Mid-cap growth stocks delivered positive returns for 2021 despite periods of volatility. Stocks rose in the first half of the year, as healthy economic and earnings growth and optimism around COVID-19 vaccines lifted investor sentiment. Accommodative monetary policy also supported the growth outlook. Market volatility increased in the second half of the year, as the spread of the new virus variants led to renewed pandemic concerns. Supply constraints and higher input costs also fueled inflation, which pushed interest rates higher. Additionally, the Federal Reserve (Fed) indicated it would accelerate the withdrawal of its monetary stimulus. The prospect of higher interest rates in 2022 spurred a market rotation away from more-speculative, high-valuation growth stocks in the fourth quarter. Due in part to this rotation, the Russell Midcap Growth Index underperformed the broader mid-cap equity market for the 12-month period.
The past year saw a tug-of-war between two investing styles. On one hand, we welcomed periods of a renewed focus on fundamentals that benefited the kinds of disciplined growth companies we own. At the same time, we saw intervals when speculative investing drove market returns while pushing valuations for some aggressive growth stocks to higher and higher levels. Despite these shifts in market behavior, we remained steadfast in our focus on high-quality, well-managed companies with valuations we believed were supported by a reasonable assessment of their earnings potential. Our selective approach helped us avoid exposure to several high-valuation mid-cap growth stocks that sold off sharply in the fourth quarter. This aided our performance relative to the benchmark index.
We were also pleased to see a number of our moderate growth investments rewarded with strong stock performance. These included technology hardware and components companies that benefited from rapid growth in end markets such as electric vehicle production, automation and the Internet of Things. Shortages of semiconductors and other components have also supported favorable pricing trends for companies such as specialty chip manufacturer ON Semiconductor and KLA, a supplier of inspection equipment used in the semiconductor production process. Both companies delivered strong earnings growth, while ON Semiconductor saw widening profit margins as its new management team streamlined its operations. Semiconductor shortages have also driven other industry changes, including moves toward committed capacity, long-term contracts and onshoring, as companies looked to secure their supply chains. In our view, these changes may help dampen the industry’s historical cyclicality, while further benefiting advantaged producers.
The digital payments industry is another area where we see long-term opportunity, as consumers have come to appreciate the convenience of online and mobile transactions. Our interest in this space led us to Global Payments, a provider of software solutions that enable vendors to take credit card payments. WEX, another long-term holding, issues credit cards that help companies manage fleet fuel costs. It also provides a cloud-based payments platform to support travel bookings and health savings accounts. We continue to see long-term potential for these businesses. However, both stocks declined due
to investor disappointment over weaker-than-expected transaction volumes in the digital payments space, as the COVID-19 variants increased economic uncertainty. Concerns that alternative payment solutions could take market share from traditional credit cards also pressured the stocks. In our view, these concerns were overstated. Electronic payments have continued to outgrow the broader economy, and the companies we own saw steady growth rates despite some business headwinds in 2021. We held onto our investments, and we will continue to monitor the competitive dynamics for the global payments market.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Janus Henderson VIT Enterprise Portfolio.
While we remain constructive on the economic outlook, we caution that we’re entering a very different environment than we had a year ago. We started 2021 with low interest rates and ample monetary and fiscal stimulus. As we head into 2022, prospects for additional fiscal stimulus remain uncertain, and the Fed will be withdrawing some of its extraordinary monetary support. Our conversations with companies also indicate that supply chain challenges and worker shortages could persist even into 2023. Developments in China are another source of uncertainty, as the country’s slowing growth rate and government policy changes could have reverberations for U.S. companies. In this environment we will remain highly selective in our investments, as we look for reasonably valued companies with forward-looking management teams and a commitment to innovation. We also favor companies with strong competitive positions and well-balanced stakeholder alignment. We believe these qualities can support healthy and sustainable profit margins in the face of rising input costs. We also remain disciplined with regard to valuation, focusing on companies where we see a growing earnings trajectory to support their stock prices. This is the best way we know to provide strong risk-adjusted returns to our investors over the long term.
