Auto Receivables Trust 2021-1 D, 1.1300%, 11/16/26 | 2,418,000 | 2,421,206 | |||||
Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | 156,137 | 158,682 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | |||||||
ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | 99,312 | 109,955 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | |||||||
ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | 197,703 | 218,801 | |||||
Spruce Hill Mortgage Loan Trust 2020-SH2, 3.4070%, 6/25/55 (144A)‡ | 492,265 | 500,572 | |||||
Taco Bell Funding LLC 2016-1A A23, 4.9700%, 5/25/46 (144A) | 603,840 | 652,547 | |||||
Taco Bell Funding LLC 2018-1A A2I, 4.3180%, 11/25/48 (144A) | 594,750 | 594,750 | |||||
Taco Bell Funding LLC 2018-1A A2II, 4.9400%, 11/25/48 (144A) | 506,025 | 570,938 | |||||
UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A) | 610,000 | 617,029 | |||||
Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | 1,453,000 | 1,455,468 | |||||
Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | 634,000 | 631,418 | |||||
VASA Trust 2021-VASA A, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 0.9730%, 7/15/39 (144A)‡ | 605,000 | 602,311 | |||||
VCAT Asset Securitization LLC 2020-NPL1, 3.6710%, 8/25/50 (144A)Ç | 331,573 | 336,537 | |||||
VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | 329,347 | 330,233 | |||||
Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 1.2230%, 2/15/40 (144A)‡ | 435,421 | 437,312 | |||||
Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | 104,220 | 113,012 | |||||
Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | 547,155 | 583,288 | |||||
Wendy's Funding LLC 2021-1A A2I, 2.3700%, 6/15/51 (144A) | 513,000 | 514,977 | |||||
Wendy's Funding LLC 2021-1A A2II, 2.7750%, 6/15/51 (144A) | 597,000 | 601,856 | |||||
Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | 637,000 | 659,461 | |||||
Wingstop Funding LLC 2020-1A A2, 2.8410%, 12/5/50 (144A) | 912,713 | 945,683 | |||||
Zaxby's Funding LLC 2021-1A A2, 3.2380%, 7/30/51 (144A) | 704,000 | 716,398 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $103,009,535) | 104,879,021 | ||||||
Bank Loans and Mezzanine Loans– 1.3% | |||||||
Basic Industry – 0.2% | |||||||
Alpha 3 BV, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 3/18/28‡ | 1,140,000 | 1,133,593 | |||||
Capital Goods – 0.3% | |||||||
Madison IAQ LLC, ICE LIBOR USD 1 Month + 3.2500%, 3.7500%, 6/21/28ƒ,‡ | 1,784,546 | 1,784,546 | |||||
Consumer Non-Cyclical – 0.8% | |||||||
Elanco Animal Health Inc, ICE LIBOR USD 1 Month + 1.7500%, 1.8651%, 8/1/27‡ | 2,476,942 | 2,437,732 | |||||
ICON Luxembourg Sarl, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 6/16/28ƒ,‡ | 2,294,559 | 2,297,794 | |||||
Indigo Merger Sub Inc, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 7/1/28ƒ,‡ | 571,691 | 572,497 | |||||
5,308,023 | |||||||
Total Bank Loans and Mezzanine Loans (cost $8,248,452) | 8,226,162 | ||||||
Corporate Bonds– 41.6% | |||||||
Banking – 8.3% | |||||||
Ally Financial Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.8680%, 4.7000%‡,µ | 1,387,000 | 1,436,516 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0600%, 3.5590%, 4/23/27‡ | 1,186,000 | 1,298,935 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 2,064,000 | 2,282,334 | |||||
Bank of America Corp, SOFR + 1.0600%, 2.0870%, 6/14/29‡ | 1,794,000 | 1,808,517 | |||||
Bank of America Corp, SOFR + 2.1500%, 2.5920%, 4/29/31‡ | 1,661,000 | 1,712,387 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%‡,µ | 549,000 | 571,097 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%‡,µ | 1,419,000 | 1,569,769 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Banking– (continued) | |||||||
Bank of New York Mellon Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.3580%, 4.7000%‡,µ | $2,036,000 | $2,221,785 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡ | 918,000 | 1,001,535 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡ | 623,000 | 655,484 | |||||
BNP Paribas SA, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.0500%, 2.5880%, 8/12/35 (144A)‡ | 2,043,000 | 1,995,833 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 1,262,000 | 1,404,538 | |||||
Citigroup Inc, SOFR + 1.4220%, 2.9760%, 11/5/30‡ | 580,000 | 614,325 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 4.0680%, 5.9500%‡,µ | 1,129,000 | 1,186,980 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%‡,µ | 668,000 | 693,061 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%‡,µ | 152,000 | 163,506 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%‡,µ | 683,000 | 747,509 | |||||
Citigroup Inc, SOFR + 3.8130%, 5.0000%‡,µ | 695,000 | 727,387 | |||||
Credit Agricole SA, 4.3750%, 3/17/25 (144A) | 688,000 | 756,560 | |||||
Credit Agricole SA, 3.2500%, 1/14/30 (144A) | 1,249,000 | 1,314,891 | |||||
Credit Agricole SA/London, SOFR + 1.6760%, 1.9070%, 6/16/26 (144A)‡ | 281,000 | 286,491 | |||||
Goldman Sachs Group Inc, 3.5000%, 4/1/25 | 1,757,000 | 1,906,165 | |||||
Goldman Sachs Group Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.2240%, 4.9500%‡,µ | 457,000 | 488,469 | |||||
HSBC Holdings PLC, SOFR + 1.5380%, 1.6450%, 4/18/26‡ | 1,120,000 | 1,135,017 | |||||
HSBC Holdings PLC, SOFR + 1.2900%, 1.5890%, 5/24/27‡ | 1,967,000 | 1,970,791 | |||||
JPMorgan Chase & Co, SOFR + 1.8500%, 2.0830%, 4/22/26‡ | 631,000 | 652,482 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 1,746,000 | 1,944,354 | |||||
JPMorgan Chase & Co, SOFR + 0.8850%, 1.5780%, 4/22/27‡ | 1,682,000 | 1,690,715 | |||||
JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31‡ | 3,121,000 | 3,278,631 | |||||
JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%, 7/31/69‡ | 548,000 | 579,209 | |||||
JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%, 1/23/70‡ | 579,000 | 600,018 | |||||
Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | 1,856,000 | 1,927,088 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 1,578,000 | 1,763,207 | |||||
Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡ | 808,000 | 813,717 | |||||
Morgan Stanley, SOFR + 1.0340%, 1.7940%, 2/13/32‡ | 1,515,000 | 1,455,630 | |||||
National Australia Bank Ltd, 2.9900%, 5/21/31 (144A) | 1,987,000 | 2,017,389 | |||||
Natwest Group PLC, | |||||||
US Treasury Yield Curve Rate 5 Year + 2.3500%, 3.0320%, 11/28/35‡ | 1,513,000 | 1,515,421 | |||||
SVB Financial Group, 3.1250%, 6/5/30 | 1,932,000 | 2,056,177 | |||||
SVB Financial Group, 1.8000%, 2/2/31 | 692,000 | 661,912 | |||||
SVB Financial Group, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%‡,µ | 1,753,000 | 1,778,191 | |||||
Westpac Banking Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | 1,504,000 | 1,479,364 | |||||
54,163,387 | |||||||
Basic Industry – 1.0% | |||||||
Axalta Coating Systems Ltd, 3.3750%, 2/15/29 (144A) | 2,109,000 | 2,061,547 | |||||
Element Solutions Inc, 3.8750%, 9/1/28 (144A) | 1,598,000 | 1,630,439 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 940,000 | 945,520 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 1,878,000 | 1,988,247 | |||||
6,625,753 | |||||||
Brokerage – 0.6% | |||||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.9710%, 5.3750%‡,µ | 2,845,000 | 3,144,578 | |||||
Charles Schwab Corp, | |||||||
US Treasury Yield Curve Rate 10 Year + 3.0790%, 4.0000%‡,µ | 920,000 | 941,160 | |||||
4,085,738 | |||||||
Capital Goods – 1.7% | |||||||
Boeing Co, 4.5080%, 5/1/23 | 1,505,000 | 1,604,472 | |||||
Boeing Co, 4.8750%, 5/1/25 | 1,109,000 | 1,242,599 | |||||
Boeing Co, 2.1960%, 2/4/26 | 544,000 | 549,200 | |||||
Boeing Co, 3.2500%, 2/1/28 | 581,000 | 615,912 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Capital Goods– (continued) | |||||||
Boeing Co, 3.6250%, 2/1/31 | $1,233,000 | $1,326,126 | |||||
Boeing Co, 3.9500%, 8/1/59 | 762,000 | 797,231 | |||||
TransDigm Inc, 4.6250%, 1/15/29 (144A) | 2,561,000 | 2,561,896 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 587,000 | 636,007 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 821,000 | 952,349 | |||||
Westinghouse Air Brake Technologies Corp, 3.2000%, 6/15/25 | 607,000 | 645,544 | |||||
10,931,336 | |||||||
Communications – 4.5% | |||||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A) | 1,801,000 | 1,834,769 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 4.5000%, 5/1/32 | 2,833,000 | 2,935,696 | |||||
Cellnex Finance Co SA, 3.8750%, 7/7/41 (144A) | 1,378,000 | 1,373,053 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 589,000 | 606,134 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 6.4840%, 10/23/45 | 323,000 | 444,830 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 5.3750%, 5/1/47 | 258,000 | 316,156 | |||||
Charter Communications Operating LLC / Charter Communications Operating | |||||||
Capital, 4.8000%, 3/1/50 | 622,000 | 714,397 | |||||
Comcast Corp, 3.7500%, 4/1/40 | 184,000 | 207,420 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 757,000 | 834,663 | |||||
Crown Castle International Corp, 3.1000%, 11/15/29 | 942,000 | 999,424 | |||||
CSC Holdings LLC, 4.1250%, 12/1/30 (144A) | 1,432,000 | 1,423,050 | |||||
CSC Holdings LLC, 4.6250%, 12/1/30 (144A) | 1,443,000 | 1,415,742 | |||||
CSC Holdings LLC, 3.3750%, 2/15/31 (144A) | 1,165,000 | 1,100,820 | |||||
CSC Holdings LLC, 5.0000%, 11/15/31 (144A) | 692,000 | 695,322 | |||||
GCI LLC, 4.7500%, 10/15/28 (144A) | 2,696,000 | 2,759,356 | |||||
Level 3 Financing Inc, 3.8750%, 11/15/29 (144A) | 1,210,000 | 1,295,946 | |||||
Netflix Inc, 3.6250%, 6/15/25 (144A) | 3,138,000 | 3,369,710 | |||||
Sirius XM Radio Inc, 4.1250%, 7/1/30 (144A) | 2,078,000 | 2,096,453 | |||||
T-Mobile USA Inc, 2.2500%, 2/15/26 | 734,000 | 739,505 | |||||
T-Mobile USA Inc, 2.6250%, 2/15/29 | 1,844,000 | 1,820,950 | |||||
T-Mobile USA Inc, 3.0000%, 2/15/41 | 815,000 | 804,951 | |||||
Verizon Communications Inc, 3.0000%, 3/22/27 | 251,000 | 270,109 | |||||
Verizon Communications Inc, 2.1000%, 3/22/28 | 486,000 | 496,165 | |||||
Verizon Communications Inc, 3.5500%, 3/22/51 | 820,000 | 876,061 | |||||
29,430,682 | |||||||
Consumer Cyclical – 3.5% | |||||||
1011778 BC ULC / New Red Finance Inc, 4.0000%, 10/15/30 (144A) | 2,938,000 | 2,842,515 | |||||
Choice Hotels International Inc, 3.7000%, 12/1/29 | 1,293,000 | 1,399,685 | |||||
Choice Hotels International Inc, 3.7000%, 1/15/31 | 334,000 | 361,435 | |||||
Experian Finance PLC, 2.7500%, 3/8/30 (144A) | 1,575,000 | 1,627,737 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 495,000 | 557,197 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 931,000 | 1,071,590 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | 100,000 | 116,500 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30 | 1,612,000 | 1,730,176 | |||||
GoDaddy Operating Co LLC / GD Finance Co Inc, 3.5000%, 3/1/29 (144A) | 2,088,000 | 2,074,428 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 811,000 | 849,554 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 1,914,000 | 2,142,723 | |||||
Lithia Motors Inc, 3.8750%, 6/1/29 (144A) | 2,149,000 | 2,227,546 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 1,126,000 | 1,233,702 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 217,000 | 226,808 | |||||
Nordstrom Inc, 4.3750%, 4/1/30# | 1,133,000 | 1,180,588 | |||||
Service Corp International/US, 3.3750%, 8/15/30 | 578,000 | 566,324 | |||||
Service Corporation International, 4.0000%, 5/15/31 | 1,362,000 | 1,390,159 | |||||
Yum! Brands Inc, 4.6250%, 1/31/32 | 1,462,000 | 1,535,100 | |||||
23,133,767 | |||||||
Consumer Non-Cyclical – 4.6% | |||||||
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc, | |||||||
4.9000%, 2/1/46 | 1,478,000 | 1,870,779 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Consumer Non-Cyclical– (continued) | |||||||
Aramark Services Inc, 6.3750%, 5/1/25 (144A) | $1,476,000 | $1,568,250 | |||||
Coca-Cola Femsa SAB de CV, 2.7500%, 1/22/30 | 759,000 | 790,180 | |||||
DaVita Inc, 4.6250%, 6/1/30 (144A) | 1,173,000 | 1,206,102 | |||||
DaVita Inc, 3.7500%, 2/15/31 (144A) | 1,543,000 | 1,481,280 | |||||
Elanco Animal Health Inc, 5.2720%, 8/28/23 | 1,274,000 | 1,370,302 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 2,520,000 | 2,801,939 | |||||
Hasbro Inc, 6.3500%, 3/15/40 | 226,000 | 315,081 | |||||
Hasbro Inc, 5.1000%, 5/15/44 | 1,456,000 | 1,779,779 | |||||
HCA Inc, 5.3750%, 2/1/25 | 642,000 | 724,176 | |||||
HCA Inc, 3.5000%, 9/1/30 | 930,000 | 990,794 | |||||
HCA Inc, 5.5000%, 6/15/47 | 283,000 | 368,585 | |||||
HCA Inc, 5.2500%, 6/15/49 | 424,000 | 540,469 | |||||
HCA Inc, 3.5000%, 7/15/51 | 1,295,000 | 1,294,410 | |||||
JBS Finance Luxembourg Sarl, 3.6250%, 1/15/32 (144A) | 923,000 | 922,714 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | 717,000 | 787,804 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.5000%, 4/15/29 (144A) | 1,827,000 | 2,053,110 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
5.5000%, 1/15/30 (144A) | 1,500,000 | 1,677,570 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
3.7500%, 12/1/31 (144A) | 873,000 | 893,297 | |||||
Kraft Heinz Foods Co, 3.8750%, 5/15/27 | 1,162,000 | 1,276,775 | |||||
Kraft Heinz Foods Co, 5.0000%, 6/4/42 | 797,000 | 973,215 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 229,000 | 259,503 | |||||
Kraft Heinz Foods Co, 4.8750%, 10/1/49 | 536,000 | 650,678 | |||||
Organon Finance 1 LLC, 4.1250%, 4/30/28 (144A) | 1,630,000 | 1,662,274 | |||||
Royalty Pharma PLC, 3.5500%, 9/2/50 (144A) | 1,079,000 | 1,073,223 | |||||
Sysco Corp, 6.6000%, 4/1/50 | 369,000 | 573,191 | |||||
29,905,480 | |||||||
Electric – 2.1% | |||||||
CMS Energy Corp, | |||||||
US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | 1,351,000 | 1,505,521 | |||||
Dominion Energy Inc, 3.3750%, 4/1/30 | 967,000 | 1,052,976 | |||||
Duquesne Light Holdings Inc, 2.7750%, 1/7/32 (144A) | 1,177,000 | 1,186,059 | |||||
East Ohio Gas Co/The, 2.0000%, 6/15/30 (144A) | 161,000 | 159,166 | |||||
IPALCO Enterprises Inc, 4.2500%, 5/1/30 | 1,455,000 | 1,634,052 | |||||
NextEra Energy Capital Holdings Inc, 2.7500%, 5/1/25 | 642,000 | 681,845 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 2,135,000 | 2,213,152 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 898,000 | 929,628 | |||||
NRG Energy Inc, 3.3750%, 2/15/29 (144A) | 1,306,000 | 1,278,274 | |||||
NRG Energy Inc, 3.6250%, 2/15/31 (144A) | 1,475,000 | 1,449,482 | |||||
Pacific Gas and Electric Co, 3.0000%, 6/15/28 | 1,386,000 | 1,392,234 | |||||
13,482,389 | |||||||
Energy – 2.1% | |||||||
Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 | 1,461,000 | 1,595,824 | |||||
Cheniere Energy Inc, 4.6250%, 10/15/28 (144A) | 1,540,000 | 1,624,700 | |||||
Cheniere Energy Partners LP, 4.0000%, 3/1/31 (144A) | 971,000 | 1,014,695 | |||||
Continental Resources Inc, 5.7500%, 1/15/31 (144A) | 1,477,000 | 1,768,707 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 919,000 | 1,018,348 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 165,000 | 193,509 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 172,000 | 198,725 | |||||
EQT Corp, 3.1250%, 5/15/26 (144A) | 2,243,000 | 2,298,425 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 2,205,000 | 2,312,494 | |||||
NGPL PipeCo LLC, 3.2500%, 7/15/31 (144A) | 557,000 | 574,061 | |||||
ONEOK Inc, 6.3500%, 1/15/31 | 849,000 | 1,097,895 | |||||
ONEOK Inc, 7.1500%, 1/15/51 | 210,000 | 308,717 | |||||
14,006,100 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Finance Companies – 1.4% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | |||||||
4.6250%, 10/15/27 | $1,382,000 | $1,547,748 | |||||
Air Lease Corp, 1.8750%, 8/15/26 | 1,246,000 | 1,246,963 | |||||
Air Lease Corp, 3.0000%, 2/1/30 | 616,000 | 624,824 | |||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | 2,171,000 | 2,601,903 | |||||
Quicken Loans LLC, 3.6250%, 3/1/29 (144A) | 1,220,000 | 1,204,750 | |||||
Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | 1,838,000 | 1,851,767 | |||||
9,077,955 | |||||||
Financial Institutions – 0.2% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 1,411,000 | 1,467,542 | |||||
Industrial Conglomerates – 0.3% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 3.4489%‡,µ | 1,937,000 | 1,898,260 | |||||
Information Technology Services – 0.2% | |||||||
Booz Allen Hamilton Inc, 3.8750%, 9/1/28 (144A) | 1,507,000 | 1,537,140 | |||||
Insurance – 2.3% | |||||||
Athene Holding Ltd, 3.9500%, 5/25/51 | 1,594,000 | 1,705,397 | |||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 903,000 | 1,038,678 | |||||
Brown & Brown Inc, 2.3750%, 3/15/31 | 152,000 | 151,870 | |||||
Centene Corp, 4.2500%, 12/15/27 | 1,630,000 | 1,717,612 | |||||
Centene Corp, 2.4500%, 7/15/28 | 1,582,000 | 1,603,357 | |||||
Centene Corp, 3.0000%, 10/15/30 | 2,517,000 | 2,585,664 | |||||
Centene Corp, 2.5000%, 3/1/31 | 417,000 | 411,266 | |||||
Molina Healthcare Inc, 4.3750%, 6/15/28 (144A) | 3,057,000 | 3,186,922 | |||||
Prudential Financial Inc, | |||||||
US Treasury Yield Curve Rate 5 Year + 3.0350%, 3.7000%, 10/1/50‡ | 2,176,000 | 2,268,480 | |||||
14,669,246 | |||||||
Real Estate Investment Trusts (REITs) – 2.3% | |||||||
Agree LP, 2.9000%, 10/1/30 | 1,946,000 | 2,030,424 | |||||
American Homes 4 Rent LP, 2.3750%, 7/15/31 | 623,000 | 613,736 | |||||
American Homes 4 Rent LP, 3.3750%, 7/15/51 | 749,000 | 733,735 | |||||
CTR Partnership LP / CareTrust Capital Corp, 3.8750%, 6/30/28 (144A) | 2,152,000 | 2,197,450 | |||||
Lexington Realty Trust, 2.7000%, 9/15/30 | 1,779,000 | 1,808,355 | |||||
MPT Operating Partnership LP / MPT Finance Corp, 3.5000%, 3/15/31 | 1,493,000 | 1,507,915 | |||||
Omega Healthcare Investors Inc, 3.2500%, 4/15/33 | 3,162,000 | 3,155,270 | |||||
Rexford Industrial Realty Inc, 2.1250%, 12/1/30 | 1,471,000 | 1,413,789 | |||||
Sun Communities Inc, 2.7000%, 7/15/31 | 1,501,000 | 1,500,848 | |||||
14,961,522 | |||||||
Technology – 6.2% | |||||||
Broadcom Inc, 4.1500%, 11/15/30 | 1,430,000 | 1,603,623 | |||||
Broadcom Inc, 4.3000%, 11/15/32 | 1,057,000 | 1,203,633 | |||||
Broadcom Inc, 3.4190%, 4/15/33 (144A) | 1,273,000 | 1,336,859 | |||||
Broadcom Inc, 3.4690%, 4/15/34 (144A) | 1,913,000 | 2,023,484 | |||||
Broadridge Financial Solutions Inc, 2.6000%, 5/1/31 | 1,286,000 | 1,309,460 | |||||
Cadence Design Systems Inc, 4.3750%, 10/15/24 | 3,009,000 | 3,309,035 | |||||
CoStar Group Inc, 2.8000%, 7/15/30 (144A) | 1,583,000 | 1,608,107 | |||||
Marvell Technology Inc, 4.2000%, 6/22/23 (144A) | 552,000 | 586,836 | |||||
Marvell Technology Inc, 1.6500%, 4/15/26 (144A) | 956,000 | 955,448 | |||||
Marvell Technology Inc, 4.8750%, 6/22/28 (144A) | 1,117,000 | 1,291,253 | |||||
Marvell Technology Inc, 2.9500%, 4/15/31 (144A) | 1,515,000 | 1,570,102 | |||||
Microchip Technology Inc, 2.6700%, 9/1/23 | 1,585,000 | 1,650,809 | |||||
Microchip Technology Inc, 4.2500%, 9/1/25 | 1,265,000 | 1,328,080 | |||||
MSCI Inc, 3.6250%, 9/1/30 (144A) | 1,022,000 | 1,045,159 | |||||
MSCI Inc, 3.8750%, 2/15/31 (144A) | 1,965,000 | 2,039,198 | |||||
Qorvo Inc, 3.3750%, 4/1/31 (144A) | 1,642,000 | 1,711,325 | |||||
Seagate HDD Cayman, 4.8750%, 6/1/27 | 51,000 | 56,228 | |||||
Seagate HDD Cayman, 4.0910%, 6/1/29 (144A) | 410,000 | 419,758 | |||||
Seagate HDD Cayman, 3.1250%, 7/15/29 (144A) | 254,000 | 246,104 | |||||
Seagate HDD Cayman, 4.1250%, 1/15/31 (144A) | 422,000 | 430,440 | |||||
Sensata Technologies Inc, 3.7500%, 2/15/31 (144A) | 554,000 | 547,812 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Corporate Bonds– (continued) | |||||||
Technology– (continued) | |||||||
SK Hynix Inc, 1.5000%, 1/19/26 (144A) | $1,292,000 | $1,274,455 | |||||
SK Hynix Inc, 2.3750%, 1/19/31 (144A) | 840,000 | 817,934 | |||||
Skyworks Solutions Inc, 0.9000%, 6/1/23 | 280,000 | 280,833 | |||||
Skyworks Solutions Inc, 1.8000%, 6/1/26 | 436,000 | 441,493 | |||||
Skyworks Solutions Inc, 3.0000%, 6/1/31 | 392,000 | 400,667 | |||||
Switch Ltd, 4.1250%, 6/15/29 (144A) | 1,013,000 | 1,039,591 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 2,571,000 | 2,939,450 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 1,702,000 | 1,890,804 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 838,000 | 982,831 | |||||
TSMC Global Ltd, 1.2500%, 4/23/26 (144A) | 1,611,000 | 1,597,021 | |||||
TSMC Global Ltd, 1.7500%, 4/23/28 (144A) | 1,605,000 | 1,604,551 | |||||
Twilio Inc, 3.6250%, 3/15/29 | 583,000 | 594,660 | |||||
Twilio Inc, 3.8750%, 3/15/31 | 583,000 | 598,304 | |||||
40,735,347 | |||||||
Transportation – 0.3% | |||||||
GXO Logistics inc, 1.6500%, 7/15/26 (144A) | 1,035,000 | 1,029,784 | |||||
GXO Logistics inc, 2.6500%, 7/15/31 (144A) | 685,000 | 679,499 | |||||
1,709,283 | |||||||
Total Corporate Bonds (cost $262,418,452) | 271,820,927 | ||||||
Inflation-Indexed Bonds– 4.0% | |||||||
United States Treasury Inflation Indexed Bonds, 0.6250%, 4/15/23ÇÇ | 7,636,648 | 8,077,993 | |||||
United States Treasury Inflation Indexed Bonds, 0.1250%, 4/15/26ÇÇ | 11,923,509 | 12,969,921 | |||||
United States Treasury Inflation Indexed Bonds, 0.1250%, 1/15/31ÇÇ | 4,725,203 | 5,199,631 | |||||
Total Inflation-Indexed Bonds (cost $26,251,687) | 26,247,545 | ||||||
Mortgage-Backed Securities– 16.6% | |||||||
Fannie Mae: | |||||||
2.0000%, TBA, 15 Year Maturity | 2,562,198 | 2,642,446 | |||||
2.5000%, TBA, 15 Year Maturity | 1,232,300 | 1,284,919 | |||||
2.0000%, TBA, 30 Year Maturity | 7,540,882 | 7,617,422 | |||||
2.5000%, TBA, 30 Year Maturity | 25,906,458 | 26,789,868 | |||||
3.0000%, TBA, 30 Year Maturity | 2,109,000 | 2,198,506 | |||||
3.5000%, TBA, 30 Year Maturity | 5,104,000 | 5,371,960 | |||||
45,905,121 | |||||||
Fannie Mae Pool: | |||||||
3.0000%, 10/1/34 | 156,372 | 165,664 | |||||
2.5000%, 11/1/34 | 222,866 | 234,562 | |||||
3.0000%, 11/1/34 | 35,731 | 38,070 | |||||
3.0000%, 12/1/34 | 37,497 | 39,917 | |||||
6.0000%, 2/1/37 | 92,378 | 109,494 | |||||
4.5000%, 11/1/42 | 65,434 | 72,518 | |||||
3.0000%, 1/1/43 | 26,089 | 27,667 | |||||
3.0000%, 2/1/43 | 32,266 | 34,284 | |||||
3.0000%, 5/1/43 | 340,375 | 357,999 | |||||
3.0000%, 5/1/43 | 185,203 | 196,911 | |||||
5.0000%, 7/1/44 | 548,365 | 615,225 | |||||
4.5000%, 10/1/44 | 156,584 | 175,624 | |||||
4.5000%, 3/1/45 | 228,729 | 256,541 | |||||
4.5000%, 6/1/45 | 129,870 | 144,282 | |||||
3.5000%, 12/1/45 | 177,949 | 189,829 | |||||
4.5000%, 2/1/46 | 233,001 | 258,227 | |||||
3.5000%, 7/1/46 | 775,166 | 839,084 | |||||
3.0000%, 9/1/46 | 584,506 | 620,520 | |||||
3.0000%, 2/1/47 | 7,600,673 | 8,075,790 | |||||
3.5000%, 3/1/47 | 153,944 | 164,222 | |||||
3.5000%, 7/1/47 | 131,934 | 140,743 | |||||
3.5000%, 8/1/47 | 238,925 | 252,579 | |||||
3.5000%, 1/1/48 | 183,445 | 196,939 | |||||
4.0000%, 1/1/48 | 1,321,053 | 1,444,236 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Fannie Mae Pool– (continued) | |||||||
3.0000%, 2/1/48 | $132,017 | $141,269 | |||||
4.0000%, 3/1/48 | 465,473 | 508,378 | |||||
3.0000%, 5/1/48 | 58,125 | 61,434 | |||||
5.0000%, 5/1/48 | 145,381 | 158,844 | |||||
3.5000%, 7/1/48 | 3,683,193 | 3,914,268 | |||||
3.0000%, 11/1/48 | 1,237,850 | 1,301,943 | |||||
3.0000%, 8/1/49 | 238,873 | 253,837 | |||||
3.0000%, 9/1/49 | 57,939 | 61,064 | |||||
2.5000%, 1/1/50 | 156,498 | 162,502 | |||||
2.5000%, 10/1/50 | 348,765 | 361,387 | |||||
2.5000%, 1/1/51 | 860,833 | 890,489 | |||||
3.5000%, 8/1/56 | 2,165,275 | 2,350,525 | |||||
3.0000%, 2/1/57 | 1,448,365 | 1,538,812 | |||||
3.0000%, 6/1/57 | 7,223 | 7,675 | |||||
26,363,354 | |||||||
Freddie Mac Gold Pool: | |||||||
3.5000%, 1/1/47 | 111,429 | 120,041 | |||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 1,350,560 | 1,428,105 | |||||
3.0000%, 9/1/32 | 255,363 | 270,525 | |||||
3.0000%, 10/1/32 | 80,617 | 84,991 | |||||
3.0000%, 1/1/33 | 155,536 | 164,771 | |||||
2.5000%, 12/1/33 | 1,578,143 | 1,652,765 | |||||
3.0000%, 10/1/34 | 320,339 | 340,267 | |||||
3.0000%, 10/1/34 | 133,406 | 141,327 | |||||
2.5000%, 11/1/34 | 194,269 | 204,486 | |||||
2.5000%, 11/1/34 | 179,710 | 189,161 | |||||
6.0000%, 4/1/40 | 141,433 | 168,303 | |||||
2.0000%, 5/1/41 | 5,758,827 | 5,881,041 | |||||
3.5000%, 7/1/42 | 8,053 | 8,674 | |||||
3.5000%, 8/1/42 | 10,675 | 11,498 | |||||
3.5000%, 8/1/42 | 8,599 | 9,262 | |||||
3.5000%, 2/1/43 | 342,399 | 369,200 | |||||
3.0000%, 3/1/43 | 268,922 | 285,547 | |||||
3.0000%, 6/1/43 | 23,448 | 24,508 | |||||
3.5000%, 2/1/44 | 492,492 | 531,043 | |||||
4.5000%, 5/1/44 | 115,762 | 128,609 | |||||
3.0000%, 1/1/45 | 462,161 | 489,711 | |||||
4.0000%, 2/1/46 | 408,573 | 450,898 | |||||
3.5000%, 7/1/46 | 341,527 | 367,977 | |||||
3.0000%, 8/1/46 | 164,055 | 172,544 | |||||
4.0000%, 3/1/47 | 103,706 | 112,564 | |||||
3.0000%, 4/1/47 | 249,440 | 262,346 | |||||
3.5000%, 2/1/48 | 160,461 | 171,696 | |||||
4.0000%, 4/1/48 | 371,806 | 404,221 | |||||
4.5000%, 7/1/48 | 92,738 | 99,846 | |||||
5.0000%, 9/1/48 | 49,863 | 54,602 | |||||
3.0000%, 8/1/49 | 71,530 | 76,016 | |||||
3.0000%, 12/1/49 | 215,983 | 225,134 | |||||
3.0000%, 12/1/49 | 142,815 | 148,866 | |||||
2.5000%, 1/1/50 | 64,191 | 66,657 | |||||
3.0000%, 3/1/50 | 71,137 | 74,279 | |||||
15,071,440 | |||||||
Ginnie Mae: | |||||||
2.0000%, TBA, 30 Year Maturity | 10,811,000 | 11,008,625 | |||||
2.5000%, TBA, 30 Year Maturity | 2,582,319 | 2,670,996 | |||||
13,679,621 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 1,516,684 | 1,682,281 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Mortgage-Backed Securities– (continued) | |||||||
Ginnie Mae I Pool– (continued) | |||||||
4.5000%, 8/15/46 | $1,832,484 | $2,066,302 | |||||
4.0000%, 8/15/47 | 119,669 | 130,748 | |||||