Thank you for your investment in Janus VIT Enterprise Portfolio.
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), Environmental, Social and Governance (ESG) factors, 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.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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.
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.
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.
The following table, grouped by derivative type, provides information about the fair value and location of derivatives within the Statement of Assets and Liabilities as of December 31, 2021.
The following tables provide information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the year ended December 31, 2021.
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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.
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.
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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 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.
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.
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.
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.
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.
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 year ended December 31, 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:
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 the Adviser’s ability to establish and maintain appropriate systems and trading.
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 are 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 realized gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a forward currency contract is reported on the Statement of Operations (if applicable).
During the year, the Portfolio entered into forward currency contracts with the obligation to 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 year, the Portfolio entered into forward currency contracts with the obligation to sell foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
3. Other Investments and Strategies
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 Portfolio’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 Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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.
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following tables present gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2021” table located in the Portfolio’s Schedule of Investments.
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.
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.
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $432,562. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2021 is $448,000, resulting in the net amount due to the counterparty of $15,438.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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 Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $1,076,725 in sales, resulting in a net realized gain of $123,871. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
5. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation, derivatives, and foreign currency contract adjustments. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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.
Information on the tax components of derivatives as of December 31, 2021 is as follows:
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from 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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
6. Capital Share Transactions
7. Purchases and Sales of Investment Securities
For the year ended December 31, 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:
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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.
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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.
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.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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.
The Trustees reviewed the nature, extent and quality of the services provided by the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each had demonstrated its ability to attract well-qualified personnel.
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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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:
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).
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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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”):
The Trustees reviewed information on the overall profitability to the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance 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 the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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).
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.
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.
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.
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.
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.
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 Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
| | | | | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Flexible Bond Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Flexible Bond Portfolio
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT Using our broad global research capabilities, we strive to exploit fixed income market inefficiencies by building a structural foundation that we believe serves as a better starting point than traditional benchmarks. We aim to generate outperformance through sector rotation and security selection while also dynamically adjusting our asset allocation as we aim to take the right amount of risk at each point in the cycle. | | | | 
Greg Wilensky co-portfolio manager | 
Michael Keough co-portfolio manager |
| | | |
PERFORMANCE OVERVIEW
For the 12-month period ended December 31, 2021, the Janus Henderson VIT Flexible Bond Portfolio’s Institutional Shares and Service Shares returned -0.90% and -1.11%, respectively, compared with -1.54% for the Portfolio’s benchmark, the Bloomberg U.S. Aggregate Bond Index.
INVESTMENT ENVIRONMENT
The period began with many economically damaging social distancing measures still in place to mitigate the spread of COVID-19. However, credit markets were supported by significant monetary and fiscal stimulus, and vaccine developments created optimism around the potential for an economic reopening. Indeed, vaccines were distributed at a faster-than-expected rate, contributing to strong economic growth.
Amid the economic recovery, the yield on the 10-year Treasury note ended December at 1.51%, up from 0.93% one year ago. The recovery, as is typical, brought both higher inflation expectations and the realization that the U.S. Federal Reserve (Fed) would reduce monetary stimulus and eventually increase policy rates. Despite intra-period volatility, corporate credit spreads (the difference in yield over Treasuries) ultimately tightened with the improving economic outlook. However, investment-grade corporates were negatively impacted by rising interest rates and ended the period with negative total returns. Mortgage-backed securities similarly outperformed U.S. Treasuries but generated negative total returns. Treasury Inflation-Protected Securities (TIPS) and high-yield corporates generated positive total returns – the former aided by increasing inflation expectations, the latter aided by their improving fundamental outlook including expectations for low credit defaults and investors’ continued quest for yield.