4.0000%, 11/15/47 | 159,920 | 174,725 | |||||
4.0000%, 12/15/47 | 198,218 | 216,569 | |||||
4,270,625 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 175,072 | 187,782 | |||||
4.0000%, 8/20/47 | 46,140 | 49,490 | |||||
4.0000%, 8/20/47 | 22,676 | 24,393 | |||||
4.5000%, 2/20/48 | 338,038 | 364,589 | |||||
4.0000%, 5/20/48 | 405,299 | 430,854 | |||||
4.5000%, 5/20/48 | 434,517 | 472,591 | |||||
4.5000%, 5/20/48 | 65,893 | 71,667 | |||||
4.0000%, 6/20/48 | 597,801 | 634,934 | |||||
5.0000%, 8/20/48 | 596,725 | 647,783 | |||||
2,884,083 | |||||||
Total Mortgage-Backed Securities (cost $106,795,527) | 108,294,285 | ||||||
United States Treasury Notes/Bonds– 19.1% | |||||||
0.1250%, 2/28/23 | 17,200,000 | 17,178,500 | |||||
0.1250%, 4/30/23 | 21,258,000 | 21,218,141 | |||||
0.2500%, 5/15/24 | 2,729,000 | 2,714,076 | |||||
0.3750%, 1/31/26 | 6,697,200 | 6,562,994 | |||||
0.5000%, 2/28/26 | 14,301,000 | 14,084,250 | |||||
0.7500%, 4/30/26 | 11,923,000 | 11,862,454 | |||||
1.1250%, 2/29/28 | 348,400 | 347,366 | |||||
1.2500%, 4/30/28 | 726,700 | 728,971 | |||||
1.1250%, 2/15/31 | 3,158,700 | 3,066,407 | |||||
1.6250%, 5/15/31 | 417,700 | 424,096 | |||||
1.1250%, 5/15/40 | 2,189,000 | 1,889,723 | |||||
1.3750%, 11/15/40 | 3,035,000 | 2,726,284 | |||||
1.8750%, 2/15/41 | 2,876,000 | 2,815,334 | |||||
2.2500%, 5/15/41 | 3,049,000 | 3,172,389 | |||||
2.7500%, 8/15/42 | 9,057,400 | 10,206,204 | |||||
1.3750%, 8/15/50 | 12,314,500 | 10,381,220 | |||||
1.6250%, 11/15/50 | 13,482,700 | 12,109,150 | |||||
1.8750%, 2/15/51 | 3,361,900 | 3,208,513 | |||||
Total United States Treasury Notes/Bonds (cost $125,335,099) | 124,696,072 | ||||||
Preferred Stocks– 0.5% | |||||||
Banks – 0.5% | |||||||
First Republic Bank/CA, 4.1250%#,µ | 61,800 | 1,585,170 | |||||
Truist Financial Corp, 4.7500%µ | 68,875 | 1,833,452 | |||||
Total Preferred Stocks (cost $3,266,875) | 3,418,622 | ||||||
Investment Companies– 11.5% | |||||||
Money Markets – 11.5% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $75,031,842) | 75,025,450 | 75,032,953 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.1% | |||||||
Investment Companies – 0.1% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 732,642 | 732,642 | |||||
Time Deposits – 0% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $183,161 | 183,161 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $915,803) | 915,803 | ||||||
Total Investments (total cost $711,273,272) – 110.7% | 723,531,390 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (10.7)% | (69,804,031) | ||||||
Net Assets – 100% | $653,727,359 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $689,356,090 | 95.3 | % | ||
United Kingdom | 8,079,226 | 1.1 | |||
France | 6,010,794 | 0.8 | |||
Australia | 3,496,753 | 0.5 | |||
Taiwan | 3,201,572 | 0.4 | |||
Canada | 2,842,515 | 0.4 | |||
Luxembourg | 2,297,794 | 0.3 | |||
Ireland | 2,120,245 | 0.3 | |||
South Korea | 2,092,389 | 0.3 | |||
Belgium | 1,870,779 | 0.3 | |||
Spain | 1,373,053 | 0.2 | |||
Mexico | 790,180 | 0.1 |
Total | $723,531,390 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 11.5% | ||||||||||
Money Markets - 11.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 16,307 | $ | 200 | $ | (200) | $ | 75,032,953 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.1% | ||||||||||
Investment Companies - 0.1% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 9,392∆ | - | - | 732,642 | ||||||
Total Affiliated Investments - 11.6% | $ | 25,699 | $ | 200 | $ | (200) | $ | 75,765,595 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 11.5% | ||||||||||
Money Markets - 11.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 33,622,864 | 186,127,364 | (144,717,275) | 75,032,953 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.1% | ||||||||||
Investment Companies - 0.1% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 113,710 | 71,382,533 | (70,763,601) | 732,642 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedule of Futures
Description | Number of Contracts | Expiration Date | Value and Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin Asset/(Liability) | ||||||||
Futures Purchased: | |||||||||||||
5 Year US Treasury Note | 7 | 10/5/21 | $ | 864,008 | $ | (2,077) | $ | 438 | |||||
Ultra 10-Year Treasury Note | 1 | 9/30/21 | 147,203 | 2,578 | 484 | ||||||||
Total - Futures Purchased | 501 | 922 | |||||||||||
Futures Sold: | |||||||||||||
2 Year US Treasury Note | 1 | 10/5/21 | (220,320) | 352 | (23) | ||||||||
Total | $ | 853 | $ | 899 |
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, 2021.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2021 | |||||
|
|
|
|
|
|
|
|
|
|
| Interest Rate |
Asset Derivatives: |
|
|
| ||
Variation margin receivable on futures contracts |
|
| $ 922 | ||
Liability Derivatives: |
|
|
| ||
Variation margin payable on futures contracts |
|
| $ 23 | ||
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, 2021.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the period ended June 30, 2021 | ||||
|
|
|
|
|
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
| Interest Rate | ||
Futures contracts |
| $ (17,386) | ||
|
|
| ||
|
|
| ||
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||
Derivative |
| Interest Rate | ||
Futures contracts |
| $ (733) | ||
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Average Ending Monthly Market Value of Derivative Instruments During the Period Ended June 30, 2021 | |
|
|
| Market Value |
Futures contracts, purchased | $ 1,019,042 |
Futures contracts, sold | 220,751 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
TBA | (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned. |
ULC | Unlimited Liability Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2021 is $179,066,302, which represents 27.4% of net assets. |
‡ | Variable or floating rate security. Rate shown is the current rate as of June 30, 2021. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ÇÇ | Security is a U.S. Treasury Inflation-Protected Security (TIPS). |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
ƒ | All or a portion of this position is not funded, or has been purchased on a delayed delivery or when-issued basis. If applicable, interest rates will be determined and interest will begin to accrue at a future date. See Notes to Financial Statements. |
Janus Aspen Series | 19 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
∆ | 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, 2021. See Notes to Financial Statements for more information. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 104,879,021 | $ | - | |||||||
Bank Loans and Mezzanine Loans | - | 8,226,162 | - | ||||||||||
Corporate Bonds | - | 271,820,927 | - | ||||||||||
Inflation-Indexed Bonds | - | 26,247,545 | - | ||||||||||
Mortgage-Backed Securities | - | 108,294,285 | - | ||||||||||
United States Treasury Notes/Bonds | - | 124,696,072 | - | ||||||||||
Preferred Stocks | - | 3,418,622 | - | ||||||||||
Investment Companies | - | 75,032,953 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 915,803 | - | ||||||||||
Total Investments in Securities | $ | - | $ | 723,531,390 | $ | - | |||||||
Other Financial Instruments(a): | |||||||||||||
Variation Margin Receivable on Futures Contracts | 922 | - | - | ||||||||||
Total Assets | $ | 922 | $ | 723,531,390 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Variation Margin Payable on Futures Contracts | $ | 23 | $ | - | $ | - | |||||||
(a) | Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date. |
20 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $635,508,788)(1) |
| $ | 647,765,795 |
| |
| Affiliated investments, at value (cost $75,764,484) |
|
| 75,765,595 |
| |
| Cash |
|
| 229,874 |
| |
| Deposits with brokers for futures |
|
| 20,000 |
| |
| Receivable for variation margin on futures contracts |
|
| 922 |
| |
| Non-interested Trustees' deferred compensation |
|
| 15,921 |
| |
| Receivables: |
|
|
|
| |
|
| Interest |
|
| 2,913,226 |
|
|
| Investments sold |
|
| 2,572,351 |
|
|
| Portfolio shares sold |
|
| 237,875 |
|
|
| Dividends from affiliates |
|
| 3,099 |
|
| Other assets |
|
| 1,918 |
| |
Total Assets |
|
| 729,526,576 |
| ||
Liabilities: |
|
|
|
| ||
| Collateral for securities loaned (Note 3) |
|
| 915,803 |
| |
| Payable for variation margin on futures contracts |
|
| 23 |
| |
| Payables: |
|
| — |
| |
|
| TBA investments purchased |
|
| 61,780,777 |
|
|
| Investments purchased |
|
| 12,251,333 |
|
|
| Portfolio shares repurchased |
|
| 362,658 |
|
|
| Advisory fees |
|
| 254,376 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 103,682 |
|
|
| Transfer agent fees and expenses |
|
| 28,013 |
|
|
| Professional fees |
|
| 26,314 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 15,921 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 2,451 |
|
|
| Custodian fees |
|
| 1,757 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,327 |
|
|
| Accrued expenses and other payables |
|
| 54,782 |
|
Total Liabilities |
|
| 75,799,217 |
| ||
Net Assets |
| $ | 653,727,359 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 635,271,526 |
| |
| Total distributable earnings (loss) |
|
| 18,455,833 |
| |
Total Net Assets |
| $ | 653,727,359 |
| ||
Net Assets - Institutional Shares |
| $ | 143,508,465 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 11,837,752 |
| |
Net Asset Value Per Share |
| $ | 12.12 |
| ||
Net Assets - Service Shares |
| $ | 510,218,894 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 38,238,409 |
| |
Net Asset Value Per Share |
| $ | 13.34 |
|
(1) Includes $897,497 of securities on loan. See Note 3 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Interest | $ | 7,614,015 |
| |
| Dividends |
| 88,683 |
| |
| Dividends from affiliates |
| 16,307 |
| |
| Affiliated securities lending income, net |
| 9,392 |
| |
| Unaffiliated securities lending income, net |
| 311 |
| |
| Other income |
| 25,777 |
| |
Total Investment Income |
| 7,754,485 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 1,534,073 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 607,291 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 32,739 |
|
|
| Service Shares |
| 121,458 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 3,393 |
|
|
| Service Shares |
| 5,271 |
|
| Shareholder reports expense |
| 28,068 |
| |
| Professional fees |
| 27,164 |
| |
| Affiliated portfolio administration fees |
| 9,586 |
| |
| Registration fees |
| 6,824 |
| |
| Custodian fees |
| 4,854 |
| |
| Non-interested Trustees’ fees and expenses |
| 4,489 |
| |
| Other expenses |
| 40,875 |
| |
Total Expenses |
| 2,426,085 |
| ||
Less: Excess Expense Reimbursement and Waivers |
| (25,009) |
| ||
Net Expenses |
| 2,401,076 |
| ||
Net Investment Income/(Loss) |
| 5,353,409 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments |
| 6,339,610 |
| |
| Investments in affiliates |
| 200 |
| |
| Futures contracts |
| (17,386) |
| |
Total Net Realized Gain/(Loss) on Investments |
| 6,322,424 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments and non-interested Trustees’ deferred compensation |
| (19,556,524) |
| |
| Investments in affiliates |
| (200) |
| |
| Futures contracts |
| (733) |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| (19,557,457) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (7,881,624) |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
22 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 5,353,409 |
| $ | 12,311,184 |
| |
| Net realized gain/(loss) on investments |
| 6,322,424 |
|
| 30,173,772 |
| |
| Change in unrealized net appreciation/depreciation |
| (19,557,457) |
|
| 14,063,511 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| (7,881,624) |
|
| 56,548,467 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (5,472,538) |
|
| (4,451,177) |
|
|
| Service Shares |
| (16,951,741) |
|
| (10,580,741) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (22,424,279) |
|
| (15,031,918) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| 4,765,410 |
|
| (27,989,330) |
|
|
| Service Shares |
| 40,111,688 |
|
| 66,237,602 |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 44,877,098 |
|
| 38,248,272 |
| ||
Net Increase/(Decrease) in Net Assets |
| 14,571,195 |
|
| 79,764,821 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 639,156,164 |
|
| 559,391,343 |
| |
| End of period | $ | 653,727,359 |
| $ | 639,156,164 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 23 |
Janus Henderson VIT Flexible Bond Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $12.75 |
|
| $11.88 |
|
| $11.21 |
|
| $11.69 |
|
| $11.62 |
|
| $11.67 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.12 |
|
| 0.28 |
|
| 0.34 |
|
| 0.33 |
|
| 0.30 |
|
| 0.28 |
| |
|
| Net realized and unrealized gain/(loss) |
| (0.27) |
|
| 0.96 |
|
| 0.72 |
|
| (0.45) |
|
| 0.12 |
|
| 0.01 |
| |
| Total from Investment Operations |
| (0.15) |
|
| 1.24 |
|
| 1.06 |
|
| (0.12) |
|
| 0.42 |
|
| 0.29 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.15) |
|
| (0.37) |
|
| (0.39) |
|
| (0.36) |
|
| (0.35) |
|
| (0.34) |
| |
|
| Distributions (from capital gains) |
| (0.33) |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
| Total Dividends and Distributions |
| (0.48) |
|
| (0.37) |
|
| (0.39) |
|
| (0.36) |
|
| (0.35) |
|
| (0.34) |
| ||
| Net Asset Value, End of Period |
| $12.12 |
|
| $12.75 |
|
| $11.88 |
|
| $11.21 |
|
| $11.69 |
|
| $11.62 |
| ||
| Total Return* |
| (1.20)% |
|
| 10.48% |
|
| 9.57% |
|
| (1.00)% |
|
| 3.62% |
|
| 2.46% |
| ||
| Net Assets, End of Period (in thousands) |
| $143,508 |
|
| $145,792 |
|
| $162,620 |
|
| $240,427 |
|
| $292,251 |
|
| $335,208 |
| ||
| Average Net Assets for the Period (in thousands) |
| $134,452 |
|
| $156,575 |
|
| $208,624 |
|
| $266,429 |
|
| $319,492 |
|
| $350,120 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.58% |
|
| 0.60% |
|
| 0.60% |
|
| 0.61% |
|
| 0.60% |
|
| 0.58% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.57% |
|
| 0.59% |
|
| 0.60% |
|
| 0.61% |
|
| 0.60% |
|
| 0.58% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 1.89% |
|
| 2.28% |
|
| 2.89% |
|
| 2.88% |
|
| 2.51% |
|
| 2.31% |
| |
| Portfolio Turnover Rate |
| 82%(2) |
|
| 139%(2) |
|
| 177%(2) |
|
| 238%(2) |
|
| 130%(2) |
|
| 112% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $13.99 |
|
| $12.99 |
|
| $12.23 |
|
| $12.73 |
|
| $12.63 |
|
| $12.66 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.11 |
|
| 0.28 |
|
| 0.34 |
|
| 0.33 |
|
| 0.29 |
|
| 0.27 |
| |
|
| Net realized and unrealized gain/(loss) |
| (0.30) |
|
| 1.05 |
|
| 0.79 |
|
| (0.50) |
|
| 0.13 |
|
| 0.01 |
| |
| Total from Investment Operations |
| (0.19) |
|
| 1.33 |
|
| 1.13 |
|
| (0.17) |
|
| 0.42 |
|
| 0.28 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.13) |
|
| (0.33) |
|
| (0.37) |
|
| (0.33) |
|
| (0.32) |
|
| (0.31) |
| |
|
| Distributions (from capital gains) |
| (0.33) |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
| Total Dividends and Distributions |
| (0.46) |
|
| (0.33) |
|
| (0.37) |
|
| (0.33) |
|
| (0.32) |
|
| (0.31) |
| ||
| Net Asset Value, End of Period |
| $13.34 |
|
| $13.99 |
|
| $12.99 |
|
| $12.23 |
|
| $12.73 |
|
| $12.63 |
| ||
| Total Return* |
| (1.35)% |
|
| 10.33% |
|
| 9.28% |
|
| (1.29)% |
|
| 3.35% |
|
| 2.22% |
| ||
| Net Assets, End of Period (in thousands) |
| $510,219 |
|
| $493,364 |
|
| $396,771 |
|
| $384,824 |
|
| $403,243 |
|
| $401,186 |
| ||
| Average Net Assets for the Period (in thousands) |
| $498,025 |
|
| $431,012 |
|
| $384,358 |
|
| $389,260 |
|
| $402,544 |
|
| $383,710 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.83% |
|
| 0.85% |
|
| 0.85% |
|
| 0.86% |
|
| 0.85% |
|
| 0.83% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.82% |
|
| 0.84% |
|
| 0.85% |
|
| 0.86% |
|
| 0.85% |
|
| 0.83% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 1.66% |
|
| 2.03% |
|
| 2.63% |
|
| 2.64% |
|
| 2.27% |
|
| 2.06% |
| |
| Portfolio Turnover Rate |
| 82%(2) |
|
| 139%(2) |
|
| 177%(2) |
|
| 238%(2) |
|
| 130%(2) |
|
| 112% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
24 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Flexible Bond Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks to obtain maximum total return, consistent with preservation of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 25 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP 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.
26 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
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 futures 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, 2021 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result, the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
· Commodity Risk – the risk related to the change in value of commodities or commodity-linked investments due to changes in the overall market movements, volatility of the underlying benchmark, changes in interest rates, or other factors affecting a particular industry or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
Janus Aspen Series | 27 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading.
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
28 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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.
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.
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,”
Janus Aspen Series | 29 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
LIBOR Replacement Risk
The Fund may invest in certain debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate (LIBOR) as a reference rate for various rate calculations. On July 27, 2017, the U.K. Financial Conduct Authority announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a modified, form. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate (SOFR), that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. However, global consensus on alternative rates is lacking. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could adversely impact (i) volatility and liquidity in markets that are tied to LIBOR, (ii) the market for, or value of, specific securities or payments linked to those reference rates, (iii) availability or terms of borrowing or refinancing, or (iv) the effectiveness of hedging strategies. For these and other reasons, the elimination of LIBOR or changes to other interest rates may adversely affect the Fund’s performance and/or net asset value. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. Markets are slowly developing in response to these new rates. Uncertainty regarding the process for amending existing contracts or instruments to transition away from LIBOR remains a concern for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will vary depending, among other things, on (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
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 have a principal value that is periodically adjusted according to the rate of inflation. If an index measuring inflation falls, the principal value of 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
30 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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. Other non-U.S. sovereign governments also issue inflation-linked securities (sometimes referred to as “linkers”) that are tied to their own local consumer price indices. In certain of these non-U.S. jurisdictions, the repayment of the original bond principal upon the maturity of an inflation-linked bond is not guaranteed, allowing for the amount of the bond repaid at maturity to be less than par. 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, 2021.
· Bank Loans - Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. The Portfolio’s investments in bank loans are generally acquired as a participation interest in, or assignment of, loans originated by a lender or other financial institution. These investments may include institutionally-traded floating and fixed-rate debt securities.
· Floating Rate Loans – Floating rate loans are debt securities that have floating interest rates, that adjust periodically, and are tied to a benchmark lending rate, such as London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (‘‘borrowers’’) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower’s capital structure. The senior position in the borrower’s capital structure generally gives holders of senior loans a claim on certain of the borrower’s assets that is senior to subordinated debt and preferred and common stock in the case of a borrower’s default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. While the Portfolio generally expects to invest in fully funded term loans, certain of the loans in which the Portfolio may invest include revolving loans, bridge loans, and delayed draw term loans.
Purchasers of floating rate loans may pay and/or receive certain fees. The Portfolio may receive fees such as covenant waiver fees or prepayment penalty fees. The Portfolio may pay fees such as facility fees. Such fees may affect the Portfolio’s return.
· Mezzanine Loans - Mezzanine loans are secured by the stock of the company that owns the assets. Mezzanine loans are a hybrid of debt and equity financing that is typically used to fund the expansion of existing companies. A mezzanine loan is composed of debt capital that gives the lender the right to convert to an ownership or equity interest in the company if the loan is not paid back in time and in full. Mezzanine loans typically are the most subordinated debt obligation in an issuer’s capital structure.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer and commercial 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
Janus Aspen Series | 31 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed as to the timely payment of principal and interest by the full faith and credit of the U.S. Government. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, extension risk (if interest rates rise), and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2021” table located in the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
JPMorgan Chase Bank, National Association | $ | 897,497 | $ | — | $ | (897,497) | $ | — | |
(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. |
32 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Janus Aspen Series | 33 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $897,497. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $915,803, resulting in the net amount due to the counterparty of $18,306.
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
To facilitate TBA commitments, the Portfolio is required to segregate or otherwise earmark liquid assets marked to market daily in an amount at least equal to such TBA commitments. Rules of the Financial Industry Regulatory Authority (“FINRA”) which are expected to be effective in October 2021, include mandatory margin requirements for TBA commitments which, in some circumstances, will require the Portfolio to also post collateral. These collateral requirements may increase costs associated with the Portfolio’s participation in the TBA market.
When-Issued, Delayed Delivery and Forward Commitment Transactions
The Portfolio may purchase or sell securities on a when-issued, delayed delivery, or forward commitment basis. When purchasing a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Typically, no income accrues on securities the Portfolio has committed to purchase prior to the time delivery of the securities is made. Because the Portfolio is not required to pay for the security until the delivery date, these risks are in addition to the risks associated with the Portfolio’s other investments. If the other party to a transaction fails to deliver the securities, the Portfolio could miss a favorable price or yield opportunity. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases are outstanding, the purchases may result in a form of leverage. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases (including TBA commitments) are outstanding, the purchases may result in a form of leverage.
34 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
When the Portfolio has sold a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio does not participate in future gains or losses with respect to the security. If the other party to a transaction fails to pay for the securities, the Portfolio could suffer a loss. Additionally, when selling a security on a when-issued, delayed delivery, or forward commitment basis without owning the security, the Portfolio will incur a loss if the security’s price appreciates in value such that the security’s price is above the agreed upon price on the settlement date. The Portfolio may dispose of or renegotiate a transaction after it is entered into, and may purchase or sell when-issued, delayed delivery or forward commitment securities before the settlement date, which may result in a gain or loss.
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 Net Assets of the Portfolio | Contractual Investment Advisory Fee (%) |
First $300 Million | 0.55 |
Over $300 Million | 0.45 |
The Fund’s actual investment advisory fee rate for the reporting period was 0.49% of average annual net assets before any applicable waivers.