PERFORMANCE DISCUSSION
The Portfolio outperformed the Bloomberg U.S. Aggregate Bond Index. Our asset allocation decisions benefited relative performance versus the Index. The Portfolio’s out-of-index allocation to high-yield corporate bonds performed well as the economic outlook continued to improve and investors’ demand for yield remained intact. Out-of-index exposure to TIPS was also a strong contributor as we adjusted positioning with the ebb and flow of inflation expectations. An underweight to mortgage-backed securities (MBS) and strong security selection further benefited relative performance. The Portfolio’s positioning relative to the U.S. Treasury yield curve and a lack of exposure to government-related securities detracted.
Although we consistently trimmed the Portfolio’s allocation to corporate bonds during the period, our overall favorable view on the U.S. economy led us to maintain the Portfolio’s overweight exposure to corporates (including high-yield) and securitized credit such as asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS). We maintained underweight exposures to U.S. Treasuries and MBS.
Our decision to reduce corporate credit exposure was primarily due to credit spreads narrowing as the period progressed. Corporate bond sales were focused on the investment-grade market given our view that the relatively tight level of spreads diminished their attractiveness on a risk-adjusted basis compared to high yield, particularly with rates set to rise. Within high yield, we adjusted positions, emphasizing names believed to have the potential to be “rising stars” – securities that could see sufficient rating improvement to push them into the investment-grade market. We added floating rate products such as bank loans as well as high-quality (AAA/AA) collateralized loan obligations (CLOs) for the first time, believing the underlying bank loans had
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
attractive valuations and their securitization into CLOs added additional value. In our efforts to diversify sources of both yield and risk, we also added ABS and CMBS exposure, focusing on relative-value opportunities identified through individual security analysis. Lastly, we were active in the TIPS market, adding early on the expectation that inflation expectations would increase and adjusting the allocation throughout the year as expectations shifted.
DERIVATIVES USAGE
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
Since March 2020, the global economy and financial markets have been supported by remarkable fiscal and monetary policy. In the past year, this led to strong economic growth, rising inflation, higher Treasury yields and strong excess returns across most spread product sectors. As we look ahead to 2022, we expect continued economic growth to drive healthy fundamentals for consumers and corporations. However, the combination of an improving job market and persistent inflation has prompted the Fed to pivot and begin removing their extraordinarily accommodative monetary policy. In the coming year, we expect the end of quantitative easing, the liftoff of the federal funds rate and initial steps by the Fed to wind down its balance sheet. It is important to recognize this change in policy will bring in new economic and market dynamics, and thus we do expect volatility as markets deal with inflation and a new phase of central bank policy.
We expect inflation will stay elevated but gradually decline as the difficulties of reopening a global economy after a pandemic begin to fade. We expect the Consumer Price Index will rise by 2.75% to 3.0% in 2022 and take another year or two to settle below 2.5%. However, we believe real yields (the yield paid after taking into account expected inflation) are too low for the economic growth and inflation we are forecasting, and anticipate upward pressure on Treasury yields. Nevertheless, longer-dated Treasuries are likely to remain attractive relative to other developed markets’ government bonds, and we expect continued demand from outside of the U.S. to be a stabilizer in times of volatility. Furthermore, institutional investors such as pension funds that have generated strong returns from both equities and bonds in the past year may be more inclined to “derisk” their asset allocations, reducing equities in favor of bonds if yields spike. Similarly, we believe credit sectors can perform well in the early phases of a tightening cycle – fundamentals are still improving, credit ratings are being upgraded, access to credit remains plentiful and defaults are expected to remain scarce.
While navigating central bank tightening is never straightforward, we think bonds will continue to offer opportunities to add value in the coming quarters while maintaining their traditional role as a diversifier in volatile times. In fact, 2022 may play to the active manager’s strengths; in our opinion, opportunities to add incremental returns are likely to come from relative-value opportunities, nuanced sector allocation, shorter-term dislocations and individual security selection.
Thank you for your investment in Janus Henderson VIT Flexible Bond Portfolio.