Janus Capital has contractually agreed to waive the investment advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.52% of the Portfolio’s average daily net assets for at least a one-year period commencing April 30, 2021. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Aspen Series | 35 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment
36 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2021, the Portfolio engaged in cross trades amounting to $12,228,291 in purchases and $2,720,661 in sales, resulting in a net realized gain of $75,986. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
5. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 712,537,322 | $14,078,127 | $ (3,084,059) | $ 10,994,068 |
Information on the tax components of derivatives as of June 30, 2021 is as follows:
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
| $ 2,930 | $ (2,077) | $ 853 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
6. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 1,878,333 | $23,444,207 |
| 2,510,696 | $ 31,141,098 | |
Reinvested dividends and distributions | 452,276 | 5,472,538 |
| 356,034 | 4,451,177 | |
Shares repurchased | (1,924,514) | (24,151,335) |
| (5,127,790) | (63,581,605) | |
Net Increase/(Decrease) | 406,095 | $ 4,765,410 |
| (2,261,060) | $ (27,989,330) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 5,436,221 | $74,371,211 |
| 11,715,760 | $159,704,605 | |
Reinvested dividends and distributions | 1,272,653 | 16,951,741 |
| 771,012 | 10,580,741 | |
Shares repurchased | (3,744,228) | (51,211,264) |
| (7,748,985) | (104,047,744) | |
Net Increase/(Decrease) | 2,964,646 | $40,111,688 |
| 4,737,787 | $ 66,237,602 |
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Janus Aspen Series | 37 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$166,421,103 | $ 247,897,514 | $ 315,046,953 | $ 236,504,712 |
8. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update 2020-04 Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) in March 2020. The new guidance in the ASU provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR or other interbank-offered based reference rates as of the end of 2021. For new and existing contracts, Funds may elect to apply the guidance as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of the ASU’s adoption to the Fund’s financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
38 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
Janus Aspen Series | 39 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
40 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
Janus Aspen Series | 41 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
42 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
Janus Aspen Series | 43 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
44 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Aspen Series | 45 |
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
46 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Janus Aspen Series | 47 |
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
48 | JUNE 30, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage1
Janus Aspen Series | 49 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81114 08-21 |
SEMIANNUAL REPORT June 30, 2021 | ||
Janus Henderson VIT Forty Portfolio | ||
Janus Aspen Series | ||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Forty Portfolio
PORTFOLIO SNAPSHOT Forty Fund is a concentrated large-cap growth fund, leveraging Janus Henderson’s three decades of experience in high-conviction investing. By investing in our best wide-moat ideas, the Fund seeks to add excess return over the long term. Given its concentrated nature, the Fund may exhibit moderately higher volatility than its benchmark. | Doug Rao co-portfolio manager | Nick Schommer co-portfolio manager | |||
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| Blackstone Group Inc | 2.90% |
| 1.03% |
| Mastercard Inc | 6.00% |
| -0.52% |
| ASML Holding NV | 2.73% |
| 0.66% |
| CoStar Group Inc | 1.99% |
| -0.47% |
| Snap Inc | 3.24% |
| 0.66% |
| Uber Technologies Inc | 1.45% |
| -0.46% |
| Apple Inc | 4.43% |
| 0.62% |
| Alphabet Inc - Class C | 3.25% |
| -0.40% |
| NVIDIA Corp | 2.48% |
| 0.33% |
| Booking Holdings Inc | 2.72% |
| -0.40% |
| 5 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell 1000 Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Information Technology |
| 1.42% |
| 35.54% | 44.60% |
| Financials |
| 1.05% |
| 3.16% | 1.90% |
| Consumer Discretionary |
| 0.32% |
| 15.66% | 16.54% |
| Health Care |
| 0.31% |
| 13.62% | 13.51% |
| Consumer Staples |
| 0.12% |
| 2.00% | 4.32% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell 1000 Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Industrials |
| -0.91% |
| 5.66% | 4.67% |
| Other** |
| -0.22% |
| 1.49% | 0.00% |
| Energy |
| -0.02% |
| 0.00% | 0.10% |
| Real Estate |
| -0.01% |
| 2.04% | 1.69% |
| Utilities |
| 0.00% |
| 0.00% | 0.02% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | 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 | 1 |
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 8.4% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 8.2% |
Facebook Inc | |
Interactive Media & Services | 6.4% |
Mastercard Inc | |
Information Technology Services | 5.7% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 3.9% |
32.6% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 98.5% | ||||
Investment Companies | 1.5% | ||||
Private Investment in Public Equity (PIPES) | 0.6% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 0.2% | ||||
Warrants | 0.0% | ||||
Other | (0.8)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 14.76% | 44.33% | 24.78% | 18.38% | 13.42% |
|
| 0.76% | |
Service Shares |
| 14.61% | 43.97% | 24.48% | 18.09% | 13.11% |
|
| 1.01% | |
Russell 1000 Growth Index |
| 12.99% | 42.50% | 23.66% | 17.87% | 9.85% |
|
|
| |
S&P 500 Index |
| 15.25% | 40.79% | 17.65% | 14.84% | 9.24% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 1st | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Large Growth Funds |
| - | 267/1,259 | 211/1,150 | 145/1,012 | 12/515 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 3 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 1 ,1997
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,147.60 | $4.10 |
| $1,000.00 | $1,020.98 | $3.86 | 0.77% | ||
Service Shares | $1,000.00 | $1,146.10 | $5.37 |
| $1,000.00 | $1,019.79 | $5.06 | 1.01% | ||
† | 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 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 98.5% | |||||||
Aerospace & Defense – 1.7% | |||||||
L3Harris Technologies Inc | 93,519 | $20,214,132 | |||||
Biotechnology – 1.1% | |||||||
Vertex Pharmaceuticals Inc* | 64,670 | 13,039,412 | |||||
Capital Markets – 3.1% | |||||||
Blackstone Group Inc | 376,677 | 36,590,404 | |||||
Chemicals – 2.2% | |||||||
Sherwin-Williams Co | 97,032 | 26,436,368 | |||||
Diversified Financial Services – 0.3% | |||||||
Altimeter Growth Corp - Class A*,# | 284,205 | 3,325,198 | |||||
Entertainment – 3.0% | |||||||
Netflix Inc* | 46,933 | 24,790,480 | |||||
Walt Disney Co* | 65,620 | 11,534,027 | |||||
36,324,507 | |||||||
Equity Real Estate Investment Trusts (REITs) – 2.1% | |||||||
American Tower Corp | 94,791 | 25,606,841 | |||||
Health Care Equipment & Supplies – 11.8% | |||||||
Align Technology Inc* | 45,709 | 27,928,199 | |||||
Boston Scientific Corp* | 822,355 | 35,163,900 | |||||
Danaher Corp | 139,362 | 37,399,186 | |||||
DexCom Inc* | 66,501 | 28,395,927 | |||||
Edwards Lifesciences Corp* | 125,970 | 13,046,713 | |||||
141,933,925 | |||||||
Hotels, Restaurants & Leisure – 0.9% | |||||||
Caesars Entertainment Inc* | 106,944 | 11,095,440 | |||||
Household Products – 1.8% | |||||||
Procter & Gamble Co | 157,909 | 21,306,661 | |||||
Information Technology Services – 8.4% | |||||||
Mastercard Inc | 187,412 | 68,422,247 | |||||
Shopify Inc* | 7,082 | 10,346,660 | |||||
Twilio Inc* | 56,118 | 22,119,471 | |||||
100,888,378 | |||||||
Interactive Media & Services – 14.9% | |||||||
Alphabet Inc - Class C* | 16,836 | 42,196,403 | |||||
Facebook Inc* | 219,722 | 76,399,537 | |||||
Match Group Inc* | 107,516 | 17,336,955 | |||||
Snap Inc* | 618,449 | 42,141,115 | |||||
178,074,010 | |||||||
Internet & Direct Marketing Retail – 11.2% | |||||||
Amazon.com Inc* | 28,685 | 98,680,990 | |||||
Booking Holdings Inc* | 13,052 | 28,558,951 | |||||
Farfetch Ltd - Class A* | 143,744 | 7,238,948 | |||||
134,478,889 | |||||||
Pharmaceuticals – 0.9% | |||||||
Elanco Animal Health Inc* | 316,672 | 10,985,352 | |||||
Professional Services – 1.9% | |||||||
CoStar Group Inc* | 267,500 | 22,154,350 | |||||
Road & Rail – 0.5% | |||||||
Uber Technologies Inc* | 121,951 | 6,112,184 | |||||
Semiconductor & Semiconductor Equipment – 10.6% | |||||||
ASML Holding NV | 50,830 | 35,115,397 | |||||
NVIDIA Corp | 49,906 | 39,929,791 | |||||
Taiwan Semiconductor Manufacturing Co Ltd (ADR) | 158,012 | 18,986,722 | |||||
Texas Instruments Inc | 174,170 | 33,492,891 | |||||
127,524,801 | |||||||
Software – 12.9% | |||||||
Adobe Inc* | 73,795 | 43,217,304 | |||||
Microsoft Corp | 369,831 | 100,187,218 | |||||
Workday Inc* | 49,025 | 11,704,228 | |||||
155,108,750 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Technology Hardware, Storage & Peripherals – 3.9% | |||||||
Apple Inc | 342,983 | $46,974,952 | |||||
Textiles, Apparel & Luxury Goods – 3.4% | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 35,465 | 27,806,040 | |||||
NIKE Inc | 80,075 | 12,370,787 | |||||
40,176,827 | |||||||
Wireless Telecommunication Services – 1.9% | |||||||
T-Mobile US Inc* | 160,388 | 23,228,994 | |||||
Total Common Stocks (cost $560,747,037) | 1,181,580,375 | ||||||
Private Investment in Public Equity (PIPES)– 0.6% | |||||||
Diversified Financial Services – 0.6% | |||||||
Altimeter Growth Corp*,§((cost $5,715,450) | 571,545 | 6,687,076 | |||||
Warrants– 0% | |||||||
Diversified Financial Services – 0% | |||||||
Altimeter Growth Corp, expires 9/30/25*((cost $181,685) | 56,841 | 181,323 | |||||
Investment Companies– 1.5% | |||||||
Money Markets – 1.5% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $18,059,697) | 18,057,891 | 18,059,697 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.2% | |||||||
Investment Companies – 0.2% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 2,046,269 | 2,046,269 | |||||
Time Deposits – 0% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $511,567 | 511,567 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $2,557,836) | 2,557,836 | ||||||
Total Investments (total cost $587,261,705) – 100.8% | 1,209,066,307 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.8)% | (9,275,192) | ||||||
Net Assets – 100% | $1,199,791,115 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $1,109,572,540 | 91.8 | % | ||
Netherlands | 35,115,397 | 2.9 | |||
France | 27,806,040 | 2.3 | |||
Taiwan | 18,986,722 | 1.6 | |||
Canada | 10,346,660 | 0.8 | |||
United Kingdom | 7,238,948 | 0.6 |
Total | $1,209,066,307 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 1.5% | ||||||||||
Money Markets - 1.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 5,007 | $ | - | $ | - | $ | 18,059,697 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Investment Companies - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 55,612∆ | - | - | 2,046,269 | ||||||
Total Affiliated Investments - 1.7% | $ | 60,619 | $ | - | $ | - | $ | 20,105,966 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 1.5% | ||||||||||
Money Markets - 1.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 22,532,880 | 93,320,488 | (97,793,671) | 18,059,697 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Investment Companies - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | - | 7,414,150 | (5,367,881) | 2,046,269 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
§ | Schedule of Restricted Securities (as of June 30, 2021) | |||||||||
Value as a | ||||||||||
Acquisition | % of Net | |||||||||
Date | Cost | Value | Assets | |||||||
Altimeter Growth Corp | 4/14/21 | $ | 5,715,450 | $ | 6,687,076 | 0.6 | % | |||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2021. The issuer incurs all registration costs. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 1,181,580,375 | $ | - | $ | - | ||||||
Private Investment in Public Equity (PIPES) | - | 6,687,076 | - | |||||||||
Warrants | 181,323 | - | - | |||||||||
Investment Companies | - | 18,059,697 | - | |||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 2,557,836 | - | |||||||||
Total Assets | $ | 1,181,761,698 | $ | 27,304,609 | $ | - | ||||||
Janus Aspen Series | 9 |
Janus Henderson VIT Forty Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $567,155,739)(1) |
| $ | 1,188,960,341 |
| |
| Affiliated investments, at value (cost $20,105,966) |
|
| 20,105,966 |
| |
| Non-interested Trustees' deferred compensation |
|
| 29,223 |
| |
| Receivables: |
|
|
|
| |
|
| Portfolio shares sold |
|
| 274,941 |
|
|
| Dividends |
|
| 238,407 |
|
|
| Foreign tax reclaims |
|
| 26,796 |
|
|
| Dividends from affiliates |
|
| 816 |
|
| Other assets |
|
| 60,597 |
| |
Total Assets |
|
| 1,209,697,087 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 34 |
| |
| Foreign cash due to custodian |
|
| 104 |
| |
| Collateral for securities loaned (Note 2) |
|
| 2,557,836 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 5,715,450 |
|
|
| Advisory fees |
|
| 687,745 |
|
|
| Portfolio shares repurchased |
|
| 620,827 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 138,278 |
|
|
| Transfer agent fees and expenses |
|
| 50,411 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 29,223 |
|
|
| Professional fees |
|
| 22,412 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 4,210 |
|
|
| Affiliated portfolio administration fees payable |
|
| 2,375 |
|
|
| Custodian fees |
|
| 1,287 |
|
|
| Accrued expenses and other payables |
|
| 75,780 |
|
Total Liabilities |
|
| 9,905,972 |
| ||
Net Assets |
| $ | 1,199,791,115 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 513,447,150 |
| |
| Total distributable earnings (loss) |
|
| 686,343,965 |
| |
Total Net Assets |
| $ | 1,199,791,115 |
| ||
Net Assets - Institutional Shares |
| $ | 503,030,336 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 8,724,165 |
| |
Net Asset Value Per Share |
| $ | 57.66 |
| ||
Net Assets - Service Shares |
| $ | 696,760,779 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 13,157,922 |
| |
Net Asset Value Per Share |
| $ | 52.95 |
|
(1) Includes $2,504,548 of securities on loan. See Note 2 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 2,906,237 |
| |
| Affiliated securities lending income, net |
| 55,612 |
| |
| Dividends from affiliates |
| 5,007 |
| |
| Unaffiliated securities lending income, net |
| 72 |
| |
| Foreign tax withheld |
| (71,313) |
| |
Total Investment Income |
| 2,895,615 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 3,861,243 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 792,846 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 114,732 |
|
|
| Service Shares |
| 158,569 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 11,450 |
|
|
| Service Shares |
| 6,565 |
|
| Professional fees |
| 21,422 |
| |
| Shareholder reports expense |
| 18,415 |
| |
| Affiliated portfolio administration fees |
| 17,039 |
| |
| Registration fees |
| 9,803 |
| |
| Non-interested Trustees’ fees and expenses |
| 7,944 |
| |
| Custodian fees |
| 3,888 |
| |
| Other expenses |
| 45,565 |
| |
Total Expenses |
| 5,069,481 |
| ||
Net Investment Income/(Loss) |
| (2,173,866) |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 69,874,100 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 69,874,100 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation |
| 88,138,160 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 88,138,160 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 155,838,394 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Forty Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | (2,173,866) |
| $ | (1,577,379) |
| |
| Net realized gain/(loss) on investments |
| 69,874,100 |
|
| 142,555,684 |
| |
| Change in unrealized net appreciation/depreciation |
| 88,138,160 |
|
| 177,594,441 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 155,838,394 |
|
| 318,572,746 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (57,583,957) |
|
| (28,629,140) |
|
|
| Service Shares |
| (86,533,730) |
|
| (43,209,494) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (144,117,687) |
|
| (71,838,634) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| 32,636,865 |
|
| (4,352,608) |
|
|
| Service Shares |
| 58,824,456 |
|
| (32,885,634) |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 91,461,321 |
|
| (37,238,242) |
| ||
Net Increase/(Decrease) in Net Assets |
| 103,182,028 |
|
| 209,495,870 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 1,096,609,087 |
|
| 887,113,217 |
| |
| End of period | $ | 1,199,791,115 |
| $ | 1,096,609,087 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $57.00 |
|
| $44.38 |
|
| $35.20 |
|
| $39.76 |
|
| $32.19 |
|
| $36.37 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| (0.07) |
|
| (0.01) |
|
| 0.09 |
|
| 0.07 |
|
| 0.02 |
|
| 0.05 |
| |
|
| Net realized and unrealized gain/(loss) |
| 8.22 |
|
| 16.29 |
|
| 12.55 |
|
| 1.31 |
|
| 9.58 |
|
| 0.58 |
| |
| Total from Investment Operations |
| 8.15 |
|
| 16.28 |
|
| 12.64 |
|
| 1.38 |
|
| 9.60 |
|
| 0.63 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| — |
|
| (0.14) |
|
| (0.06) |
|
| — |
|
| — |
|
| — |
| |
|
| Distributions (from capital gains) |
| (7.49) |
|
| (3.52) |
|
| (3.40) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
| |
| Total Dividends and Distributions |
| (7.49) |
|
| (3.66) |
|
| (3.46) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
| ||
| Net Asset Value, End of Period |
| $57.66 |
|
| $57.00 |
|
| $44.38 |
|
| $35.20 |
|
| $39.76 |
|
| $32.19 |
| ||
| Total Return* |
| 14.76% |
|
| 39.40% |
|
| 37.16% |
|
| 1.98% |
|
| 30.31% |
|
| 2.20% |
| ||
| Net Assets, End of Period (in thousands) |
| $503,030 |
|
| $462,216 |
|
| $362,001 |
|
| $292,132 |
|
| $309,258 |
|
| $257,009 |
| ||
| Average Net Assets for the Period (in thousands) |
| $470,362 |
|
| $389,419 |
|
| $337,416 |
|
| $327,962 |
|
| $297,125 |
|
| $273,374 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.77% |
|
| 0.76% |
|
| 0.77% |
|
| 0.71% |
|
| 0.82% |
|
| 0.72% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.77% |
|
| 0.76% |
|
| 0.77% |
|
| 0.71% |
|
| 0.82% |
|
| 0.72% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| (0.25)% |
|
| (0.02)% |
|
| 0.23% |
|
| 0.17% |
|
| 0.05% |
|
| 0.15% |
| |
| Portfolio Turnover Rate |
| 14% |
|
| 41% |
|
| 35% |
|
| 41% |
|
| 39% |
|
| 53% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $52.96 |
|
| $41.53 |
|
| $33.15 |
|
| $37.84 |
|
| $30.79 |
|
| $35.08 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| (0.13) |
|
| (0.12) |
|
| (0.01) |
|
| (0.03) |
|
| (0.07) |
|
| (0.03) |
| |
|
| Net realized and unrealized gain/(loss) |
| 7.61 |
|
| 15.15 |
|
| 11.80 |
|
| 1.28 |
|
| 9.15 |
|
| 0.55 |
| |
| Total from Investment Operations |
| 7.48 |
|
| 15.03 |
|
| 11.79 |
|
| 1.25 |
|
| 9.08 |
|
| 0.52 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| — |
|
| (0.08) |
|
| (0.01) |
|
| — |
|
| — |
|
| — |
| |
|
| Distributions (from capital gains) |
| (7.49) |
|
| (3.52) |
|
| (3.40) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
| |
| Total Dividends and Distributions |
| (7.49) |
|
| (3.60) |
|
| (3.41) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
| ||
| Net Asset Value, End of Period |
| $52.95 |
|
| $52.96 |
|
| $41.53 |
|
| $33.15 |
|
| $37.84 |
|
| $30.79 |
| ||
| Total Return* |
| 14.61% |
|
| 39.03% |
|
| 36.85% |
|
| 1.72% |
|
| 29.99% |
|
| 1.94% |
| ||
| Net Assets, End of Period (in thousands) |
| $696,761 |
|
| $634,393 |
|
| $525,112 |
|
| $427,321 |
|
| $466,969 |
|
| $430,510 |
| ||
| Average Net Assets for the Period (in thousands) |
| $650,014 |
|
| $548,645 |
|
| $495,465 |
|
| $487,559 |
|
| $457,168 |
|
| $464,943 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 1.01% |
|
| 1.01% |
|
| 1.02% |
|
| 0.96% |
|
| 1.06% |
|
| 0.97% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 1.01% |
|
| 1.01% |
|
| 1.02% |
|
| 0.96% |
|
| 1.06% |
|
| 0.97% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| (0.49)% |
|
| (0.27)% |
|
| (0.02)% |
|
| (0.08)% |
|
| (0.19)% |
|
| (0.09)% |
| |
| Portfolio Turnover Rate |
| 14% |
|
| 41% |
|
| 35% |
|
| 41% |
|
| 39% |
|
| 53% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Forty Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as nondiversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
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
14 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Janus Aspen Series | 15 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States.
16 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the Portfolio's Schedule of Investments.
Janus Aspen Series | 17 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
JPMorgan Chase Bank, National Association | $ | 2,504,548 | $ | — | $ | (2,504,548) | $ | — | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | ||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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 certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
18 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $2,504,548. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $2,557,836, resulting in the net amount due to the counterparty of $53,288.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee rate that may adjust up or down based on the Portfolio’s performance relative to its benchmark index.
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 (the “Base Fee Rate”), plus or minus (2) a performance-fee adjustment (the “Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment advisory fee rate is calculated daily and paid monthly.
The investment performance of the Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. The Portfolio’s Base Fee Rate prior to any performance adjustment (expressed as an annual rate) is 0.64%, and the Portfolio’s benchmark index used in the calculation is the Russell 1000® Growth Index.
No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period. The Base Fee Rate is subject to an upward or downward Performance Adjustment for every full 0.50% increment by which the Portfolio outperforms or underperforms its benchmark index, up to the Portfolio’s full performance rate of ±8.50%. Because the Performance Adjustment is tied to a Portfolio’s relative performance compared to its benchmark index (and not its absolute performance), the Performance Adjustment could increase Janus Capital’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease Janus Capital’s fee even if the Portfolio’s Shares increase in value during the performance measurement period. For purposes of computing the Base Fee Rate and the Performance Adjustment, net assets are averaged over different periods (average daily net assets during the previous month for the Base Fee Rate, versus average daily net assets during the performance measurement period for the Performance Adjustment). Performance
Janus Aspen Series | 19 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
of the Portfolio is calculated net of expenses whereas the Portfolio’s benchmark index does not have any fees or expenses. Reinvestment of dividends and distributions is included in calculating both the performance of a Portfolio and the Portfolio’s benchmark index.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.70%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. 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
20 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. 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.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 590,265,603 | $621,038,920 | $ (2,238,216) | $ 618,800,704 |
Janus Aspen Series | 21 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 279,373 | $16,493,323 |
| 1,037,980 | $ 48,778,741 | |
Reinvested dividends and distributions | 1,032,896 | 57,583,957 |
| 667,502 | 28,629,140 | |
Shares repurchased | (697,412) | (41,440,415) |
| (1,752,621) | (81,760,489) | |
Net Increase/(Decrease) | 614,857 | $32,636,865 |
| (47,139) | $ (4,352,608) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 557,156 | $30,491,175 |
| 1,055,239 | $ 47,177,425 | |
Reinvested dividends and distributions | 1,689,782 | 86,533,730 |
| 1,082,945 | 43,209,494 | |
Shares repurchased | (1,067,736) | (58,200,449) |
| (2,804,441) | (123,272,553) | |
Net Increase/(Decrease) | 1,179,202 | $58,824,456 |
| (666,257) | $(32,885,634) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$154,504,950 | $ 194,022,784 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
22 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
Janus Aspen Series | 23 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
24 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
Janus Aspen Series | 25 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
26 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
Janus Aspen Series | 27 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
28 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Aspen Series | 29 |
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
30 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Janus Aspen Series | 31 |
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
32 | JUNE 30, 2021 |
Janus Henderson VIT Forty Portfolio
Notes
NotesPage1
Janus Aspen Series | 33 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81115 08-21 |
SEMIANNUAL REPORT June 30, 2021 | ||
Janus Henderson VIT Global Research Portfolio | ||
Janus Aspen Series | ||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Global Research Portfolio
PORTFOLIO SNAPSHOT By investing in the best ideas from each global research sector team, this global large-cap growth fund seeks long-term growth of capital with volatility similar to its peers. Our analysts scour the globe to identify industry-leading companies with brand power, enduring business models and strong competitive positioning. | Team-Based Approach Led by Matthew Peron, Director of Research | ||||
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| ASML Holding NV | 2.64% |
| 0.53% |
| Daikin Industries Ltd | 1.08% |
| -0.32% |
| Entain PLC | 1.28% |
| 0.45% |
| Sarepta Therapeutics Inc | 0.26% |
| -0.28% |
| Blackstone Group Inc | 1.06% |
| 0.34% |
| Unilever PLC | 1.57% |
| -0.25% |
| Canadian Natural Resources Ltd | 0.82% |
| 0.26% |
| RWE AG | 0.64% |
| -0.19% |
| ConocoPhillips | 0.81% |
| 0.21% |
| Autodesk Inc | 0.99% |
| -0.18% |
| 4 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI World Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Technology |
| 0.86% |
| 18.31% | 18.01% |
| Energy |
| 0.49% |
| 6.29% | 6.05% |
| Communications |
| 0.37% |
| 10.68% | 10.62% |
| Consumer |
| 0.06% |
| 16.37% | 16.42% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI World Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Financials |
| -1.05% |
| 18.39% | 18.47% |
| Healthcare |
| -0.62% |
| 12.26% | 12.65% |
| Industrials |
| -0.21% |
| 17.42% | 17.57% |
| Other** |
| -0.06% |
| 0.28% | 0.21% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | The sectors listed above reflect those covered by the six analyst teams who comprise the Janus Henderson Research Team. | |||||
** | Not a GICS classified sector. |
Janus Aspen Series | 1 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 4.4% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 3.3% |
Alphabet Inc - Class C | |
Interactive Media & Services | 3.1% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 2.6% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 2.3% |
15.7% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 99.7% | ||||
Investment Companies | 0.6% | ||||
Other | (0.3)% | ||||
100.0% |
Emerging markets comprised 5.1% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 12.62% | 40.40% | 16.58% | 11.15% | 9.22% |
|
| 0.84% | |
Service Shares |
| 12.47% | 40.05% | 16.29% | 10.87% | 8.94% |
|
| 1.09% | |
MSCI World Index |
| 13.05% | 39.04% | 14.83% | 10.65% | 7.88% |
|
|
| |
MSCI All Country World Index |
| 12.30% | 39.27% | 14.61% | 9.90% | N/A** |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 2nd | 3rd | 3rd | 2nd |
|
|
| |
Morningstar Ranking - based on total returns for World Large Stock Funds |
| - | 182/363 | 219/303 | 171/225 | 61/92 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 3 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
**Since inception return is not shown for the index because the index’s inception date differs significantly from the Portfolio’s inception date.
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,126.20 | $4.06 |
| $1,000.00 | $1,020.98 | $3.86 | 0.77% | ||
Service Shares | $1,000.00 | $1,124.70 | $5.32 |
| $1,000.00 | $1,019.79 | $5.06 | 1.01% | ||
† | 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 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– 99.7% | |||||||
Aerospace & Defense – 2.8% | |||||||
CAE Inc* | 205,183 | $6,320,709 | |||||
L3Harris Technologies Inc | 43,142 | 9,325,143 | |||||
Safran SA | 69,701 | 9,662,032 | |||||
25,307,884 | |||||||
Air Freight & Logistics – 1.4% | |||||||
United Parcel Service Inc | 58,445 | 12,154,807 | |||||
Airlines – 0.7% | |||||||
Ryanair Holdings PLC (ADR)* | 53,798 | 5,821,482 | |||||
Auto Components – 1.0% | |||||||
Aptiv PLC* | 56,304 | 8,858,308 | |||||
Banks – 4.5% | |||||||
BNP Paribas SA | 121,839 | 7,637,237 | |||||
Citigroup Inc | 145,143 | 10,268,867 | |||||
HDFC Bank Ltd | 226,971 | 4,574,233 | |||||
JPMorgan Chase & Co | 116,520 | 18,123,521 | |||||
40,603,858 | |||||||
Beverages – 3.3% | |||||||
Constellation Brands Inc | 68,750 | 16,079,938 | |||||
Pernod Ricard SA | 61,293 | 13,603,710 | |||||
29,683,648 | |||||||
Biotechnology – 2.4% | |||||||
AbbVie Inc | 73,471 | 8,275,773 | |||||
Ascendis Pharma A/S (ADR)* | 16,620 | 2,186,361 | |||||
Global Blood Therapeutics Inc* | 29,261 | 1,024,720 | |||||
Neurocrine Biosciences Inc* | 32,742 | 3,186,451 | |||||
Sarepta Therapeutics Inc* | 27,478 | 2,136,140 | |||||
Vertex Pharmaceuticals Inc* | 23,380 | 4,714,109 | |||||
21,523,554 | |||||||
Building Products – 1.9% | |||||||
Assa Abloy AB | 293,359 | 8,839,585 | |||||
Daikin Industries Ltd | 41,600 | 7,748,506 | |||||
16,588,091 | |||||||
Capital Markets – 3.1% | |||||||
Apollo Global Management Inc | 95,492 | 5,939,602 | |||||
Blackstone Group Inc | 77,768 | 7,554,384 | |||||
London Stock Exchange Group PLC | 50,827 | 5,602,844 | |||||
Morgan Stanley | 99,113 | 9,087,671 | |||||
28,184,501 | |||||||
Chemicals – 2.0% | |||||||
Air Products & Chemicals Inc | 30,361 | 8,734,253 | |||||
Sherwin-Williams Co | 34,780 | 9,475,811 | |||||
18,210,064 | |||||||
Consumer Finance – 1.7% | |||||||
Nexi SpA (144A)* | 364,560 | 8,000,481 | |||||
Synchrony Financial | 150,328 | 7,293,915 | |||||
15,294,396 | |||||||
Electric Utilities – 0.2% | |||||||
NextEra Energy Inc | 27,933 | 2,046,930 | |||||
Electronic Equipment, Instruments & Components – 1.6% | |||||||
Hexagon AB - Class B | 987,890 | 14,641,224 | |||||
Entertainment – 2.8% | |||||||
Liberty Media Corp-Liberty Formula One* | 178,241 | 8,592,999 | |||||
Netflix Inc* | 22,694 | 11,987,198 | |||||
Sea Ltd (ADR)* | 16,783 | 4,608,612 | |||||
25,188,809 | |||||||
Health Care Equipment & Supplies – 2.8% | |||||||
Abbott Laboratories | 58,471 | 6,778,543 | |||||
Boston Scientific Corp* | 179,240 | 7,664,302 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– (continued) | |||||||
Health Care Equipment & Supplies– (continued) | |||||||
Dentsply Sirona Inc | 58,259 | $3,685,464 | |||||
DexCom Inc* | 6,313 | 2,695,651 | |||||
Edwards Lifesciences Corp* | 41,246 | 4,271,848 | |||||
25,095,808 | |||||||
Health Care Providers & Services – 1.2% | |||||||
Centene Corp* | 61,999 | 4,521,587 | |||||
Humana Inc | 14,168 | 6,272,457 | |||||
10,794,044 | |||||||
Hotels, Restaurants & Leisure – 2.8% | |||||||
GVC Holdings PLC* | 417,037 | 10,068,161 | |||||
McDonald's Corp | 34,644 | 8,002,418 | |||||
Sands China Ltd* | 1,589,200 | 6,693,221 | |||||
24,763,800 | |||||||
Household Durables – 0.6% | |||||||
Roku Inc* | 12,128 | 5,569,784 | |||||
Independent Power and Renewable Electricity Producers – 1.5% | |||||||
NRG Energy Inc | 203,675 | 8,208,103 | |||||
Vistra Energy Corp | 268,171 | 4,974,572 | |||||
13,182,675 | |||||||
Industrial Conglomerates – 1.0% | |||||||
Honeywell International Inc | 40,313 | 8,842,657 | |||||
Information Technology Services – 4.9% | |||||||
Fidelity National Information Services Inc | 61,784 | 8,752,939 | |||||
Mastercard Inc | 45,394 | 16,572,895 | |||||
Visa Inc | 65,624 | 15,344,204 | |||||
Wix.com Ltd* | 10,636 | 3,087,418 | |||||
43,757,456 | |||||||
Insurance – 4.0% | |||||||
AIA Group Ltd | 822,400 | 10,221,610 | |||||
Aon PLC | 26,470 | 6,319,977 | |||||
Beazley PLC* | 747,497 | 3,436,578 | |||||
Intact Financial Corp | 35,340 | 4,802,009 | |||||
Progressive Corp | 63,786 | 6,264,423 | |||||
Prudential PLC | 259,932 | 4,937,921 | |||||
35,982,518 | |||||||
Interactive Media & Services – 6.3% | |||||||
Alphabet Inc - Class C* | 10,903 | 27,326,407 | |||||
Facebook Inc* | 47,782 | 16,614,279 | |||||
Snap Inc* | 81,613 | 5,561,110 | |||||
Tencent Holdings Ltd | 88,900 | 6,686,879 | |||||
56,188,675 | |||||||
Internet & Direct Marketing Retail – 6.2% | |||||||
Amazon.com Inc* | 8,617 | 29,643,859 | |||||
Booking Holdings Inc* | 3,925 | 8,588,253 | |||||
DoorDash Inc - Class A* | 22,207 | 3,960,174 | |||||
Meituan Dianping (144A)* | 91,000 | 3,755,284 | |||||
MercadoLibre Inc* | 5,913 | 9,211,212 | |||||
55,158,782 | |||||||
Life Sciences Tools & Services – 0.7% | |||||||
Thermo Fisher Scientific Inc | 13,180 | 6,648,915 | |||||
Machinery – 1.0% | |||||||
Parker-Hannifin Corp | 29,692 | 9,118,710 | |||||
Metals & Mining – 1.9% | |||||||
Freeport-McMoRan Inc | 75,258 | 2,792,824 | |||||
Rio Tinto PLC | 91,191 | 7,503,288 | |||||
Teck Resources Ltd | 290,591 | 6,693,862 | |||||
16,989,974 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– (continued) | |||||||
Multi-Utilities – 0.4% | |||||||
RWE AG | 92,444 | $3,349,444 | |||||
Oil, Gas & Consumable Fuels – 3.9% | |||||||
Canadian Natural Resources Ltd | 240,127 | 8,718,505 | |||||
Cheniere Energy Inc* | 24,396 | 2,116,109 | |||||
ConocoPhillips | 137,459 | 8,371,253 | |||||
Enterprise Products Partners LP | 60,344 | 1,456,101 | |||||
Marathon Petroleum Corp | 118,689 | 7,171,189 | |||||
Suncor Energy Inc | 250,023 | 5,989,336 | |||||
Total SE | 29,307 | 1,325,756 | |||||
35,148,249 | |||||||
Personal Products – 1.5% | |||||||
Unilever PLC | 227,635 | 13,322,902 | |||||
Pharmaceuticals – 5.3% | |||||||
AstraZeneca PLC | 97,246 | 11,678,774 | |||||
Bristol-Myers Squibb Co | 76,419 | 5,106,318 | |||||
Catalent Inc* | 51,282 | 5,544,610 | |||||
Merck & Co Inc | 115,969 | 9,018,909 | |||||
Novartis AG | 86,850 | 7,916,964 | |||||
Organon & Co* | 11,099 | 335,856 | |||||
Roche Holding AG | 20,670 | 7,788,679 | |||||
47,390,110 | |||||||
Road & Rail – 1.3% | |||||||
Full Truck Alliance Co (ADR)* | 124,548 | 2,538,288 | |||||
Uber Technologies Inc* | 184,316 | 9,237,918 | |||||
11,776,206 | |||||||
Semiconductor & Semiconductor Equipment – 7.7% | |||||||
Advanced Micro Devices Inc* | 28,928 | 2,717,207 | |||||
ASML Holding NV | 33,899 | 23,286,597 | |||||
Marvell Technology Inc | 53,077 | 3,095,981 | |||||
Microchip Technology Inc | 29,678 | 4,443,984 | |||||
NVIDIA Corp | 15,294 | 12,236,729 | |||||
Taiwan Semiconductor Manufacturing Co Ltd | 656,000 | 14,010,050 | |||||
Texas Instruments Inc | 48,532 | 9,332,704 | |||||
69,123,252 | |||||||
Software – 8.7% | |||||||
Adobe Inc* | 31,272 | 18,314,134 | |||||
Autodesk Inc* | 28,495 | 8,317,691 | |||||
Microsoft Corp | 145,690 | 39,467,421 | |||||
SS&C Technologies Holdings Inc | 58,772 | 4,235,110 | |||||
Workday Inc* | 30,037 | 7,171,033 | |||||
77,505,389 | |||||||
Technology Hardware, Storage & Peripherals – 2.3% | |||||||
Apple Inc | 152,508 | 20,887,496 | |||||
Textiles, Apparel & Luxury Goods – 2.0% | |||||||
adidas AG | 22,876 | 8,513,577 | |||||
NIKE Inc | 58,817 | 9,086,638 | |||||
17,600,215 | |||||||
Trading Companies & Distributors – 1.7% | |||||||
Ferguson PLC | 106,896 | 14,858,782 | |||||
Wireless Telecommunication Services – 0.6% | |||||||
T-Mobile US Inc* | 34,200 | 4,953,186 | |||||
Total Common Stocks (cost $530,476,150) | 892,116,585 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Investment Companies– 0.6% | |||||||
Money Markets – 0.6% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $5,684,802) | 5,684,234 | $5,684,802 | |||||
Total Investments (total cost $536,160,952) – 100.3% | 897,801,387 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.3)% | (2,468,963) | ||||||
Net Assets – 100% | $895,332,424 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $613,018,056 | 68.3 | % | ||
United Kingdom | 43,227,566 | 4.8 | |||
Netherlands | 36,609,499 | 4.1 | |||
Canada | 32,524,421 | 3.6 | |||
France | 32,228,735 | 3.6 | |||
Sweden | 23,480,809 | 2.6 | |||
Taiwan | 18,618,662 | 2.1 | |||
Hong Kong | 16,914,831 | 1.9 | |||
Switzerland | 15,705,643 | 1.8 | |||
China | 12,980,451 | 1.4 | |||
Germany | 11,863,021 | 1.3 | |||
Argentina | 9,211,212 | 1.0 | |||
Italy | 8,000,481 | 0.9 | |||
Japan | 7,748,506 | 0.9 | |||
Ireland | 5,821,482 | 0.7 | |||
India | 4,574,233 | 0.5 | |||
Israel | 3,087,418 | 0.3 | |||
Denmark | 2,186,361 | 0.2 |
Total | $897,801,387 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 0.6% | ||||||||||
Money Markets - 0.6% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 591 | $ | - | $ | - | $ | 5,684,802 | ||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 4,266∆ | - | - | - | ||||||
Total Affiliated Investments - 0.6% | $ | 4,857 | $ | - | $ | - | $ | 5,684,802 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 0.6% | ||||||||||
Money Markets - 0.6% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 3,707,498 | 38,187,217 | (36,209,913) | 5,684,802 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 1,691,642 | 31,458,207 | (33,149,849) | - |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World IndexSM | MSCI All Country World IndexSM reflects the equity market performance of global developed and emerging markets. |
MSCI World IndexSM | MSCI World IndexSM reflects the equity market performance of global developed markets. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2021 is $11,755,765, which represents 1.3% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 892,116,585 | $ | - | $ | - | ||||||
Investment Companies | - | 5,684,802 | - | |||||||||
Total Assets | $ | 892,116,585 | $ | 5,684,802 | $ | - | ||||||
Janus Aspen Series | 11 |
Janus Henderson VIT Global Research Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $530,476,150) |
| $ | 892,116,585 |
| |
| Affiliated investments, at value (cost $5,684,802) |
|
| 5,684,802 |
| |
| Non-interested Trustees' deferred compensation |
|
| 21,810 |
| |
| Receivables: |
|
|
|
| |
|
| Investments sold |
|
| 3,276,367 |
|
|
| Dividends |
|
| 322,649 |
|
|
| Foreign tax reclaims |
|
| 321,349 |
|
|
| Portfolio shares sold |
|
| 141,359 |
|
|
| Dividends from affiliates |
|
| 24 |
|
| Other assets |
|
| 13,680 |
| |
Total Assets |
|
| 901,898,625 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 162 |
| |
| Foreign cash due to custodian |
|
| 3 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 5,305,818 |
|
|
| Portfolio shares repurchased |
|
| 488,308 |
|
|
| Advisory fees |
|
| 474,413 |
|
|
| Foreign tax liability |
|
| 96,925 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 50,939 |
|
|
| Transfer agent fees and expenses |
|
| 39,122 |
|
|
| Professional fees |
|
| 24,560 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 21,810 |
|
|
| Custodian fees |
|
| 4,138 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 3,238 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,817 |
|
|
| Accrued expenses and other payables |
|
| 54,948 |
|
Total Liabilities |
|
| 6,566,201 |
| ||
Net Assets |
| $ | 895,332,424 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 481,377,320 |
| |
| Total distributable earnings (loss) (includes $96,925 of foreign capital gains tax) |
|
| 413,955,104 |
| |
Total Net Assets |
| $ | 895,332,424 |
| ||
Net Assets - Institutional Shares |
| $ | 644,089,897 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 9,450,814 |
| |
Net Asset Value Per Share |
| $ | 68.15 |
| ||
Net Assets - Service Shares |
| $ | 251,242,527 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 3,789,925 |
| |
Net Asset Value Per Share |
| $ | 66.29 |
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 6,432,986 |
| |
| Affiliated securities lending income, net |
| 4,266 |
| |
| Dividends from affiliates |
| 591 |
| |
| Unaffiliated securities lending income, net |
| 146 |
| |
| Foreign tax withheld |
| (274,850) |
| |
Total Investment Income |
| 6,163,139 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 2,911,279 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 293,884 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 151,572 |
|
|
| Service Shares |
| 58,777 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 15,098 |
|
|
| Service Shares |
| 2,481 |
|
| Shareholder reports expense |
| 28,164 |
| |
| Professional fees |
| 24,924 |
| |
| Custodian fees |
| 15,262 |
| |
| Affiliated portfolio administration fees |
| 13,111 |
| |
| Registration fees |
| 11,467 |
| |
| Non-interested Trustees’ fees and expenses |
| 6,225 |
| |
| Other expenses |
| 41,124 |
| |
Total Expenses |
| 3,573,368 |
| ||
Net Investment Income/(Loss) |
| 2,589,771 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 50,059,098 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 50,059,098 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation (includes $(28,279) of foreign capital gains tax) |
| 49,940,286 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 49,940,286 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 102,589,155 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Research Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 2,589,771 |
| $ | 4,653,529 |
| |
| Net realized gain/(loss) on investments |
| 50,059,098 |
|
| 40,036,236 |
| |
| Change in unrealized net appreciation/depreciation |
| 49,940,286 |
|
| 94,175,782 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 102,589,155 |
|
| 138,865,547 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (31,277,033) |
|
| (31,186,676) |
|
|
| Service Shares |
| (12,316,303) |
|
| (12,545,127) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (43,593,336) |
|
| (43,731,803) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| 374,162 |
|
| (7,319,597) |
|
|
| Service Shares |
| (692,472) |
|
| (5,498,429) |
|
Net Increase/(Decrease) from Capital Share Transactions |
| (318,310) |
|
| (12,818,026) |
| ||
Net Increase/(Decrease) in Net Assets |
| 58,677,509 |
|
| 82,315,718 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 836,654,915 |
|
| 754,339,197 |
| |
| End of period | $ | 895,332,424 |
| $ | 836,654,915 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $63.62 |
|
| $56.59 |
|
| $47.13 |
|
| $51.20 |
|
| $40.63 |
|
| $40.24 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.22 |
|
| 0.39 |
|
| 0.60 |
|
| 0.62 |
|
| 0.51 |
|
| 0.45 |
| |
|
| Net realized and unrealized gain/(loss) |
| 7.76 |
|
| 10.04 |
|
| 12.67 |
|
| (4.09) |
|
| 10.45 |
|
| 0.37 |
| |
| Total from Investment Operations |
| 7.98 |
|
| 10.43 |
|
| 13.27 |
|
| (3.47) |
|
| 10.96 |
|
| 0.82 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.18) |
|
| (0.41) |
|
| (0.54) |
|
| (0.60) |
|
| (0.39) |
|
| (0.43) |
| |
|
| Distributions (from capital gains) |
| (3.27) |
|
| (2.99) |
|
| (3.27) |
|
| — |
|
| — |
|
| — |
| |
| Total Dividends and Distributions |
| (3.45) |
|
| (3.40) |
|
| (3.81) |
|
| (0.60) |
|
| (0.39) |
|
| (0.43) |
| ||
| Net Asset Value, End of Period |
| $68.15 |
|
| $63.62 |
|
| $56.59 |
|
| $47.13 |
|
| $51.20 |
|
| $40.63 |
| ||
| Total Return* |
| 12.62% |
|
| 20.06% |
|
| 29.04% |
|
| (6.87)% |
|
| 27.03% |
|
| 2.07% |
| ||
| Net Assets, End of Period (in thousands) |
| $644,090 |
|
| $600,868 |
|
| $539,915 |
|
| $463,402 |
|
| $540,594 |
|
| $469,321 |
| ||
| Average Net Assets for the Period (in thousands) |
| $621,259 |
|
| $516,468 |
|
| $511,859 |
|
| $533,418 |
|
| $512,287 |
|
| $478,402 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.77% |
|
| 0.84% |
|
| 0.79% |
|
| 0.60% |
|
| 0.64% |
|
| 0.65% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.77% |
|
| 0.84% |
|
| 0.79% |
|
| 0.60% |
|
| 0.64% |
|
| 0.65% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.67% |
|
| 0.72% |
|
| 1.13% |
|
| 1.19% |
|
| 1.05% |
|
| 1.15% |
| |
| Portfolio Turnover Rate |
| 11% |
|
| 33% |
|
| 36% |
|
| 36% |
|
| 41% |
|
| 45% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $62.00 |
|
| $55.27 |
|
| $46.15 |
|
| $50.17 |
|
| $39.87 |
|
| $39.53 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.14 |
|
| 0.25 |
|
| 0.45 |
|
| 0.48 |
|
| 0.38 |
|
| 0.35 |
| |
|
| Net realized and unrealized gain/(loss) |
| 7.55 |
|
| 9.77 |
|
| 12.39 |
|
| (4.00) |
|
| 10.24 |
|
| 0.36 |
| |
| Total from Investment Operations |
| 7.69 |
|
| 10.02 |
|
| 12.84 |
|
| (3.52) |
|
| 10.62 |
|
| 0.71 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.13) |
|
| (0.30) |
|
| (0.45) |
|
| (0.50) |
|
| (0.32) |
|
| (0.37) |
| |
|
| Distributions (from capital gains) |
| (3.27) |
|
| (2.99) |
|
| (3.27) |
|
| — |
|
| — |
|
| — |
| |
| Total Dividends and Distributions |
| (3.40) |
|
| (3.29) |
|
| (3.72) |
|
| (0.50) |
|
| (0.32) |
|
| (0.37) |
| ||
| Net Asset Value, End of Period |
| $66.29 |
|
| $62.00 |
|
| $55.27 |
|
| $46.15 |
|
| $50.17 |
|
| $39.87 |
| ||
| Total Return* |
| 12.47% |
|
| 19.76% |
|
| 28.71% |
|
| (7.08)% |
|
| 26.68% |
|
| 1.82% |
| ||
| Net Assets, End of Period (in thousands) |
| $251,243 |
|
| $235,787 |
|
| $214,425 |
|
| $180,168 |
|
| $210,318 |
|
| $179,125 |
| ||
| Average Net Assets for the Period (in thousands) |
| $240,963 |
|
| $206,127 |
|
| $198,883 |
|
| $206,497 |
|
| $197,483 |
|
| $186,563 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 1.01% |
|
| 1.09% |
|
| 1.04% |
|
| 0.85% |
|
| 0.89% |
|
| 0.90% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 1.01% |
|
| 1.09% |
|
| 1.04% |
|
| 0.85% |
|
| 0.89% |
|
| 0.90% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.43% |
|
| 0.47% |
|
| 0.88% |
|
| 0.94% |
|
| 0.81% |
|
| 0.91% |
| |
| Portfolio Turnover Rate |
| 11% |
|
| 33% |
|
| 36% |
|
| 36% |
|
| 41% |
|
| 45% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Research Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
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
16 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Janus Aspen Series | 17 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States.
18 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of
Janus Aspen Series | 19 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
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 Securities and Exchange Commission (the "SEC"). If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of June 30, 2021.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee rate that may adjust up or down based on the Portfolio’s performance relative to its benchmark index.
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 (the “Base Fee Rate”), plus or minus (2) a performance-fee adjustment (the “Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment advisory fee rate is calculated daily and paid monthly.
The investment performance of the Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. The Portfolio’s Base Fee Rate prior to any performance adjustment (expressed as an annual rate) is 0.60%, and the Portfolio’s benchmark index used in the calculation is the MSCI World IndexSM.
No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period. The Base Fee Rate is subject to an upward or downward Performance Adjustment for every full 0.50% increment by which the Portfolio outperforms or underperforms its benchmark index, up to the Portfolio’s full performance rate of ±6.00%. Because the Performance Adjustment is tied to a Portfolio’s relative performance compared to its benchmark index (and not its absolute performance), the Performance Adjustment
20 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
could increase Janus Capital’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease Janus Capital’s fee even if the Portfolio’s Shares increase in value during the performance measurement period. For purposes of computing the Base Fee Rate and the Performance Adjustment, net assets are averaged over different periods (average daily net assets during the previous month for the Base Fee Rate, versus average daily net assets during the performance measurement period for the Performance Adjustment). Performance of the Portfolio is calculated net of expenses whereas the Portfolio’s benchmark index does not have any fees or expenses. Reinvestment of dividends and distributions is included in calculating both the performance of a Portfolio and the Portfolio’s benchmark index.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.68%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid
Janus Aspen Series | 21 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 534,630,906 | $366,992,872 | $ (3,822,391) | $ 363,170,481 |
22 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 193,164 | $12,835,647 |
| 332,367 | $18,355,000 | |
Reinvested dividends and distributions | 464,810 | 31,277,033 |
| 621,750 | 31,186,676 | |
Shares repurchased | (651,278) | (43,738,518) |
| (1,050,167) | (56,861,273) | |
Net Increase/(Decrease) | 6,696 | $ 374,162 |
| (96,050) | $ (7,319,597) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 70,753 | $ 4,591,585 |
| 240,326 | $12,343,506 | |
Reinvested dividends and distributions | 188,150 | 12,316,303 |
| 257,316 | 12,545,127 | |
Shares repurchased | (272,009) | (17,600,360) |
| (574,118) | (30,387,062) | |
Net Increase/(Decrease) | (13,106) | $ (692,472) |
| (76,476) | $ (5,498,429) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$92,197,358 | $ 133,374,577 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
Janus Aspen Series | 23 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
24 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
Janus Aspen Series | 25 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund��s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
26 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
Janus Aspen Series | 27 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
28 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
Janus Aspen Series | 29 |
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
30 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Aspen Series | 31 |
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
32 | JUNE 30, 2021 |
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Aspen Series | 33 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81112 08-21 |
SEMIANNUAL REPORT June 30, 2021 | |||||
Janus Henderson VIT Global Technology and Innovation Portfolio | |||||
Janus Aspen Series | |||||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Global Technology and Innovation Portfolio
PORTFOLIO SNAPSHOT This global growth fund invests in companies that create and benefit from advances in technology. We invest in companies we believe to be resilient and also take smaller positions in companies that have optionality – meaning large potential upside under a specific scenario. The Fund seeks to provide strong long-term returns with volatility characteristics on par with its peers. | Denny Fish portfolio manager | ||||
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| Alphabet Inc - Class C | 3.33% |
| 0.87% |
| Dragoneer Growth Opportunities Corp - Class A | 0.83% |
| -0.43% |
| Apple Inc | 5.19% |
| 0.86% |
| Amazon.com Inc | 4.83% |
| -0.35% |
| Facebook Inc | 4.80% |
| 0.72% |
| CoStar Group Inc | 1.41% |
| -0.33% |
| ASML Holding NV | 4.40% |
| 0.59% |
| Microsoft Corp | 9.67% |
| -0.27% |
| Lam Research Corp | 2.93% |
| 0.54% |
| Workday Inc | 2.23% |
| -0.26% |
| 3 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI All Country World Information Technology Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Communication Services |
| 1.50% |
| 13.61% | 0.00% |
| Information Technology |
| 1.39% |
| 69.58% | 100.00% |
| Financials |
| 0.04% |
| 0.37% | 0.00% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI All Country World Information Technology Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Other** |
| -0.67% |
| 3.36% | 0.00% |
| Consumer Discretionary |
| -0.39% |
| 8.55% | 0.00% |
| Industrials |
| -0.35% |
| 2.77% | 0.00% |
| Real Estate |
| -0.11% |
| 1.76% | 0.00% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | 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 | 1 |
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 9.5% |
Facebook Inc | |
Interactive Media & Services | 5.3% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 4.7% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 4.7% |
Mastercard Inc | |
Information Technology Services | 4.5% |
28.7% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 98.3% | ||||
Investment Companies | 1.7% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 1.2% | ||||
Private Investment in Public Equity (PIPES) | 0.7% | ||||
Preferred Stocks | 0.2% | ||||
Warrants | 0.0% | ||||
Other | (2.1)% | ||||
100.0% |
Emerging markets comprised 10.7% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 13.98% | 46.36% | 32.60% | 21.41% | 6.96% |
|
| 0.75% | |
Service Shares |
| 13.86% | 46.07% | 32.27% | 21.12% | 6.69% |
|
| 0.99% | |
S&P 500 Index |
| 15.25% | 40.79% | 17.65% | 14.84% | 7.22% |
|
|
| |
MSCI All Country World Information Technology Index |
| 12.51% | 46.01% | 29.31% | 19.57% | 5.72%** |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 1st | 1st | 2nd |
|
|
| |
Morningstar Ranking - based on total returns for Technology Funds |
| - | 125/249 | 38/195 | 29/179 | 51/112 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
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 for the period.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Janus Aspen Series | 3 |