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | |
Fund Profile | | |
30-day Current Yield* | Without
Reimbursement | With
Reimbursement |
Institutional Shares | 1.08% | 1.10% |
Service Shares | 0.84% | 0.86% |
Weighted Average Maturity | 7.79 Years |
Average Effective Duration** | 5.92 Years |
* Yield will fluctuate. | | |
** A theoretical measure of price volatility. | |
| | |
Ratings† Summary - (% of Total Investments) | |
AAA | 19.9% |
AA | 31.3% |
A | 2.2% |
BBB | 18.2% |
BB | 9.4% |
B | 3.0% |
Not Rated | 15.4% |
Other | 0.6% |
† Credit ratings provided by Standard & Poor's (S&P), an independent credit rating agency. Credit ratings range from AAA (highest) to D (lowest) based on S&P's measures. Further information on S&P's rating methodology may be found at www.standardandpoors.com. Other rating agencies may rate the same securities differently. Ratings are relative and subjective and are not absolute standards of quality. Credit quality does not remove market risk and is subject to change. "Not Rated" securities are not rated by S&P, but may be rated by other rating agencies and do not necessarily indicate low quality. "Other" includes cash equivalents, equity securities, and certain derivative instruments. |
Significant Areas of Investment - (% of Net Assets)
| | | | | | |
Asset Allocation - (% of Net Assets) | |
United States Treasury Notes/Bonds | | 31.7% | |
Corporate Bonds | | 26.9% | |
Asset-Backed/Commercial Mortgage-Backed Securities | | 20.5% | |
Mortgage-Backed Securities | | 16.6% | |
Investment Companies | | 12.4% | |
Bank Loans and Mezzanine Loans | | 2.7% | |
Inflation-Indexed Bonds | | 0.5% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.0% | |
Other | | (11.3)% |
| | | 100.0% |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ | Net Annual Fund
Operating Expenses‡ |
Institutional Shares | | -0.90% | 4.24% | 3.68% | 6.06% | | | 0.60% | 0.58% |
Service Shares | | -1.11% | 3.98% | 3.43% | 5.83% | | | 0.85% | 0.82% |
Bloomberg U.S. Aggregate Bond Index | | -1.54% | 3.57% | 2.90% | 4.99% | | | | |
Morningstar Quartile - Institutional Shares | | 3rd | 2nd | 2nd | 1st | | | | |
Morningstar Ranking - based on total returns for Intermediate Core - Plus Bond Funds | | 323/607 | 193/557 | 202/490 | 7/175 | | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for indexfor index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,003.00 | $2.93 | | $1,000.00 | $1,022.28 | $2.96 | 0.58% |
Service Shares | $1,000.00 | $1,001.70 | $4.19 | | $1,000.00 | $1,021.02 | $4.23 | 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 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– 20.5% | | | |
| | 208 Park Avenue Mortgage Trust 2017-280P, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8800%, 0.9898%, 9/15/34 (144A)‡ | | $629,029 | | | $628,483 | |
| | ACC Auto Trust 2021-A A, 1.0800%, 4/15/27 (144A) | | 614,656 | | | 613,832 | |
| | Affirm Asset Securitization Trust 2020-Z2 A, 1.9000%, 1/15/25 (144A) | | 231,672 | | | 232,605 | |
| | Affirm Asset Securitization Trust 2021-A A, 0.8800%, 8/15/25 (144A) | | 723,000 | | | 720,517 | |
| | Affirm Asset Securitization Trust 2021-B A, 1.0300%, 8/17/26 (144A) | | 801,000 | | | 794,838 | |
| | Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | | 203,674 | | | 203,548 | |
| | Angel Oak Mortgage Trust I LLC 2019-6, | | | | | | |
| | ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | | 158,176 | | | 158,176 | |
| | Angel Oak Mortgage Trust I LLC 2020-2, | | | | | | |