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Performance
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – January 18, 2000
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
** The MSCI All Country World Information Technology Index since inception returns are calculated from January 31, 2000.
4 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,139.80 | $3.82 |
| $1,000.00 | $1,021.22 | $3.61 | 0.72% | ||
Service Shares | $1,000.00 | $1,138.60 | $5.09 |
| $1,000.00 | $1,020.03 | $4.81 | 0.96% | ||
† | 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 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 98.3% | |||||||
Aerospace & Defense – 0.3% | |||||||
Axon Enterprise Inc* | 13,923 | $2,461,586 | |||||
Capital Markets – 0.1% | |||||||
Capitol Investment Corp V - Class A* | 138,690 | 1,382,739 | |||||
Diversified Consumer Services – 0.2% | |||||||
Courser Inc*,# | 41,102 | 1,625,995 | |||||
Diversified Financial Services – 0.9% | |||||||
Altimeter Growth Corp* | 2 | 25 | |||||
Altimeter Growth Corp - Class A*,# | 217,810 | 2,548,377 | |||||
Dragoneer Growth Opportunities Corp* | 3 | 31 | |||||
Dragoneer Growth Opportunities Corp - Class A*,# | 589,590 | 5,872,316 | |||||
8,420,749 | |||||||
Entertainment – 1.6% | |||||||
Bilibili Inc - Class Z* | 19,614 | 2,415,088 | |||||
Netflix Inc* | 7,774 | 4,106,305 | |||||
Sea Ltd (ADR)* | 27,520 | 7,556,992 | |||||
14,078,385 | |||||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | |||||||
Equinix Inc | 13,999 | 11,235,597 | |||||
Information Technology Services – 13.6% | |||||||
Adyen NV (144A)* | 1,778 | 4,343,552 | |||||
Marqeta Inc - Class A*,# | 110,309 | 3,096,374 | |||||
Mastercard Inc | 110,890 | 40,484,830 | |||||
Shopify Inc* | 4,409 | 6,441,461 | |||||
Snowflake Inc - Class A* | 29,764 | 7,196,935 | |||||
Twilio Inc* | 31,367 | 12,363,617 | |||||
Visa Inc | 143,414 | 33,533,062 | |||||
Wix.com Ltd* | 53,617 | 15,563,943 | |||||
123,023,774 | |||||||
Interactive Media & Services – 12.7% | |||||||
Alphabet Inc - Class C* | 12,620 | 31,629,758 | |||||
Facebook Inc* | 136,887 | 47,596,979 | |||||
Match Group Inc* | 48,136 | 7,761,930 | |||||
Snap Inc* | 134,206 | 9,144,797 | |||||
Tencent Holdings Ltd | 187,700 | 14,118,417 | |||||
Thinkific Labs Inc*,# | 52,646 | 762,037 | |||||
Twitter Inc* | 53,148 | 3,657,114 | |||||
114,671,032 | |||||||
Internet & Direct Marketing Retail – 9.1% | |||||||
Amazon.com Inc* | 12,420 | 42,726,787 | |||||
Booking Holdings Inc* | 2,448 | 5,356,444 | |||||
Coupang Inc*,# | 137,860 | 5,765,305 | |||||
DoorDash Inc - Class A* | 18,905 | 3,371,329 | |||||
Global-E Online Ltd* | 95,023 | 5,423,913 | |||||
Meituan Dianping (144A)* | 294,200 | 12,140,709 | |||||
MercadoLibre Inc* | 4,929 | 7,678,347 | |||||
82,462,834 | |||||||
Leisure Products – 0.4% | |||||||
Peloton Interactive Inc - Class A* | 28,840 | 3,576,737 | |||||
Professional Services – 1.4% | |||||||
CoStar Group Inc* | 151,940 | 12,583,671 | |||||
Road & Rail – 1.6% | |||||||
Full Truck Alliance Co (ADR)* | 328,541 | 6,695,666 | |||||
Uber Technologies Inc* | 146,524 | 7,343,783 | |||||
14,039,449 | |||||||
Semiconductor & Semiconductor Equipment – 23.4% | |||||||
Advanced Micro Devices Inc* | 43,236 | 4,061,158 | |||||
Analog Devices Inc | 42,308 | 7,283,745 | |||||
ASML Holding NV | 61,316 | 42,120,446 | |||||
KLA Corp | 37,489 | 12,154,309 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Semiconductor & Semiconductor Equipment– (continued) | |||||||
Lam Research Corp | 35,056 | $22,810,939 | |||||
Marvell Technology Inc | 61,344 | 3,578,196 | |||||
Microchip Technology Inc | 29,984 | 4,489,804 | |||||
NVIDIA Corp | 46,155 | 36,928,616 | |||||
NXP Semiconductors NV | 38,015 | 7,820,446 | |||||
Taiwan Semiconductor Manufacturing Co Ltd | 1,817,000 | 38,805,276 | |||||
Texas Instruments Inc | 148,549 | 28,565,973 | |||||
Xilinx Inc | 19,624 | 2,838,415 | |||||
211,457,323 | |||||||
Software – 28.4% | |||||||
Adobe Inc* | 67,808 | 39,711,077 | |||||
Atlassian Corp PLC* | 40,133 | 10,308,562 | |||||
Autodesk Inc* | 42,716 | 12,468,800 | |||||
Avalara Inc* | 54,042 | 8,743,996 | |||||
Cadence Design Systems Inc* | 126,920 | 17,365,194 | |||||
Ceridian HCM Holding Inc* | 76,617 | 7,349,103 | |||||
DocuSign Inc* | 16,148 | 4,514,496 | |||||
Dynatrace Inc* | 134,067 | 7,832,194 | |||||
HubSpot Inc* | 2,784 | 1,622,292 | |||||
Microsoft Corp | 317,928 | 86,126,695 | |||||
Nice Ltd (ADR)* | 24,721 | 6,117,459 | |||||
Olo Inc - Class A* | 21,962 | 821,159 | |||||
Paylocity Holding Corp* | 4,773 | 910,688 | |||||
RingCentral Inc* | 16,954 | 4,926,493 | |||||
SailPoint Technologies Holding Inc* | 61,814 | 3,156,841 | |||||
Tuya Inc (ADR)* | 56,689 | 1,388,881 | |||||
Tyler Technologies Inc* | 11,381 | 5,148,423 | |||||
Unity Software Inc* | 16,802 | 1,845,364 | |||||
Workday Inc* | 77,540 | 18,511,900 | |||||
Zendesk Inc* | 118,913 | 17,163,902 | |||||
256,033,519 | |||||||
Technology Hardware, Storage & Peripherals – 3.4% | |||||||
Apple Inc | 221,124 | 30,285,143 | |||||
Total Common Stocks (cost $473,092,914) | 887,338,533 | ||||||
Private Investment in Public Equity (PIPES)– 0.7% | |||||||
Diversified Financial Services – 0.7% | |||||||
Altimeter Growth Corp*,§ | 421,689 | 4,933,761 | |||||
Dragoneer Growth Opportunities Corp*,§ | 112,363 | 1,119,135 | |||||
Total Private Investment in Public Equity (PIPES) (cost $5,340,520) | 6,052,896 | ||||||
Preferred Stocks– 0.2% | |||||||
Professional Services – 0.2% | |||||||
Apartment List Inc PP*,¢,§ | 485,075 | 1,771,979 | |||||
Software – 0% | |||||||
Magic Leap Inc PP - Series D*,¢,§ | 58,710 | 0 | |||||
Total Preferred Stocks (cost $3,357,149) | 1,771,979 | ||||||
Warrants– 0% | |||||||
Diversified Financial Services – 0% | |||||||
Altimeter Growth Corp, expires 9/30/25* | 43,562 | 138,963 | |||||
Dragoneer Growth Opportunities Corp, expires 8/14/25* | 117,757 | 236,692 | |||||
Total Warrants (cost $393,361) | 375,655 | ||||||
Investment Companies– 1.7% | |||||||
Money Markets – 1.7% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $15,212,993) | 15,211,472 | 15,212,993 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 1.2% | |||||||
Investment Companies – 0.9% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 8,387,985 | 8,387,985 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Investments Purchased with Cash Collateral from Securities Lending– (continued) | |||||||
Time Deposits – 0.3% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $2,096,996 | $2,096,996 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $10,484,981) | 10,484,981 | ||||||
Total Investments (total cost $507,881,918) – 102.1% | 921,237,037 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (2.1)% | (18,538,022) | ||||||
Net Assets – 100% | $902,699,015 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $733,590,983 | 79.6 | % | ||
Netherlands | 46,463,998 | 5.1 | |||
Taiwan | 46,362,268 | 5.0 | |||
China | 36,758,761 | 4.0 | |||
Israel | 27,105,315 | 3.0 | |||
Australia | 10,308,562 | 1.1 | |||
Argentina | 7,678,347 | 0.8 | |||
Canada | 7,203,498 | 0.8 | |||
South Korea | 5,765,305 | 0.6 |
Total | $921,237,037 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 1.7% | ||||||||||
Money Markets - 1.7% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 7,219 | $ | - | $ | - | $ | 15,212,993 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.9% | ||||||||||
Investment Companies - 0.9% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 74,161∆ | - | - | 8,387,985 | ||||||
Total Affiliated Investments - 2.6% | $ | 81,380 | $ | - | $ | - | $ | 23,600,978 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 1.7% | ||||||||||
Money Markets - 1.7% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 21,692,904 | 89,401,439 | (95,881,350) | 15,212,993 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.9% | ||||||||||
Investment Companies - 0.9% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 2,018,507 | 46,681,736 | (40,312,258) | 8,387,985 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World Information Technology IndexSM | MSCI All Country World Information Technology IndexSM reflects the performance of information technology stocks from developed and emerging markets. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
PP | Private Placement |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2021 is $16,484,261, which represents 1.8% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the period ended June 30, 2021 is $1,771,979, which represents 0.2% of net assets. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
§ | Schedule of Restricted Securities (as of June 30, 2021) | |||||||||
Value as a | ||||||||||
Acquisition | % of Net | |||||||||
Date | Cost | Value | Assets | |||||||
Altimeter Growth Corp | 4/14/21 | $ | 4,216,890 | $ | 4,933,761 | 0.6 | % | |||
Apartment List Inc PP | 11/2/20 | 1,771,979 | 1,771,979 | 0.2 | ||||||
Dragoneer Growth Opportunities Corp | 2/3/21 | 1,123,630 | 1,119,135 | 0.1 | ||||||
Magic Leap Inc PP - Series D | 10/5/17 | 1,585,170 | 0 | 0.0 | ||||||
Total | $ | 8,697,669 | $ | 7,824,875 | 0.9 | % | ||||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2021. The issuer incurs all registration costs. |
10 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 887,338,533 | $ | - | $ | - | ||||||
Private Investment in Public Equity (PIPES) | - | 6,052,896 | - | |||||||||
Preferred Stocks | - | - | 1,771,979 | |||||||||
Warrants | 375,655 | - | - | |||||||||
Investment Companies | - | 15,212,993 | - | |||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 10,484,981 | - | |||||||||
Total Assets | $ | 887,714,188 | $ | 31,750,870 | $ | 1,771,979 | ||||||
Janus Aspen Series | 11 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $484,280,940)(1) |
| $ | 897,636,059 |
| |
| Affiliated investments, at value (cost $23,600,978) |
|
| 23,600,978 |
| |
| Non-interested Trustees' deferred compensation |
|
| 21,973 |
| |
| Receivables: |
|
|
|
| |
|
| Investments sold |
|
| 3,625,101 |
|
|
| Portfolio shares sold |
|
| 512,473 |
|
|
| Dividends |
|
| 205,213 |
|
|
| Dividends from affiliates |
|
| 844 |
|
|
| Foreign tax reclaims |
|
| 694 |
|
| Other assets |
|
| 26,294 |
| |
Total Assets |
|
| 925,629,629 |
| ||
Liabilities: |
|
|
|
| ||
| Collateral for securities loaned (Note 2) |
|
| 10,484,981 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 11,459,360 |
|
|
| Advisory fees |
|
| 452,421 |
|
|
| Portfolio shares repurchased |
|
| 223,509 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 165,388 |
|
|
| Transfer agent fees and expenses |
|
| 36,937 |
|
|
| Professional fees |
|
| 30,502 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 21,973 |
|
|
| Custodian fees |
|
| 4,054 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 3,045 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,767 |
|
|
| Accrued expenses and other payables |
|
| 46,677 |
|
Total Liabilities |
|
| 22,930,614 |
| ||
Net Assets |
| $ | 902,699,015 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 420,880,250 |
| |
| Total distributable earnings (loss) |
|
| 481,818,765 |
| |
Total Net Assets |
| $ | 902,699,015 |
| ||
Net Assets - Institutional Shares |
| $ | 57,774,022 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 2,883,361 |
| |
Net Asset Value Per Share |
| $ | 20.04 |
| ||
Net Assets - Service Shares |
| $ | 844,924,993 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 41,789,109 |
| |
Net Asset Value Per Share |
| $ | 20.22 |
|
(1) Includes $10,249,557 of securities on loan. See Note 2 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 2,076,454 |
| |
| Affiliated securities lending income, net |
| 74,161 |
| |
| Dividends from affiliates |
| 7,219 |
| |
| Unaffiliated securities lending income, net |
| 261 |
| |
| Foreign tax withheld |
| (94,069) |
| |
Total Investment Income |
| 2,064,026 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 2,561,212 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 936,224 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 12,850 |
|
|
| Service Shares |
| 187,245 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 1,299 |
|
|
| Service Shares |
| 7,829 |
|
| Professional fees |
| 26,448 |
| |
| Shareholder reports expense |
| 18,803 |
| |
| Custodian fees |
| 15,138 |
| |
| Affiliated portfolio administration fees |
| 12,481 |
| |
| Non-interested Trustees’ fees and expenses |
| 5,970 |
| |
| Other expenses |
| 37,642 |
| |
Total Expenses |
| 3,823,141 |
| ||
Net Investment Income/(Loss) |
| (1,759,115) |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 75,022,093 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 75,022,093 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation |
| 35,584,555 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 35,584,555 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 108,847,533 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | (1,759,115) |
| $ | (1,870,749) |
| |
| Net realized gain/(loss) on investments |
| 75,022,093 |
|
| 113,274,622 |
| |
| Change in unrealized net appreciation/depreciation |
| 35,584,555 |
|
| 148,900,055 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 108,847,533 |
|
| 260,303,928 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (7,520,074) |
|
| (3,732,594) |
|
|
| Service Shares |
| (107,940,768) |
|
| (51,548,235) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (115,460,842) |
|
| (55,280,829) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| 7,205,097 |
|
| 3,553,470 |
|
|
| Service Shares |
| 118,244,714 |
|
| 32,148,954 |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 125,449,811 |
|
| 35,702,424 |
| ||
Net Increase/(Decrease) in Net Assets |
| 118,836,502 |
|
| 240,725,523 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 783,862,513 |
|
| 543,136,990 |
| |
| End of period | $ | 902,699,015 |
| $ | 783,862,513 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $20.34 |
|
| $14.88 |
|
| $11.06 |
|
| $11.40 |
|
| $8.37 |
|
| $7.63 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| (0.02) |
|
| (0.01) |
|
| 0.02 |
|
| 0.01 |
|
| —(2) |
|
| —(2) |
| |
|
| Net realized and unrealized gain/(loss) |
| 2.73 |
|
| 7.04 |
|
| 4.81 |
|
| 0.20 |
|
| 3.68 |
|
| 1.05 |
| |
| Total from Investment Operations |
| 2.71 |
|
| 7.03 |
|
| 4.83 |
|
| 0.21 |
|
| 3.68 |
|
| 1.05 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.05) |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (0.02) |
| |
|
| Distributions (from capital gains) |
| (2.96) |
|
| (1.57) |
|
| (1.01) |
|
| (0.55) |
|
| (0.65) |
|
| (0.29) |
| |
| Total Dividends and Distributions |
| (3.01) |
|
| (1.57) |
|
| (1.01) |
|
| (0.55) |
|
| (0.65) |
|
| (0.31) |
| ||
| Net Asset Value, End of Period |
| $20.04 |
|
| $20.34 |
|
| $14.88 |
|
| $11.06 |
|
| $11.40 |
|
| $8.37 |
| ||
| Total Return* |
| 13.98% |
|
| 51.20% |
|
| 45.17% |
|
| 1.19% |
|
| 45.09% |
|
| 14.21% |
| ||
| Net Assets, End of Period (in thousands) |
| $57,774 |
|
| $51,009 |
|
| $34,515 |
|
| $24,240 |
|
| $24,815 |
|
| $9,935 |
| ||
| Average Net Assets for the Period (in thousands) |
| $52,678 |
|
| $39,592 |
|
| $30,035 |
|
| $27,658 |
|
| $12,729 |
|
| $9,164 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.72% |
|
| 0.75% |
|
| 0.75% |
|
| 0.76% |
|
| 0.76% |
|
| 0.78% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.72% |
|
| 0.75% |
|
| 0.75% |
|
| 0.76% |
|
| 0.76% |
|
| 0.78% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| (0.21)% |
|
| (0.07)% |
|
| 0.11% |
|
| 0.09% |
|
| 0.03% |
|
| 0.06% |
| |
| Portfolio Turnover Rate |
| 24% |
|
| 44% |
|
| 30% |
|
| 32% |
|
| 23% |
|
| 62% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $20.51 |
|
| $15.03 |
|
| $11.19 |
|
| $11.56 |
|
| $8.49 |
|
| $7.75 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| (0.05) |
|
| (0.05) |
|
| (0.02) |
|
| (0.02) |
|
| (0.02) |
|
| (0.02) |
| |
|
| Net realized and unrealized gain/(loss) |
| 2.75 |
|
| 7.10 |
|
| 4.87 |
|
| 0.20 |
|
| 3.74 |
|
| 1.06 |
| |
| Total from Investment Operations |
| 2.70 |
|
| 7.05 |
|
| 4.85 |
|
| 0.18 |
|
| 3.72 |
|
| 1.04 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.03) |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (0.01) |
| |
|
| Distributions (from capital gains) |
| (2.96) |
|
| (1.57) |
|
| (1.01) |
|
| (0.55) |
|
| (0.65) |
|
| (0.29) |
| |
| Total Dividends and Distributions |
| (2.99) |
|
| (1.57) |
|
| (1.01) |
|
| (0.55) |
|
| (0.65) |
|
| (0.30) |
| ||
| Net Asset Value, End of Period |
| $20.22 |
|
| $20.51 |
|
| $15.03 |
|
| $11.19 |
|
| $11.56 |
|
| $8.49 |
| ||
| Total Return* |
| 13.80% |
|
| 50.80% |
|
| 44.82% |
|
| 0.91% |
|
| 44.91% |
|
| 13.85% |
| ||
| Net Assets, End of Period (in thousands) |
| $844,925 |
|
| $732,854 |
|
| $508,622 |
|
| $370,831 |
|
| $369,931 |
|
| $245,967 |
| ||
| Average Net Assets for the Period (in thousands) |
| $767,330 |
|
| $577,972 |
|
| $449,847 |
|
| $416,626 |
|
| $320,729 |
|
| $212,136 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.96% |
|
| 0.99% |
|
| 0.99% |
|
| 1.00% |
|
| 1.00% |
|
| 1.03% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.96% |
|
| 0.99% |
|
| 0.99% |
|
| 1.00% |
|
| 1.00% |
|
| 1.03% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| (0.45)% |
|
| (0.32)% |
|
| (0.13)% |
|
| (0.16)% |
|
| (0.21)% |
|
| (0.19)% |
| |
| Portfolio Turnover Rate |
| 24% |
|
| 44% |
|
| 30% |
|
| 32% |
|
| 23% |
|
| 62% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Less than $0.005 on a per share basis. |
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Technology and Innovation Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
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
16 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 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, 2021.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities
Janus Aspen Series | 17 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor
18 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
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.” Such countries include but are not limited to countries included in the MSCI Emerging Markets IndexSM. 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
Janus Aspen Series | 19 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
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 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. Similarly, issuers in such markets may not be subject to regulatory, accounting, auditing, and financial reporting and recordkeeping standards comparable to those to which U.S. companies are subject. There is a risk in developing countries that a current or 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. Developing countries may also experience a higher level of exposure and vulnerability to the adverse effects of climate change. This can be attributed to both the geographic location of emerging market countries and/or a country’s lack of access to technology or resources to adjust and adapt to its effects. An increased occurrence and severity of natural disasters and extreme weather events such as droughts and decreased crop yields, heat waves, flooding and rising sea levels, and increased spread of disease, could cause harmful effects to the performance of affected economies. 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 Fund invests in Chinese local market securities.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the Portfolio's Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
JPMorgan Chase Bank, National Association | $ | 10,249,557 | $ | — | $ | (10,249,557) | $ | — | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | ||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
20 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
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 certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
Janus Aspen Series | 21 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $10,249,557. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $10,484,981, resulting in the net amount due to the counterparty of $235,424.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.64% of its average daily net assets.
Janus Capital has contractually agreed to waive the investment advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.95% of the Portfolio’s average daily net assets for at least a one-year period commencing April 30, 2021. The previous expense limit for one-year period that commenced on April 29, 2020 was 1.00%. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment
22 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. 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.
Janus Aspen Series | 23 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 512,546,021 | $411,370,939 | $ (2,679,923) | $ 408,691,016 |
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 388,714 | $ 8,145,353 |
| 1,217,576 | $ 20,231,592 | |
Reinvested dividends and distributions | 392,488 | 7,520,074 |
| 252,544 | 3,732,594 | |
Shares repurchased | (405,630) | (8,460,330) |
| (1,281,197) | (20,410,716) | |
Net Increase/(Decrease) | 375,572 | $ 7,205,097 |
| 188,923 | $ 3,553,470 | |
Service Shares: |
|
|
|
|
| |
Shares sold | 4,013,221 | $ 84,726,183 |
| 8,831,320 | $149,099,983 | |
Reinvested dividends and distributions | 5,584,106 | 107,940,768 |
| 3,454,976 | 51,548,235 | |
Shares repurchased | (3,548,393) | (74,422,237) |
| (10,391,134) | (168,499,264) | |
Net Increase/(Decrease) | 6,048,934 | $118,244,714 |
| 1,895,162 | $ 32,148,954 |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$217,475,018 | $ 195,682,922 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
24 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
Janus Aspen Series | 25 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
26 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
Janus Aspen Series | 27 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
28 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
Janus Aspen Series | 29 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
30 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Aspen Series | 31 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
32 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Janus Aspen Series | 33 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
34 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage1
Janus Aspen Series | 35 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage2
36 | JUNE 30, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage3
Janus Aspen Series | 37 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81119 08-21 |
SEMIANNUAL REPORT June 30, 2021 | |||||
Janus Henderson VIT Mid Cap Value Portfolio | |||||
Janus Aspen Series | |||||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Mid Cap Value Portfolio
PORTFOLIO SNAPSHOT As defensive value specialists, we look to invest in high-quality companies with strong management teams, stable balance sheets, and durable competitive advantages that are trading at attractive valuations. We seek to achieve excess returns over full market cycles, with less risk than our benchmark and peers as measured by standard deviation, beta and down-market capture. | Kevin Preloger co-portfolio manager | Justin Tugman co-portfolio manager | |||
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| Laboratory Corp of America Holdings | 2.25% |
| 0.31% |
| BWX Technologies Inc | 2.76% |
| -0.65% |
| Levi Strauss & Co | 1.70% |
| 0.31% |
| Globe Life Inc | 2.76% |
| -0.51% |
| Citizens Financial Group Inc | 2.65% |
| 0.27% |
| NewMarket Corp | 1.10% |
| -0.47% |
| First Horizon National Corp | 2.00% |
| 0.26% |
| RenaissanceRe Holdings Ltd | 1.56% |
| -0.47% |
| Fifth Third Bancorp | 1.52% |
| 0.19% |
| Check Point Software Technologies Ltd | 1.12% |
| -0.45% |
| 5 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell Midcap Value Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Health Care |
| 0.84% |
| 6.17% | 7.51% |
| Utilities |
| 0.41% |
| 5.57% | 7.18% |
| Consumer Staples |
| 0.08% |
| 3.89% | 3.78% |
| Consumer Discretionary |
| -0.17% |
| 9.45% | 12.39% |
| Communication Services |
| -0.39% |
| 3.12% | 4.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell Midcap Value Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Information Technology |
| -1.67% |
| 11.96% | 9.59% |
| Industrials |
| -1.18% |
| 16.54% | 17.23% |
| Materials |
| -1.11% |
| 9.79% | 7.80% |
| Financials |
| -1.06% |
| 20.05% | 16.09% |
| Energy |
| -0.82% |
| 1.66% | 4.22% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
Janus Aspen Series | 1 |
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Equity LifeStyle Properties Inc | |
Equity Real Estate Investment Trusts (REITs) | 3.2% |
Globe Life Inc | |
Insurance | 2.5% |
Maxim Integrated Products Inc | |
Semiconductor & Semiconductor Equipment | 2.5% |
BWX Technologies Inc | |
Aerospace & Defense | 2.5% |
Hartford Financial Services Group Inc | |
Insurance | 2.3% |
13.0% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 97.4% | ||||
Repurchase Agreements | 2.3% | ||||
Other | 0.3% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| |
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | ||||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | Net Annual Fund | |
Institutional Shares |
| 13.13% | 37.14% | 9.87% | 8.81% | 10.37%# |
|
| 0.81% | 0.81% | |
Service Shares |
| 13.00% | 36.85% | 9.59% | 8.53% | 9.90%* |
|
| 1.06% | 1.05% | |
Russell Midcap Value Index |
| 19.45% | 53.06% | 11.79% | 11.75% | 11.60%** |
|
|
|
| |
Morningstar Quartile - Service Shares |
| - | 4th | 4th | 4th | 3rd |
|
|
|
| |
Morningstar Ranking - based on total returns for Mid-Cap Value Funds |
| - | 404/417 | 330/387 | 299/320 | 152/237 |
|
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Net expense ratios reflect the expense waiver, if any, contractually agreed to for at least a one-year period commencing on April 30, 2021.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
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.
© 2021 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 3 |
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
#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.
4 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,131.30 | $3.54 |
| $1,000.00 | $1,021.47 | $3.36 | 0.67% | ||
Service Shares | $1,000.00 | $1,130.00 | $4.81 |
| $1,000.00 | $1,020.28 | $4.56 | 0.91% | ||
† | 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 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 97.4% | |||||||
Aerospace & Defense – 3.4% | |||||||
BWX Technologies Inc | 54,676 | $3,177,769 | |||||
Mercury Systems Inc* | 18,005 | 1,193,371 | |||||
4,371,140 | |||||||
Auto Components – 0.9% | |||||||
Aptiv PLC* | 7,602 | 1,196,023 | |||||
Banks – 8.6% | |||||||
Citizens Financial Group Inc | 56,028 | 2,570,004 | |||||
Fifth Third Bancorp | 52,264 | 1,998,053 | |||||
First Horizon National Corp | 154,698 | 2,673,181 | |||||
M&T Bank Corp | 11,131 | 1,617,446 | |||||
Regions Financial Corp | 107,985 | 2,179,137 | |||||
11,037,821 | |||||||
Capital Markets – 0.6% | |||||||
State Street Corp | 9,412 | 774,419 | |||||
Chemicals – 5.8% | |||||||
Axalta Coating Systems Ltd* | 49,360 | 1,504,986 | |||||
Corteva Inc | 31,583 | 1,400,706 | |||||
DuPont de Nemours Inc | 22,805 | 1,765,335 | |||||
FMC Corp | 14,742 | 1,595,084 | |||||
NewMarket Corp | 180 | 57,956 | |||||
Nutrien Ltd | 4,289 | 259,956 | |||||
Westlake Chemical Corp | 10,291 | 927,116 | |||||
7,511,139 | |||||||
Commercial Services & Supplies – 2.4% | |||||||
IAA Inc* | 31,292 | 1,706,666 | |||||
Waste Connections Inc | 11,520 | 1,375,834 | |||||
3,082,500 | |||||||
Communications Equipment – 2.1% | |||||||
F5 Networks Inc* | 8,279 | 1,545,358 | |||||
Motorola Solutions Inc | 5,454 | 1,182,700 | |||||
2,728,058 | |||||||
Construction & Engineering – 1.2% | |||||||
EMCOR Group Inc | 12,614 | 1,553,919 | |||||
Construction Materials – 1.2% | |||||||
Martin Marietta Materials Inc | 4,413 | 1,552,538 | |||||
Containers & Packaging – 1.8% | |||||||
Graphic Packaging Holding Co | 128,698 | 2,334,582 | |||||
Electric Utilities – 3.9% | |||||||
Alliant Energy Corp | 50,860 | 2,835,954 | |||||
Entergy Corp | 21,282 | 2,121,815 | |||||
4,957,769 | |||||||
Electrical Equipment – 3.1% | |||||||
AMETEK Inc | 15,754 | 2,103,159 | |||||
GrafTech International Ltd | 161,898 | 1,881,255 | |||||
3,984,414 | |||||||
Electronic Equipment, Instruments & Components – 1.6% | |||||||
Vontier Corp | 64,247 | 2,093,167 | |||||
Entertainment – 1.1% | |||||||
Electronic Arts Inc | 9,718 | 1,397,740 | |||||
Equity Real Estate Investment Trusts (REITs) – 10.6% | |||||||
Americold Realty Trust | 46,628 | 1,764,870 | |||||
Apple Hospitality Inc | 136,944 | 2,089,765 | |||||
Equity Commonwealth | 36,020 | 943,724 | |||||
Equity LifeStyle Properties Inc | 54,671 | 4,062,602 | |||||
Equity Residential | 19,668 | 1,514,436 | |||||
Lamar Advertising Co | 21,350 | 2,229,367 | |||||
Public Storage | 3,386 | 1,018,136 | |||||
13,622,900 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Food & Staples Retailing – 1.9% | |||||||
Casey's General Stores Inc | 12,531 | $2,439,034 | |||||
Food Products – 1.3% | |||||||
Tyson Foods Inc | 22,049 | 1,626,334 | |||||
Health Care Equipment & Supplies – 1.1% | |||||||
Haemonetics Corp* | 10,845 | 722,711 | |||||
Quidel Corp* | 5,745 | 736,049 | |||||
1,458,760 | |||||||
Health Care Providers & Services – 5.1% | |||||||
Cardinal Health Inc | 18,217 | 1,040,009 | |||||
Henry Schein Inc* | 35,134 | 2,606,591 | |||||
Laboratory Corp of America Holdings* | 10,692 | 2,949,388 | |||||
6,595,988 | |||||||
Health Care Technology – 1.0% | |||||||
Cerner Corp | 15,745 | 1,230,629 | |||||
Hotels, Restaurants & Leisure – 0.7% | |||||||
Cracker Barrel Old Country Store Inc | 5,801 | 861,216 | |||||
Household Durables – 1.0% | |||||||
Leggett & Platt Inc | 25,308 | 1,311,208 | |||||
Industrial Conglomerates – 1.2% | |||||||
Carlisle Cos Inc | 8,377 | 1,603,190 | |||||
Information Technology Services – 0.9% | |||||||
Global Payments Inc | 6,189 | 1,160,685 | |||||
Insurance – 6.6% | |||||||
Globe Life Inc | 34,042 | 3,242,501 | |||||
Hartford Financial Services Group Inc | 48,610 | 3,012,362 | |||||
RenaissanceRe Holdings Ltd | 15,295 | 2,276,202 | |||||
8,531,065 | |||||||
Internet & Direct Marketing Retail – 1.0% | |||||||
Qurate Retail Inc | 97,885 | 1,281,315 | |||||
Life Sciences Tools & Services – 1.4% | |||||||
Agilent Technologies Inc | 11,904 | 1,759,530 | |||||
Machinery – 2.9% | |||||||
Lincoln Electric Holdings Inc | 14,619 | 1,925,469 | |||||
Oshkosh Corp | 14,989 | 1,868,229 | |||||
3,793,698 | |||||||
Media – 2.3% | |||||||
Discovery Inc* | 49,180 | 1,425,236 | |||||
Fox Corp - Class B | 43,795 | 1,541,584 | |||||
2,966,820 | |||||||
Multi-Utilities – 0.9% | |||||||
DTE Energy Co | 9,318 | 1,207,613 | |||||
Oil, Gas & Consumable Fuels – 2.6% | |||||||
Cabot Oil & Gas Corp | 23,755 | 414,762 | |||||
Marathon Petroleum Corp | 26,053 | 1,574,122 | |||||
Pioneer Natural Resources Co | 8,436 | 1,371,019 | |||||
3,359,903 | |||||||
Pharmaceuticals – 0.3% | |||||||
Organon & Co* | 11,581 | 350,441 | |||||
Professional Services – 0.8% | |||||||
Mantech International Corp | 11,103 | 960,854 | |||||
Semiconductor & Semiconductor Equipment – 3.5% | |||||||
CMC Materials Inc | 9,023 | 1,360,127 | |||||
Maxim Integrated Products Inc | 30,368 | 3,199,573 | |||||
4,559,700 | |||||||
Software – 4.0% | |||||||
CDK Global Inc | 40,820 | 2,028,346 | |||||
Check Point Software Technologies Ltd* | 8,402 | 975,724 | |||||
Citrix Systems Inc | 7,537 | 883,864 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Software– (continued) | |||||||
Synopsys Inc* | 4,353 | $1,200,514 | |||||
5,088,448 | |||||||
Specialty Retail – 3.1% | |||||||
AutoZone Inc* | 954 | 1,423,578 | |||||
O'Reilly Automotive Inc* | 2,141 | 1,212,256 | |||||
Ross Stores Inc | 11,308 | 1,402,192 | |||||
4,038,026 | |||||||
Textiles, Apparel & Luxury Goods – 3.1% | |||||||
Carter's Inc | 10,916 | 1,126,204 | |||||
Columbia Sportswear Co | 11,975 | 1,177,861 | |||||
Levi Strauss & Co | 60,873 | 1,687,400 | |||||
3,991,465 | |||||||
Trading Companies & Distributors – 2.4% | |||||||
GATX Corp | 13,502 | 1,194,522 | |||||
MSC Industrial Direct Co Inc | 21,495 | 1,928,746 | |||||
3,123,268 | |||||||
Total Common Stocks (cost $89,741,085) | 125,497,319 | ||||||
Repurchase Agreements– 2.3% | |||||||
ING Financial Markets LLC, Joint repurchase agreement, 0.0300%, dated 6/30/21, maturing 7/1/21 to be repurchased at $2,900,002 collateralized by $2,620,748 in U.S. Treasuries 0% - 4.2500%, 11/12/21 - 2/15/51 with a value of $2,958,008((cost $2,900,000) | $2,900,000 | 2,900,000 | |||||
Total Investments (total cost $92,641,085) – 99.7% | 128,397,319 | ||||||
Cash, Receivables and Other Assets, net of Liabilities – 0.3% | 395,362 | ||||||
Net Assets – 100% | $128,792,681 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $127,161,639 | 99.0 | % | ||
Israel | 975,724 | 0.8 | |||
Canada | 259,956 | 0.2 |
Total | $128,397,319 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell Midcap® Value Index | Russell Midcap® Value Index reflects the performance of U.S. mid-cap equities with lower price-to-book ratios and lower forecasted growth values. |
LLC | Limited Liability Company |
PLC | Public Limited Company |
* | 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, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 125,497,319 | $ | - | $ | - | ||||||
Repurchase Agreements | - | 2,900,000 | - | |||||||||
Total Assets | $ | 125,497,319 | $ | 2,900,000 | $ | - | ||||||
Janus Aspen Series | 9 |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Investments, at value (cost $89,741,085) |
| $ | 125,497,319 |
| |
| Repurchase agreements, at value (cost $2,900,000) |
|
| 2,900,000 |
| |
| Non-interested Trustees' deferred compensation |
|
| 3,132 |
| |
| Receivables: |
|
|
|
| |
|
| Investments sold |
|
| 2,122,400 |
|
|
| Portfolio shares sold |
|
| 209,504 |
|
|
| Dividends |
|
| 189,158 |
|
| Other assets |
|
| 236 |
| |
Total Assets |
|
| 130,921,749 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 1,316 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 1,970,617 |
|
|
| Advisory fees |
|
| 55,537 |
|
|
| Portfolio shares repurchased |
|
| 34,288 |
|
|
| Professional fees |
|
| 22,207 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 15,493 |
|
|
| Transfer agent fees and expenses |
|
| 5,876 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 3,132 |
|
|
| Custodian fees |
|
| 613 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 469 |
|
|
| Affiliated portfolio administration fees payable |
|
| 271 |
|
|
| Accrued expenses and other payables |
|
| 19,249 |
|
Total Liabilities |
|
| 2,129,068 |
| ||
Net Assets |
| $ | 128,792,681 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 90,650,494 |
| |
| Total distributable earnings (loss) |
|
| 38,142,187 |
| |
Total Net Assets |
| $ | 128,792,681 |
| ||
Net Assets - Institutional Shares |
| $ | 54,599,002 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 3,011,834 |
| |
Net Asset Value Per Share |
| $ | 18.13 |
| ||
Net Assets - Service Shares |
| $ | 74,193,679 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 4,258,609 |
| |
Net Asset Value Per Share |
| $ | 17.42 |
|
|
See Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 871,420 |
| |
| Interest |
| 209 |
| |
| Foreign tax withheld |
| (2,030) |
| |
Total Investment Income |
| 869,599 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 311,956 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 88,925 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 12,999 |
|
|
| Service Shares |
| 17,785 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 1,434 |
|
|
| Service Shares |
| 944 |
|
| Professional fees |
| 19,507 |
| |
| Registration fees |
| 18,223 |
| |
| Shareholder reports expense |
| 5,666 |
| |
| Custodian fees |
| 2,068 |
| |
| Affiliated portfolio administration fees |
| 1,934 |
| |
| Non-interested Trustees’ fees and expenses |
| 936 |
| |
| Other expenses |
| 24,858 |
| |
Total Expenses |
| 507,235 |
| ||
Net Investment Income/(Loss) |
| 362,364 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments |
| 5,730,724 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 5,730,724 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments and non-interested Trustees’ deferred compensation |
| 8,962,140 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 8,962,140 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 15,055,228 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Mid Cap Value Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 362,364 |
| $ | 1,111,404 |
| |
| Net realized gain/(loss) on investments |
| 5,730,724 |
|
| (3,957,666) |
| |
| Change in unrealized net appreciation/depreciation |
| 8,962,140 |
|
| 1,699,362 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 15,055,228 |
|
| (1,146,900) |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (53,229) |
|
| (1,291,851) |
|
|
| Service Shares |
| (21,320) |
|
| (1,965,969) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (74,549) |
|
| (3,257,820) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (215,042) |
|
| 4,239,826 |
|
|
| Service Shares |
| (2,477,960) |
|
| (1,267,723) |
|
Net Increase/(Decrease) from Capital Share Transactions |
| (2,693,002) |
|
| 2,972,103 |
| ||
Net Increase/(Decrease) in Net Assets |
| 12,287,677 |
|
| (1,432,617) |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 116,505,004 |
|
| 117,937,621 |
| |
| End of period | $ | 128,792,681 |
| $ | 116,505,004 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $16.04 |
|
| $16.73 |
|
| $14.08 |
|
| $18.02 |
|
| $16.55 |
|
| $16.21 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.06 |
|
| 0.18 |
|
| 0.21 |
|
| 0.17 |
|
| 0.12 |
|
| 0.21 |
| |
|
| Net realized and unrealized gain/(loss) |
| 2.05 |
|
| (0.41) |
|
| 3.90 |
|
| (2.40) |
|
| 2.13 |
|
| 2.59 |
| |
| Total from Investment Operations |
| 2.11 |
|
| (0.23) |
|
| 4.11 |
|
| (2.23) |
|
| 2.25 |
|
| 2.80 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.02) |
|
| (0.18) |
|
| (0.19) |
|
| (0.18) |
|
| (0.14) |
|
| (0.17) |
| |
|
| Distributions (from capital gains) |
| — |
|
| (0.28) |
|
| (1.27) |
|
| (1.53) |
|
| (0.64) |
|
| (2.29) |
| |
| Total Dividends and Distributions |
| (0.02) |
|
| (0.46) |
|
| (1.46) |
|
| (1.71) |
|
| (0.78) |
|
| (2.46) |
| ||
| Net Asset Value, End of Period |
| $18.13 |
|
| $16.04 |
|
| $16.73 |
|
| $14.08 |
|
| $18.02 |
|
| $16.55 |
| ||
| Total Return* |
| 13.13% |
|
| (0.92)% |
|
| 30.35% |
|
| (13.63)% |
|
| 13.94% |
|
| 19.03% |
| ||
| Net Assets, End of Period (in thousands) |
| $54,599 |
|
| $48,538 |
|
| $45,771 |
|
| $36,265 |
|
| $43,609 |
|
| $47,688 |
| ||
| Average Net Assets for the Period (in thousands) |
| $53,226 |
|
| $40,480 |
|
| $41,788 |
|
| $42,219 |
|
| $46,007 |
|
| $37,327 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.67% |
|
| 0.81% |
|
| 0.81% |
|
| 0.81% |
|
| 0.70% |
|
| 0.59% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.67% |
|
| 0.81% |
|
| 0.81% |
|
| 0.81% |
|
| 0.70% |
|
| 0.59% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.68% |
|
| 1.24% |
|
| 1.32% |
|
| 1.03% |
|
| 0.71% |
|
| 1.33% |
| |
| Portfolio Turnover Rate |
| 30% |
|
| 44% |
|
| 43% |
|
| 42% |
|
| 48% |
|
| 69% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $15.42 |
|
| $16.12 |
|
| $13.62 |
|
| $17.49 |
|
| $16.10 |
|
| $15.84 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.04 |
|
| 0.13 |
|
| 0.16 |
|
| 0.13 |
|
| 0.08 |
|
| 0.17 |
| |
|
| Net realized and unrealized gain/(loss) |
| 1.97 |
|
| (0.40) |
|
| 3.77 |
|
| (2.32) |
|
| 2.06 |
|
| 2.53 |
| |
| Total from Investment Operations |
| 2.01 |
|
| (0.27) |
|
| 3.93 |
|
| (2.19) |
|
| 2.14 |
|
| 2.70 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.01) |
|
| (0.15) |
|
| (0.16) |
|
| (0.15) |
|
| (0.11) |
|
| (0.15) |
| |
|
| Distributions (from capital gains) |
| — |
|
| (0.28) |
|
| (1.27) |
|
| (1.53) |
|
| (0.64) |
|
| (2.29) |
| |
| Total Dividends and Distributions |
| (0.01) |
|
| (0.43) |
|
| (1.43) |
|
| (1.68) |
|
| (0.75) |
|
| (2.44) |
| ||
| Net Asset Value, End of Period |
| $17.42 |
|
| $15.42 |
|
| $16.12 |
|
| $13.62 |
|
| $17.49 |
|
| $16.10 |
| ||
| Total Return* |
| 13.00% |
|
| (1.21)% |
|
| 30.05% |
|
| (13.82)% |
|
| 13.63% |
|
| 18.76% |
| ||
| Net Assets, End of Period (in thousands) |
| $74,194 |
|
| $67,967 |
|
| $72,167 |
|
| $62,334 |
|
| $76,123 |
|
| $71,444 |
| ||
| Average Net Assets for the Period (in thousands) |
| $72,850 |
|
| $62,469 |
|
| $68,198 |
|
| $72,480 |
|
| $74,099 |
|
| $66,899 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.91% |
|
| 1.06% |
|
| 1.05% |
|
| 1.06% |
|
| 0.95% |
|
| 0.84% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.91% |
|
| 1.06% |
|
| 1.05% |
|
| 1.06% |
|
| 0.95% |
|
| 0.84% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.50% |
|
| 0.97% |
|
| 1.06% |
|
| 0.78% |
|
| 0.47% |
|
| 1.13% |
| |
| Portfolio Turnover Rate |
| 30% |
|
| 44% |
|
| 43% |
|
| 42% |
|
| 48% |
|
| 69% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Mid Cap Value Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks capital appreciation. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
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
14 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Janus Aspen Series | 15 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital,
16 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the Portfolio's Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
ING Financial Markets LLC | $ | 2,900,000 | $ | — | $ | (2,900,000) | $ | — | |
(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. |
Janus Aspen Series | 17 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
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. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. 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 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. 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 rate that may adjust up or down based on the Portfolio’s performance relative to its benchmark index.
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 (the “Base Fee Rate”), plus or minus (2) a performance-fee adjustment (the “Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment advisory fee rate is calculated daily and paid monthly.
The investment performance of the Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. The Portfolio’s Base Fee Rate prior to any performance adjustment (expressed as an annual rate) is 0.64%, and the Portfolio’s benchmark index used in the calculation is the Russell Midcap® Value Index.
No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period. The Base Fee Rate is subject to an upward or downward Performance Adjustment for every full 0.50% increment by which the Portfolio outperforms or underperforms its benchmark index, up to the Portfolio’s full performance rate of ±4.00%. Because the Performance Adjustment is tied to a Portfolio’s relative performance compared to its benchmark index (and not its absolute performance), the Performance Adjustment could increase Janus Capital’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease Janus Capital’s fee even if the Portfolio’s Shares increase in value during the performance measurement period. For purposes of computing the Base Fee Rate and the Performance Adjustment, net assets are averaged over different periods (average daily net assets during the previous month for the Base Fee Rate, versus average daily net assets during the performance measurement period for the Performance Adjustment). Performance of the Portfolio is calculated net of expenses whereas the Portfolio’s benchmark index does not have any fees or
18 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
expenses. Reinvestment of dividends and distributions is included in calculating both the performance of a Portfolio and the Portfolio’s benchmark index.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.50%.
Perkins Investment Management LLC (“Perkins”) previously served as subadviser to the Portfolio. Effective April 30, 2021, the subadvisory agreement between Janus Capital and Perkins on behalf of the Fund was terminated.
Prior to April 30, 2021, Janus Capital paid Perkins a subadvisory fee equal to 50% of the investment advisory fee paid by the Portfolio to Janus Capital (plus or minus half of any performance fee adjustment, and net of any reimbursement of expenses incurred or fees waived by Janus Capital). 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 investment advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding 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 of 0.77% of the Portfolio’s average daily net assets for at least a one-year period commencing April 30, 2021. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the
Janus Aspen Series | 19 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2021, the Portfolio engaged in cross trades amounting to $8,062 in sales, resulting in a net realized gain of $1,455. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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.
20 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2020, that may be available to offset future realized capital gains and thereby reduce future taxable gains distributions. The following table shows these capital loss carryovers.
|
|
|
|
|
|
Capital Loss Carryover Schedule |
|
| |||
For the year ended December 31, 2020 |
|
| |||
| No Expiration |
|
|
| |
| Short-Term | Long-Term | Accumulated |
|
|
| $(2,864,421) | $ (99,154) | $ (2,963,575) |
|
|
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, 2021 are noted below. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 92,730,551 | $36,326,889 | $ (660,121) | $ 35,666,768 |
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 483,462 | $ 8,551,227 |
| 921,063 | $13,094,646 | |
Reinvested dividends and distributions | 2,866 | 53,229 |
| 93,880 | 1,291,851 | |
Shares repurchased | (500,897) | (8,819,498) |
| (723,995) | (10,146,671) | |
Net Increase/(Decrease) | (14,569) | $ (215,042) |
| 290,948 | $ 4,239,826 | |
Service Shares: |
|
|
|
|
| |
Shares sold | 197,702 | $ 3,389,952 |
| 695,052 | $ 9,283,333 | |
Reinvested dividends and distributions | 1,194 | 21,320 |
| 149,411 | 1,965,969 | |
Shares repurchased | (347,454) | (5,889,232) |
| (914,571) | (12,517,025) | |
Net Increase/(Decrease) | (148,558) | $(2,477,960) |
| (70,108) | $ (1,267,723) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$37,033,773 | $ 40,185,817 | $ - | $ - |
Janus Aspen Series | 21 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
22 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
Janus Aspen Series | 23 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
24 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
Janus Aspen Series | 25 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
26 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund��s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
Janus Aspen Series | 27 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
28 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Aspen Series | 29 |
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
30 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Janus Aspen Series | 31 |
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
32 | JUNE 30, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes
NotesPage1
Janus Aspen Series | 33 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81122 08-21 |
SEMIANNUAL REPORT June 30, 2021 | |||||
Janus Henderson VIT Overseas Portfolio | |||||
Janus Aspen Series | |||||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Overseas Portfolio
PORTFOLIO SNAPSHOT An international equity fund seeking to grow capital by investing with conviction in companies outside the U.S. where the portfolio managers believe the market underestimates free-cash-flow growth. The Fund considers both growth and value criteria as it seeks to deliver strong, risk-adjusted returns over the long term, regardless of prevailing market conditions. | Julian McManus co-portfolio manager | George Maris co-portfolio manager | |||
Janus Henderson VIT Overseas Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| GVC Holdings PLC | 3.04% |
| 1.15% |
| Takeda Pharmaceutical Co Ltd | 2.57% |
| -0.40% |
| Canadian Natural Resources Ltd | 2.84% |
| 1.09% |
| CAE Inc | 0.22% |
| -0.33% |
| ASML Holding NV | 4.00% |
| 0.86% |
| Ascendis Pharma A/S (ADR) | 0.80% |
| -0.31% |
| Hindustan Zinc Ltd | 2.08% |
| 0.53% |
| Freeport-McMoRan Inc | 0.43% |
| -0.28% |
| Teck Resources Ltd | 3.19% |
| 0.52% |
| Beazley PLC | 1.37% |
| -0.27% |
| 5 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI All Country World ex-U.S. Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Consumer Discretionary |
| 1.13% |
| 13.03% | 13.76% |
| Consumer Staples |
| 0.74% |
| 6.78% | 8.47% |
| Materials |
| 0.73% |
| 9.22% | 8.32% |
| Energy |
| 0.69% |
| 4.81% | 4.46% |
| Information Technology |
| 0.58% |
| 14.83% | 12.80% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | MSCI All Country World ex-U.S. Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Financials |
| -0.52% |
| 20.85% | 18.62% |
| Other** |
| -0.12% |
| 1.08% | 0.00% |
| Health Care |
| -0.08% |
| 9.93% | 9.09% |
| Communication Services |
| -0.06% |
| 9.33% | 7.09% |
| Industrials |
| 0.03% |
| 10.14% | 11.66% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | 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 | 1 |
Janus Henderson VIT Overseas Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Ferguson PLC | |
Trading Companies & Distributors | 5.1% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 4.5% |
Tencent Holdings Ltd | |
Interactive Media & Services | 4.4% |
Taiwan Semiconductor Manufacturing Co Ltd | |
Semiconductor & Semiconductor Equipment | 4.2% |
AstraZeneca PLC | |
Pharmaceuticals | 4.2% |
22.4% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 99.0% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 2.6% | ||||
Investment Companies | 0.9% | ||||
Other | (2.5)% | ||||
100.0% |
Emerging markets comprised 23.0% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 12.51% | 47.00% | 14.87% | 2.94% | 9.01% |
|
| 0.83% | |
Service Shares |
| 12.35% | 46.64% | 14.58% | 2.68% | 8.84% |
|
| 1.08% | |
MSCI All Country World ex-U.S. Index |
| 9.16% | 35.72% | 11.08% | 5.45% | N/A** |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 4th | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Foreign Large Blend Funds |
| - | 17/765 | 7/659 | 509/521 | 7/127 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
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.
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.
© 2021 Morningstar, Inc. All Rights Reserved.
Janus Aspen Series | 3 |
Janus Henderson VIT Overseas Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitionsfor index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 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.
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,125.10 | $4.53 |
| $1,000.00 | $1,020.53 | $4.31 | 0.86% | ||
Service Shares | $1,000.00 | $1,123.50 | $5.84 |
| $1,000.00 | $1,019.29 | $5.56 | 1.11% | ||
† | 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 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 99.0% | |||||||
Aerospace & Defense – 2.9% | |||||||
Airbus SE* | 169,991 | $21,855,266 | |||||
Banks – 9.1% | |||||||
BNP Paribas SA# | 444,253 | 27,847,123 | |||||
China Construction Bank Corp | 25,058,000 | 19,719,527 | |||||
Erste Group Bank AG | 419,139 | 15,375,139 | |||||
Permanent TSB Group Holdings PLC* | 3,507,426 | 5,322,788 | |||||
68,264,577 | |||||||
Beverages – 7.1% | |||||||
Diageo PLC | 470,708 | 22,532,474 | |||||
Heineken NV | 255,004 | 30,898,582 | |||||
53,431,056 | |||||||
Biotechnology – 0.7% | |||||||
Ascendis Pharma A/S (ADR)* | 40,936 | 5,385,131 | |||||
Building Products – 0.6% | |||||||
Assa Abloy AB | 148,221 | 4,466,241 | |||||
Capital Markets – 0.4% | |||||||
Patria Investments Ltd - Class A | 176,446 | 3,108,979 | |||||
Diversified Financial Services – 0.1% | |||||||
Linklogis Inc - Class B*,#,§ | 254,459 | 571,575 | |||||
Electronic Equipment, Instruments & Components – 2.5% | |||||||
Hexagon AB - Class B | 1,276,212 | 18,914,358 | |||||
Entertainment – 4.6% | |||||||
Liberty Media Corp-Liberty Formula One* | 240,416 | 11,590,455 | |||||
Nintendo Co Ltd | 25,400 | 14,776,269 | |||||
Sea Ltd (ADR)* | 29,541 | 8,111,959 | |||||
34,478,683 | |||||||
Hotels, Restaurants & Leisure – 5.3% | |||||||
GVC Holdings PLC* | 923,830 | 22,303,222 | |||||
Yum China Holdings Inc | 266,150 | 17,362,602 | |||||
39,665,824 | |||||||
Household Durables – 1.0% | |||||||
Sony Corp | 80,300 | 7,818,190 | |||||
Insurance – 10.7% | |||||||
AIA Group Ltd | 1,882,800 | 23,401,321 | |||||
Beazley PLC* | 2,038,645 | 9,372,562 | |||||
Intact Financial Corp | 71,622 | 9,732,016 | |||||
NN Group NV | 502,083 | 23,679,959 | |||||
Prudential PLC | 725,885 | 13,789,616 | |||||
79,975,474 | |||||||
Interactive Media & Services – 5.7% | |||||||
NAVER Corp | 26,609 | 9,866,126 | |||||
Tencent Holdings Ltd | 436,000 | 32,795,044 | |||||
42,661,170 | |||||||
Internet & Direct Marketing Retail – 2.3% | |||||||
Alibaba Group Holding Ltd* | 618,116 | 17,514,653 | |||||
Metals & Mining – 9.3% | |||||||
Freeport-McMoRan Inc | 357,157 | 13,254,096 | |||||
Hindustan Zinc Ltd | 3,692,019 | 16,854,383 | |||||
Rio Tinto Ltd | 150,672 | 14,306,999 | |||||
Teck Resources Ltd | 1,093,392 | 25,186,656 | |||||
69,602,134 | |||||||
Oil, Gas & Consumable Fuels – 5.3% | |||||||
Canadian Natural Resources Ltd | 699,237 | 25,368,318 | |||||
Total SE | 312,862 | 14,152,884 | |||||
39,521,202 | |||||||
Pharmaceuticals – 9.4% | |||||||
AstraZeneca PLC | 260,896 | 31,332,346 | |||||
Novartis AG | 143,257 | 13,058,844 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Pharmaceuticals– (continued) | |||||||
Sanofi | 90,293 | $9,459,114 | |||||
Takeda Pharmaceutical Co Ltd | 488,974 | 16,371,033 | |||||
70,221,337 | |||||||
Road & Rail – 2.1% | |||||||
Central Japan Railway Co | 101,700 | 15,427,125 | |||||
Semiconductor & Semiconductor Equipment – 8.7% | |||||||
ASML Holding NV | 48,614 | 33,394,928 | |||||
Taiwan Semiconductor Manufacturing Co Ltd | 1,481,000 | 31,629,397 | |||||
65,024,325 | |||||||
Specialty Retail – 1.3% | |||||||
Industria de Diseno Textil SA | 264,736 | 9,325,160 | |||||
Technology Hardware, Storage & Peripherals – 2.4% | |||||||
Samsung Electronics Co Ltd | 254,523 | 18,241,568 | |||||
Textiles, Apparel & Luxury Goods – 2.4% | |||||||
Samsonite International SA (144A)* | 8,949,600 | 18,304,716 | |||||
Trading Companies & Distributors – 5.1% | |||||||
Ferguson PLC | 275,003 | 38,226,029 | |||||
Total Common Stocks (cost $520,766,800) | 742,004,773 | ||||||
Investment Companies– 0.9% | |||||||
Money Markets – 0.9% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $6,603,931) | 6,603,297 | 6,603,958 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 2.6% | |||||||
Investment Companies – 2.1% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 15,579,892 | 15,579,892 | |||||
Time Deposits – 0.5% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $3,894,973 | 3,894,973 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $19,474,865) | 19,474,865 | ||||||
Total Investments (total cost $546,845,596) – 102.5% | 768,083,596 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (2.5)% | (18,967,505) | ||||||
Net Assets – 100% | $749,116,091 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United Kingdom | $99,330,220 | 12.9 | % | ||
United States | 89,149,403 | 11.6 | |||
Netherlands | 87,973,469 | 11.5 | |||
China | 87,963,401 | 11.5 | |||
France | 73,314,387 | 9.5 | |||
Canada | 60,286,990 | 7.8 | |||
Japan | 54,392,617 | 7.1 | |||
Hong Kong | 41,706,037 | 5.4 | |||
Taiwan | 39,741,356 | 5.2 | |||
South Korea | 28,107,694 | 3.7 | |||
Sweden | 23,380,599 | 3.0 | |||
India | 16,854,383 | 2.2 | |||
Austria | 15,375,139 | 2.0 | |||
Australia | 14,306,999 | 1.9 | |||
Switzerland | 13,058,844 | 1.7 | |||
Spain | 9,325,160 | 1.2 | |||
Denmark | 5,385,131 | 0.7 | |||
Ireland | 5,322,788 | 0.7 | |||
Cayman Islands | 3,108,979 | 0.4 |
Total | $768,083,596 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 0.9% | ||||||||||
Money Markets - 0.9% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 2,251 | $ | - | $ | - | $ | 6,603,958 | ||
Investments Purchased with Cash Collateral from Securities Lending - 2.1% | ||||||||||
Investment Companies - 2.1% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 17,456∆ | - | - | 15,579,892 | ||||||
Total Affiliated Investments - 3.0% | $ | 19,707 | $ | - | $ | - | $ | 22,183,850 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 0.9% | ||||||||||
Money Markets - 0.9% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 7,542,930 | 51,603,285 | (52,542,257) | 6,603,958 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 2.1% | ||||||||||
Investment Companies - 2.1% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | - | 84,752,919 | (69,173,027) | 15,579,892 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Overseas Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World ex- U.S. IndexSM | MSCI All Country World ex U.S. IndexSM reflects the equity market performance of global developed and emerging markets, excluding the U.S. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2021 is $18,304,716, which represents 2.4% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
§ | Schedule of Restricted Securities (as of June 30, 2021) | |||||||||
Value as a | ||||||||||
Acquisition | % of Net | |||||||||
Date | Cost | Value | Assets | |||||||
Linklogis Inc - Class B | 4/1/21 | $ | 581,243 | $ | 571,575 | 0.1 | % | |||
The Portfolio has registration rights for certain restricted securities held as of June 30, 2021. The issuer incurs all registration costs. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 742,004,773 | $ | - | $ | - | ||||||
Investment Companies | - | 6,603,958 | - | |||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 19,474,865 | - | |||||||||
Total Assets | $ | 742,004,773 | $ | 26,078,823 | $ | - | ||||||
10 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $524,661,773)(1) |
| $ | 745,899,746 |
| |
| Affiliated investments, at value (cost $22,183,823) |
|
| 22,183,850 |
| |
| Non-interested Trustees' deferred compensation |
|
| 18,240 |
| |
| Receivables: |
|
|
|
| |
|
| Portfolio shares sold |
|
| 1,120,816 |
|
|
| Investments sold |
|
| 762,842 |
|
|
| Dividends |
|
| 606,624 |
|
|
| Foreign tax reclaims |
|
| 555,045 |
|
|
| Dividends from affiliates |
|
| 248 |
|
| Other assets |
|
| 13,692 |
| |
Total Assets |
|
| 771,161,103 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 49 |
| |
| Foreign cash due to custodian |
|
| 209 |
| |
| Collateral for securities loaned (Note 2) |
|
| 19,474,865 |
| |
| Payables: |
|
| — |
| |
|
| Portfolio shares repurchased |
|
| 1,069,880 |
|
|
| Investments purchased |
|
| 740,856 |
|
|
| Advisory fees |
|
| 483,448 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 120,794 |
|
|
| Transfer agent fees and expenses |
|
| 33,010 |
|
|
| Professional fees |
|
| 24,967 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 18,240 |
|
|
| Custodian fees |
|
| 9,703 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 2,733 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,564 |
|
|
| Accrued expenses and other payables |
|
| 64,694 |
|
Total Liabilities |
|
| 22,045,012 |
| ||
Net Assets |
| $ | 749,116,091 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 782,914,545 |
| |
| Total distributable earnings (loss) |
|
| (33,798,454) |
| |
Total Net Assets |
| $ | 749,116,091 |
| ||
Net Assets - Institutional Shares |
| $ | 170,785,232 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 3,992,892 |
| |
Net Asset Value Per Share |
| $ | 42.77 |
| ||
Net Assets - Service Shares |
| $ | 578,330,859 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 14,136,728 |
| |
Net Asset Value Per Share |
| $ | 40.91 |
|
(1) Includes $16,978,621 of securities on loan. See Note 2 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Overseas Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 9,403,095 |
| |
| Affiliated securities lending income, net |
| 17,456 |
| |
| Dividends from affiliates |
| 2,251 |
| |
| Unaffiliated securities lending income, net |
| 444 |
| |
| Interest |
| 7 |
| |
| Foreign tax withheld |
| (1,041,394) |
| |
Total Investment Income |
| 8,381,859 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 2,786,929 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 690,715 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 40,867 |
|
|
| Service Shares |
| 138,143 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 4,095 |
|
|
| Service Shares |
| 5,846 |
|
| Shareholder reports expense |
| 34,650 |
| |
| Custodian fees |
| 32,446 |
| |
| Professional fees |
| 24,850 |
| |
| Affiliated portfolio administration fees |
| 11,193 |
| |
| Registration fees |
| 10,669 |
| |
| Non-interested Trustees’ fees and expenses |
| 5,355 |
| |
| Other expenses |
| 36,975 |
| |
Total Expenses |
| 3,822,733 |
| ||
Net Investment Income/(Loss) |
| 4,559,126 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 58,281,444 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 58,281,444 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation (includes $85,315 of foreign capital gains tax) |
| 22,259,562 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 22,259,562 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 85,100,132 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 4,559,126 |
| $ | 5,909,225 |
| |
| Net realized gain/(loss) on investments |
| 58,281,444 |
|
| 49,866,866 |
| |
| Change in unrealized net appreciation/depreciation |
| 22,259,562 |
|
| 38,061,460 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 85,100,132 |
|
| 93,837,551 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (894,893) |
|
| (1,836,451) |
|
|
| Service Shares |
| (2,737,879) |
|
| (5,650,130) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (3,632,772) |
|
| (7,486,581) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (6,936,258) |
|
| (26,538,144) |
|
|
| Service Shares |
| (24,769,172) |
|
| (61,562,845) |
|
Net Increase/(Decrease) from Capital Share Transactions |
| (31,705,430) |
|
| (88,100,989) |
| ||
Net Increase/(Decrease) in Net Assets |
| 49,761,930 |
|
| (1,750,019) |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 699,354,161 |
|
| 701,104,180 |
| |
| End of period | $ | 749,116,091 |
| $ | 699,354,161 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Overseas Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $38.21 |
|
| $33.29 |
|
| $26.71 |
|
| $31.98 |
|
| $24.79 |
|
| $28.80 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.29 |
|
| 0.36 |
|
| 0.60 |
|
| 0.53 |
|
| 0.48 |
|
| 0.38 |
| |
|
| Net realized and unrealized gain/(loss) |
| 4.49 |
|
| 4.99 |
|
| 6.56 |
|
| (5.25) |
|
| 7.20 |
|
| (2.35) |
| |
| Total from Investment Operations |
| 4.78 |
|
| 5.35 |
|
| 7.16 |
|
| (4.72) |
|
| 7.68 |
|
| (1.97) |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.22) |
|
| (0.43) |
|
| (0.58) |
|
| (0.55) |
|
| (0.49) |
|
| (1.22) |
| |
|
| Distributions (from capital gains) |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (0.82) |
| |
| Total Dividends and Distributions |
| (0.22) |
|
| (0.43) |
|
| (0.58) |
|
| (0.55) |
|
| (0.49) |
|
| (2.04) |
| ||
| Net Asset Value, End of Period |
| $42.77 |
|
| $38.21 |
|
| $33.29 |
|
| $26.71 |
|
| $31.98 |
|
| $24.79 |
| ||
| Total Return* |
| 12.51% |
|
| 16.30% |
|
| 27.02% |
|
| (14.94)% |
|
| 31.12% |
|
| (6.45)% |
| ||
| Net Assets, End of Period (in thousands) |
| $170,785 |
|
| $159,005 |
|
| $165,881 |
|
| $143,912 |
|
| $184,546 |
|
| $158,362 |
| ||
| Average Net Assets for the Period (in thousands) |
| $167,478 |
|
| $138,082 |
|
| $154,209 |
|
| $172,398 |
|
| $176,815 |
|
| $163,322 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.86% |
|
| 0.83% |
|
| 0.75% |
|
| 0.60% |
|
| 0.57% |
|
| 0.50% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.86% |
|
| 0.83% |
|
| 0.75% |
|
| 0.60% |
|
| 0.57% |
|
| 0.50% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 1.44% |
|
| 1.15% |
|
| 2.00% |
|
| 1.71% |
|
| 1.65% |
|
| 1.50% |
| |
| Portfolio Turnover Rate |
| 13% |
|
| 21% |
|
| 23% |
|
| 25% |
|
| 33% |
|
| 103% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $36.57 |
|
| $31.90 |
|
| $25.63 |
|
| $30.74 |
|
| $23.87 |
|
| $27.84 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.23 |
|
| 0.27 |
|
| 0.50 |
|
| 0.44 |
|
| 0.39 |
|
| 0.30 |
| |
|
| Net realized and unrealized gain/(loss) |
| 4.30 |
|
| 4.77 |
|
| 6.30 |
|
| (5.05) |
|
| 6.93 |
|
| (2.27) |
| |
| Total from Investment Operations |
| 4.53 |
|
| 5.04 |
|
| 6.80 |
|
| (4.61) |
|
| 7.32 |
|
| (1.97) |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.19) |
|
| (0.37) |
|
| (0.53) |
|
| (0.50) |
|
| (0.45) |
|
| (1.18) |
| |
|
| Distributions (from capital gains) |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (0.82) |
| |
| Total Dividends and Distributions |
| (0.19) |
|
| (0.37) |
|
| (0.53) |
|
| (0.50) |
|
| (0.45) |
|
| (2.00) |
| ||
| Net Asset Value, End of Period |
| $40.91 |
|
| $36.57 |
|
| $31.90 |
|
| $25.63 |
|
| $30.74 |
|
| $23.87 |
| ||
| Total Return* |
| 12.39% |
|
| 15.99% |
|
| 26.76% |
|
| (15.17)% |
|
| 30.80% |
|
| (6.71)% |
| ||
| Net Assets, End of Period (in thousands) |
| $578,331 |
|
| $540,349 |
|
| $535,223 |
|
| $483,432 |
|
| $636,671 |
|
| $529,492 |
| ||
| Average Net Assets for the Period (in thousands) |
| $566,209 |
|
| $468,995 |
|
| $508,303 |
|
| $587,476 |
|
| $598,500 |
|
| $554,215 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 1.11% |
|
| 1.08% |
|
| 0.99% |
|
| 0.85% |
|
| 0.82% |
|
| 0.75% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 1.11% |
|
| 1.08% |
|
| 0.99% |
|
| 0.85% |
|
| 0.82% |
|
| 0.75% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 1.20% |
|
| 0.92% |
|
| 1.76% |
|
| 1.46% |
|
| 1.40% |
|
| 1.25% |
| |
| Portfolio Turnover Rate |
| 13% |
|
| 21% |
|
| 23% |
|
| 25% |
|
| 33% |
|
| 103% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Overseas Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 15 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP 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.
16 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States.
Janus Aspen Series | 17 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
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.” Such countries include but are not limited to countries included in the MSCI Emerging Markets IndexSM. 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 stock exchanges, brokers, and listed companies, making these investments potentially more volatile in price and less liquid
18 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
than investments in developed securities markets, resulting in greater risk to investors. Similarly, issuers in such markets may not be subject to regulatory, accounting, auditing, and financial reporting and recordkeeping standards comparable to those to which U.S. companies are subject. There is a risk in developing countries that a current or 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. Developing countries may also experience a higher level of exposure and vulnerability to the adverse effects of climate change. This can be attributed to both the geographic location of emerging market countries and/or a country’s lack of access to technology or resources to adjust and adapt to its effects. An increased occurrence and severity of natural disasters and extreme weather events such as droughts and decreased crop yields, heat waves, flooding and rising sea levels, and increased spread of disease, could cause harmful effects to the performance of affected economies. 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 Fund invests in Chinese local market securities.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the Portfolio's Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
JPMorgan Chase Bank, National Association | $ | 16,978,621 | $ | — | $ | (16,978,621) | $ | — | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | ||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
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
Janus Aspen Series | 19 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
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 certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $16,978,621. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $19,474,865, resulting in the net amount due to the counterparty of $2,496,244.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pay Janus Capital an investment advisory fee rate that may adjust up or down based on the Portfolio’s performance relative to its benchmark index.
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 (the “Base Fee Rate”), plus or minus (2) a performance-fee adjustment (the “Performance Adjustment”)
20 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment advisory fee rate is calculated daily and paid monthly.
The investment performance of the Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. The Portfolio’s Base Fee Rate prior to any performance adjustment (expressed as an annual rate) is 0.64%, and the Portfolio’s benchmark index used in the calculation is the MSCI All Country World ex-U.S. Index.
No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period. The Base Fee Rate is subject to an upward or downward Performance Adjustment for every full 0.50% increment by which the Portfolio outperforms or underperforms its benchmark index, up to the Portfolio’s full performance rate of ±7.00%. Because the Performance Adjustment is tied to a Portfolio’s relative performance compared to its benchmark index (and not its absolute performance), the Performance Adjustment could increase Janus Capital’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease Janus Capital’s fee even if the Portfolio’s Shares increase in value during the performance measurement period. For purposes of computing the Base Fee Rate and the Performance Adjustment, net assets are averaged over different periods (average daily net assets during the previous month for the Base Fee Rate, versus average daily net assets during the performance measurement period for the Performance Adjustment). Performance of the Portfolio is calculated net of expenses whereas the Portfolio’s benchmark index does not have any fees or expenses. Reinvestment of dividends and distributions is included in calculating both the performance of a Portfolio and the Portfolio’s benchmark index.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.77%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded
Janus Aspen Series | 21 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital Management LLC (“Janus Capital”) has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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.
22 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2020, that may be available to offset future realized capital gains and thereby reduce future taxable gains distributions. The following table shows these capital loss carryovers.
|
|
|
|
|
|
Capital Loss Carryover Schedule |
|
| |||
For the year ended December 31, 2020 |
|
| |||
| No Expiration |
|
|
| |
| Short-Term | Long-Term | Accumulated |
|
|
| $ (44,290,956) | $ (267,920,165) | $ (312,211,121) |
|
|
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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals, straddle deferrals, and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 550,068,341 | $239,594,742 | $(21,579,487) | $ 218,015,255 |
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 200,652 | $ 8,207,267 |
| 333,061 | $ 10,228,781 | |
Reinvested dividends and distributions | 20,450 | 894,893 |
| 56,583 | 1,836,451 | |
Shares repurchased | (389,569) | (16,038,418) |
| (1,211,285) | (38,603,376) | |
Net Increase/(Decrease) | (168,467) | $ (6,936,258) |
| (821,641) | $(26,538,144) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 534,767 | $ 21,193,553 |
| 901,527 | $ 24,892,739 | |
Reinvested dividends and distributions | 65,406 | 2,737,879 |
| 181,432 | 5,650,130 | |
Shares repurchased | (1,238,586) | (48,700,604) |
| (3,088,372) | (92,105,714) | |
Net Increase/(Decrease) | (638,413) | $(24,769,172) |
| (2,005,413) | $(61,562,845) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$94,202,886 | $ 123,342,862 | $ - | $ - |
Janus Aspen Series | 23 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
24 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
Janus Aspen Series | 25 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
26 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
Janus Aspen Series | 27 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
28 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
Janus Aspen Series | 29 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
30 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Aspen Series | 31 |
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
32 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Janus Aspen Series | 33 |
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
34 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes
NotesPage1
Janus Aspen Series | 35 |
Janus Henderson VIT Overseas Portfolio
Notes
NotesPage2
36 | JUNE 30, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes
NotesPage3
Janus Aspen Series | 37 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81120 08-21 |
SEMIANNUAL REPORT June 30, 2021 | ||
Janus Henderson VIT Research Portfolio | ||
Janus Aspen Series | ||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Research Portfolio
PORTFOLIO SNAPSHOT By investing in the best ideas from each global research sector team, this U.S. large-cap growth fund seeks long-term growth of capital with volatility similar to its peers. Our analysts identify industry-leading companies with brand power, enduring business models and strong competitive positioning. | Team-Based Approach Led by Matthew Peron, Director of Research | ||||
Janus Henderson VIT Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings | |||||||
|
| Average |
| Relative |
|
| Average |
| Relative |
| NVIDIA Corp | 3.36% |
| 0.63% |
| Sarepta Therapeutics Inc | 0.51% |
| -0.40% |
| Lam Research Corp | 1.92% |
| 0.31% |
| RingCentral Inc | 1.05% |
| -0.39% |
| Alphabet Inc - Class C | 5.64% |
| 0.18% |
| CoStar Group Inc | 1.39% |
| -0.30% |
| Blackstone Group Inc | 0.49% |
| 0.18% |
| Vertex Pharmaceuticals Inc | 1.04% |
| -0.21% |
| Roku Inc | 0.63% |
| 0.15% |
| Zendesk Inc | 1.61% |
| -0.19% |
| 4 Top Contributors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell 1000 Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Industrials |
| 0.57% |
| 7.11% | 7.45% |
| Communications |
| 0.09% |
| 14.09% | 13.88% |
| Consumer |
| 0.07% |
| 18.08% | 18.06% |
| Energy |
| 0.02% |
| 0.14% | 0.11% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4 Top Detractors - Sectors* |
|
|
|
|
|
|
|
| Relative |
| Portfolio | Russell 1000 Growth Index |
|
|
| Contribution |
| Average Weight | Average Weight |
| Healthcare |
| -0.89% |
| 13.56% | 13.51% |
| Financials |
| -0.46% |
| 9.10% | 9.25% |
| Technology |
| -0.17% |
| 37.71% | 37.74% |
| Other** |
| -0.08% |
| 0.21% | 0.00% |
| Relative contribution reflects how the portolio's holdings impacted return relative to the benchmark. Cash and securities not held in the portfolio are not shown. For equity portfolios, relative contribution compares the performance of a security in the portfolio to the benchmark's total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily returns and previous day ending weights rolled up by ticker, excluding fixed income securities, gross of advisory fees, may exclude certain derivatives and will differ from actual performance. | |||||
* | The sectors listed above reflect those covered by the six analyst teams who comprise the Janus Henderson Research Team. | |||||
** | Not a GICS classified sector. |
Janus Aspen Series | 1 |
Janus Henderson VIT Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 8.9% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 7.6% |
Alphabet Inc - Class C | |
Interactive Media & Services | 6.3% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 4.6% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 4.5% |
31.9% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 99.2% | ||||
Investment Companies | 1.5% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 0.7% | ||||
Other | (1.4)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
2 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 11.83% | 38.20% | 20.76% | 15.47% | 10.00% |
|
| 0.60% | |
Service Shares |
| 11.70% | 37.84% | 20.45% | 15.18% | 9.71% |
|
| 0.85% | |
Russell 1000 Growth Index |
| 12.99% | 42.50% | 23.66% | 17.87% | 11.11% |
|
|
| |
S&P 500 Index |
| 15.25% | 40.79% | 17.65% | 14.84% | 10.49% |
|
|
| |
Core Growth Index |
| 14.16% | 41.73% | 20.65% | 16.36% | 10.84% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 3rd | 3rd | 3rd |
|
|
| |
Morningstar Ranking - based on total returns for Large Growth Funds |
| - | 892/1,259 | 735/1,150 | 678/1,012 | 248/369 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2021 Morningstar, Inc. All Rights Reserved.
Janus Aspen Series | 3 |
Janus Henderson VIT Research Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
4 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,118.30 | $3.10 |
| $1,000.00 | $1,021.87 | $2.96 | 0.59% | ||
Service Shares | $1,000.00 | $1,117.00 | $4.36 |
| $1,000.00 | $1,020.68 | $4.16 | 0.83% | ||
† | 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 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– 99.2% | |||||||
Aerospace & Defense – 2.0% | |||||||
Howmet Aerospace Inc* | 122,596 | $4,225,884 | |||||
L3Harris Technologies Inc | 23,482 | 5,075,634 | |||||
Teledyne Technologies Inc* | 10,670 | 4,468,916 | |||||
13,770,434 | |||||||
Air Freight & Logistics – 1.7% | |||||||
United Parcel Service Inc | 56,223 | 11,692,697 | |||||
Auto Components – 0.6% | |||||||
Aptiv PLC* | 25,506 | 4,012,859 | |||||
Beverages – 1.3% | |||||||
Constellation Brands Inc | 36,810 | 8,609,491 | |||||
Biotechnology – 3.2% | |||||||
AbbVie Inc | 75,378 | 8,490,578 | |||||
Global Blood Therapeutics Inc* | 49,151 | 1,721,268 | |||||
Neurocrine Biosciences Inc* | 34,907 | 3,397,149 | |||||
Sarepta Therapeutics Inc* | 42,212 | 3,281,561 | |||||
Vertex Pharmaceuticals Inc* | 25,033 | 5,047,404 | |||||
21,937,960 | |||||||
Capital Markets – 1.1% | |||||||
Apollo Global Management Inc | 47,377 | 2,946,849 | |||||
Blackstone Group Inc | 44,694 | 4,341,575 | |||||
7,288,424 | |||||||
Chemicals – 1.5% | |||||||
Air Products & Chemicals Inc | 13,194 | 3,795,650 | |||||
Sherwin-Williams Co | 23,545 | 6,414,835 | |||||
10,210,485 | |||||||
Commercial Services & Supplies – 0.4% | |||||||
Copart Inc* | 21,510 | 2,835,663 | |||||
Containers & Packaging – 0.4% | |||||||
Ball Corp | 33,921 | 2,748,279 | |||||
Diversified Consumer Services – 0.4% | |||||||
Terminix Global Holdings Inc* | 63,289 | 3,019,518 | |||||
Entertainment – 2.5% | |||||||
Liberty Media Corp-Liberty Formula One* | 128,562 | 6,197,974 | |||||
Netflix Inc* | 21,010 | 11,097,692 | |||||
17,295,666 | |||||||
Health Care Equipment & Supplies – 2.9% | |||||||
Abbott Laboratories | 33,798 | 3,918,202 | |||||
Boston Scientific Corp* | 91,884 | 3,928,960 | |||||
Dentsply Sirona Inc | 46,285 | 2,927,989 | |||||
DexCom Inc* | 9,281 | 3,962,987 | |||||
Edwards Lifesciences Corp* | 49,727 | 5,150,225 | |||||
19,888,363 | |||||||
Health Care Providers & Services – 0.5% | |||||||
Humana Inc | 7,787 | 3,447,461 | |||||
Hotels, Restaurants & Leisure – 1.7% | |||||||
Aramark | 121,131 | 4,512,130 | |||||
Caesars Entertainment Inc* | 66,308 | 6,879,455 | |||||
11,391,585 | |||||||
Household Durables – 0.7% | |||||||
Roku Inc* | 10,417 | 4,784,007 | |||||
Household Products – 1.5% | |||||||
Procter & Gamble Co | 78,543 | 10,597,807 | |||||
Industrial Conglomerates – 0.8% | |||||||
Honeywell International Inc | 24,018 | 5,268,348 | |||||
Information Technology Services – 8.3% | |||||||
Fidelity National Information Services Inc | 41,676 | 5,904,239 | |||||
Mastercard Inc | 61,005 | 22,272,315 | |||||
Okta Inc* | 7,024 | 1,718,632 | |||||
Snowflake Inc - Class A* | 13,810 | 3,339,258 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Information Technology Services– (continued) | |||||||
Visa Inc | 92,222 | $21,563,348 | |||||
Wix.com Ltd* | 7,920 | 2,299,018 | |||||
57,096,810 | |||||||
Insurance – 0.5% | |||||||
Aon PLC | 15,651 | 3,736,833 | |||||
Interactive Media & Services – 10.9% | |||||||
Alphabet Inc - Class C* | 17,293 | 43,341,792 | |||||
Facebook Inc* | 83,144 | 28,910,000 | |||||
Snap Inc* | 40,947 | 2,790,129 | |||||
75,041,921 | |||||||
Internet & Direct Marketing Retail – 10.6% | |||||||
Amazon.com Inc* | 15,150 | 52,118,424 | |||||
Booking Holdings Inc* | 3,797 | 8,308,178 | |||||
DoorDash Inc - Class A* | 24,192 | 4,314,159 | |||||
Farfetch Ltd - Class A* | 66,273 | 3,337,508 | |||||
Wayfair Inc* | 15,447 | 4,876,772 | |||||
72,955,041 | |||||||
Life Sciences Tools & Services – 1.1% | |||||||
Illumina Inc* | 10,076 | 4,768,064 | |||||
Thermo Fisher Scientific Inc | 5,266 | 2,656,539 | |||||
7,424,603 | |||||||
Machinery – 0.6% | |||||||
Ingersoll Rand Inc* | 90,471 | 4,415,890 | |||||
Oil, Gas & Consumable Fuels – 0.3% | |||||||
Cheniere Energy Inc* | 27,227 | 2,361,670 | |||||
Pharmaceuticals – 1.4% | |||||||
AstraZeneca PLC (ADR)# | 81,073 | 4,856,273 | |||||
Horizon Therapeutics PLC* | 21,410 | 2,004,832 | |||||
Merck & Co Inc | 38,653 | 3,006,044 | |||||
9,867,149 | |||||||
Professional Services – 1.1% | |||||||
CoStar Group Inc* | 91,560 | 7,582,999 | |||||
Real Estate Management & Development – 0.2% | |||||||
Redfin Corp* | 21,306 | 1,351,013 | |||||
Road & Rail – 1.9% | |||||||
JB Hunt Transport Services Inc | 26,415 | 4,304,324 | |||||
Uber Technologies Inc* | 179,017 | 8,972,332 | |||||
13,276,656 | |||||||
Semiconductor & Semiconductor Equipment – 10.4% | |||||||
Advanced Micro Devices Inc* | 22,389 | 2,102,999 | |||||
ASML Holding NV | 10,456 | 7,223,423 | |||||
Lam Research Corp | 18,211 | 11,849,898 | |||||
Marvell Technology Inc | 39,714 | 2,316,518 | |||||
Microchip Technology Inc | 22,686 | 3,397,002 | |||||
NVIDIA Corp | 38,332 | 30,669,433 | |||||
Texas Instruments Inc | 56,535 | 10,871,681 | |||||
Xilinx Inc | 23,314 | 3,372,137 | |||||
71,803,091 | |||||||
Software – 20.7% | |||||||
Adobe Inc* | 41,370 | 24,227,927 | |||||
Atlassian Corp PLC* | 32,453 | 8,335,878 | |||||
Autodesk Inc* | 29,597 | 8,639,364 | |||||
Avalara Inc* | 30,614 | 4,953,345 | |||||
Cadence Design Systems Inc* | 23,193 | 3,173,266 | |||||
Microsoft Corp | 227,188 | 61,545,229 | |||||
RingCentral Inc* | 22,520 | 6,543,862 | |||||
SS&C Technologies Holdings Inc | 20,203 | 1,455,828 | |||||
Tyler Technologies Inc* | 12,431 | 5,623,412 | |||||
Workday Inc* | 29,852 | 7,126,867 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Shares or | Value | ||||||
Common Stocks– (continued) | |||||||
Software– (continued) | |||||||
Zendesk Inc* | 76,789 | $11,083,724 | |||||
142,708,702 | |||||||
Specialty Retail – 1.4% | |||||||
Burlington Stores Inc* | 18,242 | 5,873,742 | |||||
Vroom Inc*,# | 92,309 | 3,864,055 | |||||
9,737,797 | |||||||
Technology Hardware, Storage & Peripherals – 4.6% | |||||||
Apple Inc | 228,955 | 31,357,677 | |||||
Textiles, Apparel & Luxury Goods – 1.4% | |||||||
NIKE Inc | 62,771 | 9,697,492 | |||||
Trading Companies & Distributors – 0.2% | |||||||
Ferguson PLC | 9,418 | 1,309,123 | |||||
Wireless Telecommunication Services – 0.4% | |||||||
T-Mobile US Inc* | 17,399 | 2,519,897 | |||||
Total Common Stocks (cost $360,892,458) | 683,043,411 | ||||||
Investment Companies– 1.5% | |||||||
Money Markets – 1.5% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $10,399,690) | 10,398,650 | 10,399,690 | |||||
Investments Purchased with Cash Collateral from Securities Lending– 0.7% | |||||||
Investment Companies – 0.6% | |||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº,£ | 3,699,859 | 3,699,859 | |||||
Time Deposits – 0.1% | |||||||
Royal Bank of Canada, 0.0500%, 7/1/21 | $924,965 | 924,965 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $4,624,824) | 4,624,824 | ||||||
Total Investments (total cost $375,916,972) – 101.4% | 698,067,925 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.4)% | (9,528,171) | ||||||
Net Assets – 100% | $688,539,754 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $672,015,825 | 96.3 | % | ||
Australia | 8,335,878 | 1.2 | |||
United Kingdom | 8,193,781 | 1.2 | |||
Netherlands | 7,223,423 | 1.0 | |||
Israel | 2,299,018 | 0.3 |
Total | $698,067,925 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 1.5% | ||||||||||
Money Markets - 1.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 319 | $ | - | $ | - | $ | 10,399,690 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.6% | ||||||||||
Investment Companies - 0.6% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 4,159∆ | - | - | 3,699,859 | ||||||
Total Affiliated Investments - 2.1% | $ | 4,478 | $ | - | $ | - | $ | 14,099,549 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 1.5% | ||||||||||
Money Markets - 1.5% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 1,551,134 | 46,282,913 | (37,434,357) | 10,399,690 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.6% | ||||||||||
Investment Companies - 0.6% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 1,318,917 | 28,407,406 | (26,026,464) | 3,699,859 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
Core Growth Index | Core Growth Index is an internally calculated, hypothetical combination of total returns from the Russell 1000® Growth Index (50%) and the S&P 500® Index (50%). |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
# | Loaned security; a portion of the security is on loan at June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 683,043,411 | $ | - | $ | - | ||||||
Investment Companies | - | 10,399,690 | - | |||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 4,624,824 | - | |||||||||
Total Assets | $ | 683,043,411 | $ | 15,024,514 | $ | - | ||||||
10 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $361,817,423)(1) |
| $ | 683,968,376 |
| |
| Affiliated investments, at value (cost $14,099,549) |
|
| 14,099,549 |
| |
| Non-interested Trustees' deferred compensation |
|
| 16,776 |
| |
| Receivables: |
|
|
|
| |
|
| Investments sold |
|
| 3,617,061 |
|
|
| Dividends |
|
| 155,620 |
|
|
| Portfolio shares sold |
|
| 99,295 |
|
|
| Foreign tax reclaims |
|
| 1,931 |
|
|
| Dividends from affiliates |
|
| 33 |
|
| Other assets |
|
| 73,823 |
| |
Total Assets |
|
| 702,032,464 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 87 |
| |
| Foreign cash due to custodian |
|
| 421,137 |
| |
| Collateral for securities loaned (Note 2) |
|
| 4,624,824 |
| |
| Payables: |
|
| — |
| |
|
| Investments purchased |
|
| 7,492,086 |
|
|
| Portfolio shares repurchased |
|
| 513,268 |
|
|
| Advisory fees |
|
| 282,915 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 36,536 |
|
|
| Transfer agent fees and expenses |
|
| 29,629 |
|
|
| Professional fees |
|
| 25,213 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 16,776 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 2,472 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,375 |
|
|
| Custodian fees |
|
| 846 |
|
|
| Accrued expenses and other payables |
|
| 45,546 |
|
Total Liabilities |
|
| 13,492,710 |
| ||
Net Assets |
| $ | 688,539,754 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | 301,296,141 |
| |
| Total distributable earnings (loss) |
|
| 387,243,613 |
| |
Total Net Assets |
| $ | 688,539,754 |
| ||
Net Assets - Institutional Shares |
| $ | 505,541,079 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 9,661,294 |
| |
Net Asset Value Per Share |
| $ | 52.33 |
| ||
Net Assets - Service Shares |
| $ | 182,998,675 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 3,619,408 |
| |
Net Asset Value Per Share |
| $ | 50.56 |
|
(1) Includes $4,530,170 of securities on loan. See Note 2 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Research Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 2,156,246 |
| |
| Affiliated securities lending income, net |
| 4,159 |
| |
| Dividends from affiliates |
| 319 |
| |
| Unaffiliated securities lending income, net |
| 164 |
| |
| Other income |
| 16 |
| |
| Foreign tax withheld |
| (2,933) |
| |
Total Investment Income |
| 2,157,971 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 1,626,265 |
| |
| 12b-1 Distribution and shareholder servicing fees: |
|
|
| |
|
| Service Shares |
| 210,906 |
|
| Transfer agent administrative fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 116,710 |
|
|
| Service Shares |
| 42,181 |
|
| Other transfer agent fees and expenses: |
|
|
| |
|
| Institutional Shares |
| 11,701 |
|
|
| Service Shares |
| 1,811 |
|
| Professional fees |
| 23,057 |
| |
| Shareholder reports expense |
| 15,036 |
| |
| Registration fees |
| 11,471 |
| |
| Affiliated portfolio administration fees |
| 9,889 |
| |
| Non-interested Trustees’ fees and expenses |
| 4,598 |
| |
| Custodian fees |
| 3,282 |
| |
| Other expenses |
| 39,548 |
| |
Total Expenses |
| 2,116,455 |
| ||
Net Investment Income/(Loss) |
| 41,516 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments and foreign currency transactions |
| 66,742,761 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 66,742,761 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation |
| 6,952,413 |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| 6,952,413 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 73,736,690 |
| ||
|
|
|
|
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 41,516 |
| $ | 1,465,477 |
| |
| Net realized gain/(loss) on investments |
| 66,742,761 |
|
| 34,158,380 |
| |
| Change in unrealized net appreciation/depreciation |
| 6,952,413 |
|
| 129,988,619 |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 73,736,690 |
|
| 165,612,476 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| (25,510,438) |
|
| (35,272,315) |
|
|
| Service Shares |
| (9,384,084) |
|
| (13,034,956) |
|
Net Decrease from Dividends and Distributions to Shareholders |
| (34,894,522) |
|
| (48,307,271) |
| ||
Capital Share Transactions: |
|
|
|
|
|
| ||
|
| Institutional Shares |
| 2,255,912 |
|
| (10,891,213) |
|
|
| Service Shares |
| 718,792 |
|
| (9,193,039) |
|
Net Increase/(Decrease) from Capital Share Transactions |
| 2,974,704 |
|
| (20,084,252) |
| ||
Net Increase/(Decrease) in Net Assets |
| 41,816,872 |
|
| 97,220,953 |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 646,722,882 |
|
| 549,501,929 |
| |
| End of period | $ | 688,539,754 |
| $ | 646,722,882 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Research Portfolio
Financial Highlights
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $49.35 |
|
| $40.79 |
|
| $33.70 |
|
| $36.51 |
|
| $28.93 |
|
| $30.84 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.02 |
|
| 0.14 |
|
| 0.21 |
|
| 0.19 |
|
| 0.16 |
|
| 0.14 |
| |
|
| Net realized and unrealized gain/(loss) |
| 5.72 |
|
| 12.20 |
|
| 11.26 |
|
| (0.94) |
|
| 7.87 |
|
| (0.03) |
| |
| Total from Investment Operations |
| 5.74 |
|
| 12.34 |
|
| 11.47 |
|
| (0.75) |
|
| 8.03 |
|
| 0.11 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.05) |
|
| (0.18) |
|
| (0.18) |
|
| (0.21) |
|
| (0.13) |
|
| (0.16) |
| |
|
| Distributions (from capital gains) |
| (2.71) |
|
| (3.60) |
|
| (4.20) |
|
| (1.85) |
|
| (0.32) |
|
| (1.86) |
| |
| Total Dividends and Distributions |
| (2.76) |
|
| (3.78) |
|
| (4.38) |
|
| (2.06) |
|
| (0.45) |
|
| (2.02) |
| ||
| Net Asset Value, End of Period |
| $52.33 |
|
| $49.35 |
|
| $40.79 |
|
| $33.70 |
|
| $36.51 |
|
| $28.93 |
| ||
| Total Return* |
| 11.83% |
|
| 32.95% |
|
| 35.52% |
|
| (2.58)% |
|
| 27.88% |
|
| 0.50% |
| ||
| Net Assets, End of Period (in thousands) |
| $505,541 |
|
| $474,525 |
|
| $398,888 |
|
| $328,803 |
|
| $379,048 |
|
| $330,516 |
| ||
| Average Net Assets for the Period (in thousands) |
| $478,560 |
|
| $414,413 |
|
| $374,004 |
|
| $380,194 |
|
| $360,896 |
|
| $353,738 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.59% |
|
| 0.60% |
|
| 0.59% |
|
| 0.58% |
|
| 0.61% |
|
| 0.62% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.59% |
|
| 0.60% |
|
| 0.59% |
|
| 0.58% |
|
| 0.61% |
|
| 0.62% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.08% |
|
| 0.33% |
|
| 0.55% |
|
| 0.50% |
|
| 0.48% |
|
| 0.47% |
| |
| Portfolio Turnover Rate |
| 21% |
|
| 33% |
|
| 38% |
|
| 47% |
|
| 55% |
|
| 58% |
| ||
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $47.78 |
|
| $39.64 |
|
| $32.87 |
|
| $35.68 |
|
| $28.31 |
|
| $30.24 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| (0.04) |
|
| 0.03 |
|
| 0.11 |
|
| 0.09 |
|
| 0.08 |
|
| 0.06 |
| |
|
| Net realized and unrealized gain/(loss) |
| 5.54 |
|
| 11.80 |
|
| 10.98 |
|
| (0.92) |
|
| 7.69 |
|
| (0.02) |
| |
| Total from Investment Operations |
| 5.50 |
|
| 11.83 |
|
| 11.09 |
|
| (0.83) |
|
| 7.77 |
|
| 0.04 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.01) |
|
| (0.09) |
|
| (0.12) |
|
| (0.13) |
|
| (0.08) |
|
| (0.11) |
| |
|
| Distributions (from capital gains) |
| (2.71) |
|
| (3.60) |
|
| (4.20) |
|
| (1.85) |
|
| (0.32) |
|
| (1.86) |
| |
| Total Dividends and Distributions |
| (2.72) |
|
| (3.69) |
|
| (4.32) |
|
| (1.98) |
|
| (0.40) |
|
| (1.97) |
| ||
| Net Asset Value, End of Period |
| $50.56 |
|
| $47.78 |
|
| $39.64 |
|
| $32.87 |
|
| $35.68 |
|
| $28.31 |
| ||
| Total Return* |
| 11.70% |
|
| 32.58% |
|
| 35.22% |
|
| (2.84)% |
|
| 27.55% |
|
| 0.27% |
| ||
| Net Assets, End of Period (in thousands) |
| $182,999 |
|
| $172,198 |
|
| $150,614 |
|
| $126,817 |
|
| $160,439 |
|
| $143,900 |
| ||
| Average Net Assets for the Period (in thousands) |
| $172,974 |
|
| $151,973 |
|
| $141,550 |
|
| $148,101 |
|
| $155,006 |
|
| $151,772 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.83% |
|
| 0.85% |
|
| 0.84% |
|
| 0.83% |
|
| 0.86% |
|
| 0.87% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.83% |
|
| 0.85% |
|
| 0.84% |
|
| 0.83% |
|
| 0.86% |
|
| 0.87% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| (0.17)% |
|
| 0.08% |
|
| 0.30% |
|
| 0.25% |
|
| 0.23% |
|
| 0.22% |
| |
| Portfolio Turnover Rate |
| 21% |
|
| 33% |
|
| 38% |
|
| 47% |
|
| 55% |
|
| 58% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
14 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Research Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 15 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with US GAAP 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.
16 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States.
Janus Aspen Series | 17 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
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.
The following table presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the Portfolio's Schedule of Investments.
18 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
JPMorgan Chase Bank, National Association | $ | 4,530,170 | $ | — | $ | (4,530,170) | $ | — | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | ||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Fund does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the “SEC”). See “Securities Lending” in the “Notes to Financial Statements” for additional information.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible
Janus Aspen Series | 19 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $4,530,170. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2021 is $4,624,824, resulting in the net amount due to the counterparty of $94,654.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee rate that may adjust up or down based on the Portfolio’s performance relative to its benchmark index.
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 (the “Base Fee Rate”), plus or minus (2) a performance-fee adjustment (the “Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment advisory fee rate is calculated daily and paid monthly.
The investment performance of the Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. The Portfolio’s Base Fee Rate prior to any performance adjustment (expressed as an annual rate) is 0.64%, and the Portfolio’s benchmark index used in the calculation is the Russell 1000 Growth Index®. Effective May 1, 2020, the Core Growth Index was eliminated from the Performance Adjustment calculation for the Portfolio..
No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period. The Base Fee Rate is subject to an upward or downward Performance Adjustment for every full 0.50% increment by which the Portfolio outperforms or underperforms its benchmark index, up to the Portfolio’s full performance rate of ±5.00%. Because the Performance Adjustment is tied to a Portfolio’s relative performance compared to its benchmark index (and not its absolute performance), the Performance Adjustment could increase Janus Capital’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease Janus Capital’s fee even if the Portfolio’s Shares increase in value during the performance measurement period. For purposes of computing the Base Fee Rate and the Performance Adjustment, net assets are averaged over different periods (average daily net assets during the previous month for the Base Fee Rate, versus average daily net assets during the performance measurement period for the Performance Adjustment). Performance of the Portfolio is calculated net of expenses whereas the Portfolio’s benchmark index does not have any fees or expenses. Reinvestment of dividends and distributions is included in calculating both the performance of a Portfolio and the Portfolio’s benchmark index.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee
20 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
Rate plus/minus any Performance Adjustment. For the period ended June 30, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.50%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 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
Janus Aspen Series | 21 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals, straddle deferrals, and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 377,369,770 | $323,791,360 | $ (3,093,205) | $ 320,698,155 |
22 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: |
|
|
|
|
| |
Shares sold | 77,542 | $ 3,909,948 |
| 202,327 | $ 8,569,372 | |
Reinvested dividends and distributions | 503,363 | 25,510,438 |
| 921,801 | 35,272,315 | |
Shares repurchased | (536,022) | (27,164,474) |
| (1,285,622) | (54,732,900) | |
Net Increase/(Decrease) | 44,883 | $ 2,255,912 |
| (161,494) | $(10,891,213) | |
Service Shares: |
|
|
|
|
| |
Shares sold | 93,344 | $ 4,578,964 |
| 258,558 | $ 10,480,986 | |
Reinvested dividends and distributions | 191,590 | 9,384,084 |
| 352,420 | 13,034,956 | |
Shares repurchased | (269,411) | (13,244,256) |
| (807,058) | (32,708,981) | |
Net Increase/(Decrease) | 15,523 | $ 718,792 |
| (196,080) | $ (9,193,039) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$138,391,801 | $ 174,362,268 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
Janus Aspen Series | 23 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
24 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
Janus Aspen Series | 25 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
26 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
Janus Aspen Series | 27 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
28 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
Janus Aspen Series | 29 |
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
30 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Aspen Series | 31 |
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
32 | JUNE 30, 2021 |
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Aspen Series | 33 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-93078 08-21 |
SEMIANNUAL REPORT June 30, 2021 | ||
Janus Henderson VIT U.S. Low Volatility Portfolio | ||
Janus Aspen Series | ||
HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT U.S. Low Volatility Portfolio
PORTFOLIO SNAPSHOT An all-equity portfolio that targets returns similar to the S&P 500® Index with lower absolute volatility over a market cycle. Our active approach focuses on adding value by selecting stocks with unique volatility characteristics and low correlations to one another. | Sub-advised by Intech Investment Management LLC | ||||
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Portfolio At A Glance
June 30, 2021
5 Largest Equity Holdings - (% of Net Assets) | |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 4.5% |
Microsoft Corp | |
Software | 4.4% |
Johnson & Johnson | |
Pharmaceuticals | 3.9% |
Procter & Gamble Co | |
Household Products | 3.3% |
Walmart Inc | |
Food & Staples Retailing | 3.0% |
19.1% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 100.0% | ||||
Investment Companies | 0.8% | ||||
Other | (0.8)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2021 | As of December 31, 2020 |
Janus Aspen Series | 1 |
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Performance
See important disclosures on the next page. |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
Average Annual Total Return - for the periods ended June 30, 2021 |
|
| Prospectus Expense Ratios | ||||||
|
| Fiscal | One | Five | Since |
|
| Total Annual Fund | |
Service Shares |
| 9.53% | 21.54% | 9.37% | 11.79% |
|
| 0.83% | |
S&P 500 Index |
| 15.25% | 40.79% | 17.65% | 15.58% |
|
|
| |
Morningstar Quartile - Service Shares |
| - | 4th | 4th | 2nd |
|
|
| |
Morningstar Ranking - based on total returns for Large Value Funds |
| - | 1,212/1,221 | 992/1,119 | 457/1,005 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with foreign and emerging markets, fixed income securities, high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), non-diversification, portfolio turnover, derivatives, short sales, initial public offerings (IPOs) and potential conflicts of interest. Each product has different risks. Please see the prospectus for more information about risks, 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.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2021 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.
2 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Performance
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 6, 2012
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
Janus Aspen Series | 3 |
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees; 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 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, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
|
|
|
|
|
| ||
|
|
| Actual |
| Hypothetical |
| ||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Service Shares | $1,000.00 | $1,095.30 | $4.21 |
| $1,000.00 | $1,020.78 | $4.06 | 0.81% | ||
† | Expenses Paid During Period is 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. |
4 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– 100.0% | |||||||
Aerospace & Defense – 0.7% | |||||||
L3Harris Technologies Inc | 854 | $184,592 | |||||
Beverages – 0.6% | |||||||
Monster Beverage Corp* | 1,489 | 136,020 | |||||
PepsiCo Inc | 299 | 44,303 | |||||
180,323 | |||||||
Biotechnology – 2.1% | |||||||
AbbVie Inc | 1,481 | 166,820 | |||||
Amgen Inc | 450 | 109,688 | |||||
Biogen Inc* | 553 | 191,487 | |||||
Gilead Sciences Inc | 1,890 | 130,145 | |||||
598,140 | |||||||
Commercial Services & Supplies – 6.8% | |||||||
Copart Inc* | 5,325 | 701,995 | |||||
Republic Services Inc | 5,926 | 651,919 | |||||
Waste Management Inc | 4,019 | 563,102 | |||||
1,917,016 | |||||||
Communications Equipment – 2.9% | |||||||
Motorola Solutions Inc | 3,804 | 824,897 | |||||
Construction & Engineering – 0.2% | |||||||
Jacobs Engineering Group Inc | 515 | 68,711 | |||||
Diversified Financial Services – 0.5% | |||||||
Berkshire Hathaway Inc* | 460 | 127,843 | |||||
Diversified Telecommunication Services – 0.2% | |||||||
Verizon Communications Inc | 1,067 | 59,784 | |||||
Electric Utilities – 1.5% | |||||||
Eversource Energy | 4,235 | 339,816 | |||||
NextEra Energy Inc | 807 | 59,137 | |||||
Xcel Energy Inc | 347 | 22,860 | |||||
421,813 | |||||||
Entertainment – 0.4% | |||||||
Walt Disney Co* | 632 | 111,087 | |||||
Equity Real Estate Investment Trusts (REITs) – 0.1% | |||||||
Crown Castle International Corp | 76 | 14,828 | |||||
Food & Staples Retailing – 5.9% | |||||||
Costco Wholesale Corp | 1,834 | 725,659 | |||||
Kroger Co | 1,936 | 74,168 | |||||
Walmart Inc | 6,061 | 854,722 | |||||
1,654,549 | |||||||
Food Products – 4.2% | |||||||
Campbell Soup Co | 2,727 | 124,324 | |||||
Conagra Brands Inc | 1,148 | 41,764 | |||||
Hershey Co | 2,137 | 372,223 | |||||
Kellogg Co | 2,249 | 144,678 | |||||
Kraft Heinz Co | 806 | 32,869 | |||||
McCormick & Co Inc/MD | 726 | 64,120 | |||||
Mondelez International Inc | 6,392 | 399,117 | |||||
1,179,095 | |||||||
Health Care Equipment & Supplies – 7.8% | |||||||
Boston Scientific Corp* | 3,644 | 155,817 | |||||
Danaher Corp | 2,267 | 608,372 | |||||
Dentsply Sirona Inc | 4,809 | 304,217 | |||||
Medtronic PLC | 1,681 | 208,663 | |||||
ResMed Inc | 1,679 | 413,907 | |||||
STERIS PLC | 1,338 | 276,029 | |||||
West Pharmaceutical Services Inc | 592 | 212,587 | |||||
2,179,592 | |||||||
Health Care Providers & Services – 3.4% | |||||||
Anthem Inc | 18 | 6,872 | |||||
CVS Health Corp | 434 | 36,213 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 5 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– (continued) | |||||||
Health Care Providers & Services– (continued) | |||||||
Humana Inc | 192 | $85,002 | |||||
Quest Diagnostics Inc | 3,782 | 499,111 | |||||
UnitedHealth Group Inc | 830 | 332,365 | |||||
959,563 | |||||||
Health Care Technology – 1.7% | |||||||
Cerner Corp | 6,054 | 473,181 | |||||
Hotels, Restaurants & Leisure – 4.1% | |||||||
McDonald's Corp | 3,220 | 743,788 | |||||
Yum! Brands Inc | 3,655 | 420,435 | |||||
1,164,223 | |||||||
Household Durables – 1.3% | |||||||
Garmin Ltd | 2,510 | 363,046 | |||||
Household Products – 5.1% | |||||||
Church & Dwight Co Inc | 4,322 | 368,321 | |||||
Colgate-Palmolive Co | 1,922 | 156,355 | |||||
Procter & Gamble Co | 6,813 | 919,278 | |||||
1,443,954 | |||||||
Information Technology Services – 4.0% | |||||||
Accenture PLC | 560 | 165,082 | |||||
Akamai Technologies Inc* | 3,270 | 381,282 | |||||
Broadridge Financial Solutions Inc | 1,468 | 237,126 | |||||
Cognizant Technology Solutions Corp | 487 | 33,730 | |||||
International Business Machines Corp | 2,088 | 306,080 | |||||
1,123,300 | |||||||
Insurance – 10.9% | |||||||
Allstate Corp | 5,452 | 711,159 | |||||
Aon PLC | 122 | 29,129 | |||||
Arthur J Gallagher & Co | 498 | 69,760 | |||||
Assurant Inc | 1,686 | 263,319 | |||||
Everest Re Group Ltd | 474 | 119,453 | |||||
Marsh & McLennan Cos Inc | 2,933 | 412,614 | |||||
Progressive Corp | 7,569 | 743,352 | |||||
Willis Towers Watson PLC | 3,054 | 702,481 | |||||
3,051,267 | |||||||
Interactive Media & Services – 1.7% | |||||||
Alphabet Inc - Class A* | 58 | 141,624 | |||||
Alphabet Inc - Class C* | 52 | 130,329 | |||||
Facebook Inc* | 575 | 199,933 | |||||
471,886 | |||||||
Internet & Direct Marketing Retail – 2.6% | |||||||
Amazon.com Inc* | 213 | 732,754 | |||||
Life Sciences Tools & Services – 0.3% | |||||||
Waters Corp* | 243 | 83,983 | |||||
Machinery – 0.6% | |||||||
Trane Technologies PLC | 863 | 158,913 | |||||
Media – 0.6% | |||||||
Charter Communications Inc* | 243 | 175,312 | |||||
Multiline Retail – 2.6% | |||||||
Dollar General Corp | 1,237 | 267,674 | |||||
Target Corp | 1,897 | 458,581 | |||||
726,255 | |||||||
Multi-Utilities – 2.9% | |||||||
Consolidated Edison Inc | 9,115 | 653,728 | |||||
Dominion Energy Inc | 1,346 | 99,025 | |||||
WEC Energy Group Inc | 651 | 57,906 | |||||
810,659 | |||||||
Personal Products – 2.8% | |||||||
Estee Lauder Cos Inc | 2,507 | 797,427 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
6 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
June 30, 2021
| Value | ||||||
Common Stocks– (continued) | |||||||
Pharmaceuticals – 6.1% | |||||||
Bristol-Myers Squibb Co | 1,372 | $91,677 | |||||
Eli Lilly & Co | 219 | 50,265 | |||||
Johnson & Johnson | 6,592 | 1,085,966 | |||||
Zoetis Inc | 2,589 | 482,486 | |||||
1,710,394 | |||||||
Professional Services – 0.2% | |||||||
Leidos Holdings Inc | 630 | 63,693 | |||||
Software – 7.8% | |||||||
Citrix Systems Inc | 3,911 | 458,643 | |||||
Microsoft Corp | 4,552 | 1,233,137 | |||||
NortonLifeLock Inc | 9,333 | 254,044 | |||||
Oracle Corp | 3,058 | 238,035 | |||||
2,183,859 | |||||||
Technology Hardware, Storage & Peripherals – 4.5% | |||||||
Apple Inc | 9,273 | 1,270,030 | |||||
Water Utilities – 0.4% | |||||||
American Water Works Co Inc | 666 | 102,651 | |||||
Wireless Telecommunication Services – 2.5% | |||||||
T-Mobile US Inc* | 4,891 | 708,364 | |||||
Total Common Stocks (cost $24,558,967) | 28,096,984 | ||||||
Investment Companies– 0.8% | |||||||
Money Markets – 0.8% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº,£((cost $234,921) | 234,898 | 234,921 | |||||
Total Investments (total cost $24,793,888) – 100.8% | 28,331,905 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.8)% | (236,285) | ||||||
Net Assets – 100% | $28,095,620 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments (unaudited)
June 30, 2021
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/21 | |||||||
Investment Companies - 0.8% | ||||||||||
Money Markets - 0.8% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | $ | 1,942 | $ | 85 | $ | (85) | $ | 234,921 | ||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 12,136∆ | - | - | - | ||||||
Total Affiliated Investments - 0.8% | $ | 14,078 | $ | 85 | $ | (85) | $ | 234,921 |
Value at 12/31/20 | Purchases | Sales Proceeds | Value at 6/30/21 | |||||||
Investment Companies - 0.8% | ||||||||||
Money Markets - 0.8% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 0.0636%ºº | 7,489,512 | 66,852,385 | (74,106,976) | 234,921 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 0.0011%ºº | 1,951,837 | 4,557,196 | (6,509,033) | - |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
LLC | Limited Liability Company |
PLC | Public Limited Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2021. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2021. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 28,096,984 | $ | - | $ | - | ||||||
Investment Companies | - | 234,921 | - | |||||||||
Total Assets | $ | 28,096,984 | $ | 234,921 | $ | - | ||||||
Janus Aspen Series | 9 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2021
|
|
|
|
|
|
|
Assets: |
|
|
|
| ||
| Unaffiliated investments, at value (cost $24,558,967) |
| $ | 28,096,984 |
| |
| Affiliated investments, at value (cost $234,921) |
|
| 234,921 |
| |
| Non-interested Trustees' deferred compensation |
|
| 684 |
| |
| Receivables: |
|
|
|
| |
|
| Dividends |
|
| 390,073 |
|
|
| Foreign tax reclaims |
|
| 11,001 |
|
|
| Portfolio shares sold |
|
| 4,358 |
|
|
| Dividends from affiliates |
|
| 71 |
|
| Other assets |
|
| 2,470 |
| |
Total Assets |
|
| 28,740,562 |
| ||
Liabilities: |
|
|
|
| ||
| Due to custodian |
|
| 145 |
| |
| Payables: |
|
| — |
| |
|
| Advisory fees |
|
| 367,479 |
|
|
| 12b-1 Distribution and shareholder servicing fees |
|
| 183,907 |
|
|
| Transfer agent fees and expenses |
|
| 38,281 |
|
|
| Compliance Office fees |
|
| 23,206 |
|
|
| Professional fees |
|
| 19,724 |
|
|
| Affiliated portfolio administration fees payable |
|
| 1,839 |
|
|
| Portfolio shares repurchased |
|
| 1,615 |
|
|
| Custodian fees |
|
| 885 |
|
|
| Non-interested Trustees' deferred compensation fees |
|
| 684 |
|
|
| Non-interested Trustees' fees and expenses |
|
| 105 |
|
|
| Accrued expenses and other payables |
|
| 7,072 |
|
Total Liabilities |
|
| 644,942 |
| ||
Net Assets |
| $ | 28,095,620 |
| ||
Net Assets Consist of: |
|
|
|
| ||
| Capital (par value and paid-in surplus) |
| $ | (182,202,885) |
| |
| Total distributable earnings (loss) |
|
| 210,298,505 |
| |
Total Net Assets |
| $ | 28,095,620 |
| ||
Net Assets - Service Shares |
| $ | 28,095,620 |
| ||
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) |
|
| 1,732,465 |
| |
Net Asset Value Per Share |
| $ | 16.22 |
|
|
See Notes to Financial Statements. | |
10 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2021
|
|
|
|
|
|
Investment Income: |
|
|
| ||
| Dividends | $ | 7,691,357 |
| |
| Affiliated securities lending income, net |
| 12,136 |
| |
| Dividends from affiliates |
| 1,942 |
| |
| Unaffiliated securities lending income, net |
| 46 |
| |
| Foreign tax withheld |
| 1,481 |
| |
Total Investment Income |
| 7,706,962 |
| ||
Expenses: |
|
|
| ||
| Advisory fees |
| 2,387,441 |
| |
| 12b-1 Distribution and shareholder servicing fees |
| 1,193,721 |
| |
| Transfer agent administrative fees and expenses |
| 238,744 |
| |
| Other transfer agent fees and expenses |
| 9,779 |
| |
| Professional fees |
| 17,890 |
| |
| Affiliated portfolio administration fees |
| 14,940 |
| |
| Custodian fees |
| 3,133 |
| |
| Non-interested Trustees’ fees and expenses |
| 3,070 |
| |
| Shareholder reports expense |
| 3,022 |
| |
| Registration fees |
| 43 |
| |
| Other expenses |
| 39,243 |
| |
Total Expenses |
| 3,911,026 |
| ||
Less: Excess Expense Reimbursement and Waivers |
| (336) |
| ||
Net Expenses |
| 3,910,690 |
| ||
Net Investment Income/(Loss) |
| 3,796,272 |
| ||
Net Realized Gain/(Loss) on Investments: |
|
|
| ||
| Investments(1) |
| 320,945,052 |
| |
| Investments in affiliates |
| 85 |
| |
Total Net Realized Gain/(Loss) on Investments |
| 320,945,137 |
| ||
Change in Unrealized Net Appreciation/Depreciation: |
|
|
| ||
| Investments and non-interested Trustees’ deferred compensation |
| (234,774,246) |
| |
| Investments in affiliates |
| (85) |
| |
Total Change in Unrealized Net Appreciation/Depreciation |
| (234,774,331) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 89,967,078 |
| ||
|
|
|
|
|
|
(1) Includes $191,581,620 of realized gains and losses resulting from a redemption-in-kind during the period ended June 30, 2021. |
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
| Period ended |
| Year ended |
| ||
Operations: |
|
|
|
|
|
| ||
| Net investment income/(loss) | $ | 3,796,272 |
| $ | 16,637,645 |
| |
| Net realized gain/(loss) on investments |
| 320,945,137 |
|
| 72,947,608 |
| |
| Change in unrealized net appreciation/depreciation |
| (234,774,331) |
|
| (56,687,787) |
| |
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 89,967,078 |
|
| 32,897,466 |
| ||
Dividends and Distributions to Shareholders: |
|
|
|
|
|
| ||
| Dividends and Distributions to Shareholders |
| (195,141,718) |
|
| (88,541,700) |
| |
Net Decrease from Dividends and Distributions to Shareholders |
| (195,141,718) |
|
| (88,541,700) |
| ||
Capital Shares Transactions |
| (859,934,064) |
|
| (38,479,019) |
| ||
Net Increase/(Decrease) in Net Assets |
| (965,108,704) |
|
| (94,123,253) |
| ||
Net Assets: |
|
|
|
|
|
| ||
| Beginning of period |
| 993,204,324 |
|
| 1,087,327,577 |
| |
| End of period | $ | 28,095,620 |
| $ | 993,204,324 |
| |
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements. | |
12 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Financial Highlights
Service Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
For a share outstanding during the period ended June 30, 2021 (unaudited) and the year ended December 31 | 2021 |
|
| 2020 |
|
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
| ||||
| Net Asset Value, Beginning of Period |
| $18.30 |
|
| $19.43 |
|
| $16.05 |
|
| $17.43 |
|
| $15.30 |
|
| $14.36 |
| ||
| Income/(Loss) from Investment Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Net investment income/(loss)(1) |
| 0.07 |
|
| 0.30 |
|
| 0.34 |
|
| 0.28 |
|
| 0.24 |
|
| 0.26 |
| |
|
| Net realized and unrealized gain/(loss) |
| 1.66 |
|
| 0.20 |
|
| 4.07 |
|
| (1.05) |
|
| 2.11 |
|
| 1.14 |
| |
| Total from Investment Operations |
| 1.73 |
|
| 0.50 |
|
| 4.41 |
|
| (0.77) |
|
| 2.35 |
|
| 1.40 |
| ||
| Less Dividends and Distributions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Dividends (from net investment income) |
| (0.15) |
|
| (0.35) |
|
| (0.31) |
|
| (0.30) |
|
| (0.22) |
|
| (0.23) |
| |
|
| Distributions (from capital gains) |
| (3.66) |
|
| (1.28) |
|
| (0.72) |
|
| (0.31) |
|
| — |
|
| (0.23) |
| |
| Total Dividends and Distributions |
| (3.81) |
|
| (1.63) |
|
| (1.03) |
|
| (0.61) |
|
| (0.22) |
|
| (0.46) |
| ||
| Net Asset Value, End of Period |
| $16.22 |
|
| $18.30 |
|
| $19.43 |
|
| $16.05 |
|
| $17.43 |
|
| $15.30 |
| ||
| Total Return* |
| 9.60% |
|
| 3.51% |
|
| 28.05% |
|
| (4.58)% |
|
| 15.44% |
|
| 9.71% |
| ||
| Net Assets, End of Period (in thousands) |
| $28,096 |
|
| $993,204 |
|
| $1,087,328 |
|
| $1,004,693 |
|
| $1,150,778 |
|
| $962,999 |
| ||
| Average Net Assets for the Period (in thousands) |
| $979,190 |
|
| $996,571 |
|
| $1,073,019 |
|
| $1,106,198 |
|
| $1,059,734 |
|
| $831,798 |
| ||
| Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
| Ratio of Gross Expenses |
| 0.81% |
|
| 0.83% |
|
| 0.82% |
|
| 0.82% |
|
| 0.82% |
|
| 0.82% |
| |
|
| Ratio of Net Expenses (After Waivers and Expense Offsets) |
| 0.81% |
|
| 0.83% |
|
| 0.82% |
|
| 0.82% |
|
| 0.82% |
|
| 0.82% |
| |
|
| Ratio of Net Investment Income/(Loss) |
| 0.78% |
|
| 1.67% |
|
| 1.85% |
|
| 1.61% |
|
| 1.50% |
|
| 1.72% |
| |
| Portfolio Turnover Rate |
| 85% |
|
| 44% |
|
| 15% |
|
| 20% |
|
| 18% |
|
| 29% |
| ||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT U.S. Low Volatility Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks capital appreciation. 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 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 United States of America generally accepted accounting principles ("US GAAP")).
The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.
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:
14 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
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, 2021 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.
Expenses
The Portfolio bears expenses incurred specifically on its behalf.
Estimates
The preparation of financial statements in conformity with US GAAP 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.
Janus Aspen Series | 15 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
In response to the COVID-19 pandemic, the U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets, including reducing interest rates to record-low levels. Extremely low or negative interest rates may become more prevalent or may not work as intended. As there is little precedent for this situation, the impact on various markets that interest rate or other significant policy changes may have is unknown. The withdrawal of this support, a failure of measures put in place in response to such economic uncertainty, 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.
Widespread disease, including pandemics and epidemics, and natural or environmental disasters, including those which may be attributable to global climate change, such as earthquakes, fires, floods, hurricanes, tsunamis and weather-related phenomena generally, have been and can be highly disruptive to economies and markets, adversely impacting individual companies, sectors, industries, markets, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of a Fund’s investments. Economies and financial markets throughout the world have become increasingly interconnected, which increases the likelihood that events or conditions in one region or country will adversely affect markets or issuers in other regions or countries, including the United States. These disruptions could prevent a Fund from executing advantageous investment decisions in a timely manner and negatively impact a Fund’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Fund. In addition, these disruptions could also impair the information technology and other operational systems upon which the Fund’s service providers, including Janus Capital Management LLC ("Janus Capital") or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Fund’s service providers to perform essential tasks on behalf of the Fund. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance and reinsurance companies that insure or reinsure against the impact of natural disasters.
A number of countries in the European Union (the “EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU have experienced extreme volatility and declines in asset values and liquidity. These difficulties may continue, worsen, or spread further within the EU. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also
16 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
be heightened due to the referendum in which the United Kingdom voted to exit the EU, commonly known as “Brexit,” which immediately led to significant market volatility around the world, as well as political, economic and legal uncertainty. The United Kingdom formally left the EU on January 31, 2020 and entered into an eleven-month transition period, which expired on December 31, 2020. The negative impact on not only the United Kingdom and European economies could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on the United Kingdom and/or Europe for their business activities and revenues. Any further exits from the EU, or an increase in the belief that such exits are likely or possible, would likely cause additional market disruption globally and introduce new legal and regulatory uncertainties.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Real Estate Investing
To the extent that real estate-related securities may be included in the Portfolio’s named benchmark index, Intech’s mathematical investment process may select equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the "SEC"). If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital
Janus Aspen Series | 17 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of June 30, 2021.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.50% of its average daily net assets.
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 investment advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees, transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.79% of the Portfolio’s average daily net assets for at least a one-year period commencing April 30, 2021. Effective June 28, 2021, Janus Capital has voluntarily agreed to waive the investment advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.83% of the Portfolio’s average daily net assets through April 30, 2022, unless the Board of Trustees and Janus Capital agree to terminate the voluntary waiver earlier. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to
18 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $16,571 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2021. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2021 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2021 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 $308,300 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2021.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated
Janus Aspen Series | 19 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. 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, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 24,838,247 | $ 3,733,679 | $ (240,021) | $ 3,493,658 |
5. Capital Share Transactions
|
|
|
|
|
|
|
|
| Period ended June 30, 2021 |
| Year ended December 31, 2020 | ||
|
| Shares | Amount |
| Shares | Amount |
Service Shares: |
|
|
|
|
| |
Shares sold | 2,215,230 | $ 40,410,096 |
| 4,637,335 | $ 80,955,490 | |
Reinvested dividends and distributions | 12,120,604 | 195,141,718 |
| 5,341,690 | 88,541,700 | |
Shares repurchased | (66,879,293) | (1,095,485,878) |
| (11,652,479) | (207,976,209) | |
Net Increase/(Decrease) | (52,543,459) | $ (859,934,064) |
| (1,673,454) | $(38,479,019) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2021, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$725,765,096 | $1,767,314,135 | $ - | $ - |
20 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements (unaudited)
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2021 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.
Janus Aspen Series | 21 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to shareholders. The Portfolio’s Form N-PORT filings and annual and semiannual reports: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free). Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 60-day lag under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received, and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 9, 2020, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2021 through February 1, 2022, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
22 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2020, approximately 75% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2020, approximately 62% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the first Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
Janus Aspen Series | 23 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the bottom Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2020 and the second Broadridge quartile for the 12 months ended May 31, 2020.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2020 and the third Broadridge quartile for the 12 months ended May 31, 2020.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory fees and any administration fees but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other comparable mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of the respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 9% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for
24 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs and operate in markets very distinct relative to retail funds; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) 5 of 8 Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2019, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group 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.
Janus Aspen Series | 25 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation exists between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a fixed base rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 73% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain of those Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such
26 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the significant investments made by Janus Capital and its affiliates related to services provided to the Funds and the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any economies of scale that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
LIQUIDITY RISK MANAGEMENT PROGRAM
The Janus Henderson Funds (other than the money market funds) have adopted and implemented a written liquidity risk management program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”). Rule 22e-4, requires open-end funds to adopt and implement a written liquidity risk management program that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund
Janus Aspen Series | 27 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The LRMP incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio investments; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Capital Management LLC, the Portfolio’s investment adviser (“Janus Capital”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various groups within Janus Capital’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”).
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). During the semi-annual period ended June 30, 2021, the Program Administrator provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2020 through December 31, 2020 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. It noted that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period, and discussed the additional actions that the Liquidity Risk Working Group took during the period of market volatility in the spring of 2020 to monitor the Portfolio’s liquidity. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. In addition, the Program Administrator expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, taking into account the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
28 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. 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. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Aspen Series | 29 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
30 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Aspen Series | 31 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes
NotesPage1
32 | JUNE 30, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes
NotesPage2
Janus Aspen Series | 33 |
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | |||||||
Janus Henderson and Intech are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors | |||||||
109-24-81127 08-21 |
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 - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
(a) Not applicable.
(b) Not applicable.
Item 13 - 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.
(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.
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 30, 2021
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 30, 2021
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 30, 2021