| | ICE LIBOR USD 12 Month + 2.2000%, 2.5310%, 1/26/65 (144A)‡ | | 358,820 | | | 362,625 | |
| | Angel Oak Mortgage Trust I LLC 2020-3, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | | 312,315 | | | 312,789 | |
| | Aqua Finance Trust 2021-A A, 1.5400%, 7/17/46 (144A) | | 535,654 | | | 529,942 | |
| | Arbys Funding LLC 2020-1A, 3.2370%, 7/30/50 (144A) | | 1,782,438 | | | 1,820,557 | |
| | Atalaya Equipment Leasing Fund I LP 2021-1A A2, 1.2300%, 5/15/26 (144A) | | 821,000 | | | 819,793 | |
| | Bank 2018-BN12 A4, 4.2550%, 5/15/61‡ | | 260,123 | | | 293,512 | |
| | Barclays Comercial Mortgage Securities LLC 2015-SRCH, | | | | | | |
| | 4.1970%, 8/10/35 (144A) | | 1,447,000 | | | 1,598,961 | |
| | Barclays Comercial Mortgage Securities LLC 2017-DELC, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8500%, 0.9598%, 8/15/36 (144A)‡ | | 443,000 | | | 442,876 | |
| | BVRT Financing Trust 2021-2F M1, 1.6000%, 1/10/32‡ | | 109,513 | | | 109,699 | |
| | BVRT Financing Trust 2021-CRT1 M2, 2.3514%, 1/10/33‡ | | 139,654 | | | 140,003 | |
| | BVRT Financing Trust 2021-CRT2 M1, 1.8514%, 11/10/32‡ | | 34,426 | | | 34,426 | |
| | BX Commercial Mortgage Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | | 614,000 | | | 647,243 | |
| | BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | | 309,000 | | | 325,878 | |
| | BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | | 614,000 | | | 632,246 | |
| | BX Commercial Mortgage Trust 2019-XL, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9200%, 1.0300%, 10/15/36 (144A)‡ | | 1,153,750 | | | 1,153,431 | |
| | BX Commercial Mortgage Trust 2019-XL, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.0800%, 1.1900%, 10/15/36 (144A)‡ | | 195,500 | | | 195,308 | |
| | BX Commercial Mortgage Trust 2020-FOX A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.0000%, 1.1100%, 11/15/32 (144A)‡ | | 1,506,933 | | | 1,506,580 | |
| | BX Commercial Mortgage Trust 2020-FOX B, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3500%, 1.4600%, 11/15/32 (144A)‡ | | 269,697 | | | 269,459 | |
| | BX Commercial Mortgage Trust 2020-FOX C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.5500%, 1.6600%, 11/15/32 (144A)‡ | | 269,697 | | | 268,612 | |
| | BX Commercial Mortgage Trust 2021-LBA AJV, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8000%, 0.9100%, 2/15/36 (144A)‡ | | 848,000 | | | 844,793 | |
| | BX Commercial Mortgage Trust 2021-LBA AV, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8000%, 0.9100%, 2/15/36 (144A)‡ | | 964,000 | | | 960,354 | |
| | BX Commercial Mortgage Trust 2021-VOLT A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.7000%, 0.8098%, 9/15/36 (144A)‡ | | 510,000 | | | 508,415 | |
| | BX Commercial Mortgage Trust 2021-VOLT B, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9500%, 1.0598%, 9/15/36 (144A)‡ | | 1,043,000 | | | 1,033,553 | |
| | BX Commercial Mortgage Trust 2021-VOLT D, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 1.7598%, 9/15/36 (144A)‡ | | 1,096,000 | | | 1,086,415 | |
| | BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | | 696,000 | | | 741,580 | |
| | Carvana Auto Receivables Trust 2021-P4 A2, 0.8200%, 4/10/25 | | 888,000 | | | 887,621 | |
| | CBAM CLO Management 2019-11RA A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1800%, 1.3049%, 1/20/35 (144A)‡ | | 1,965,000 | | | 1,967,350 | |
| | CBAM CLO Management 2019-11RA B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7500%, 1.8749%, 1/20/35 (144A)‡ | | 1,002,000 | | | 1,002,166 | |
| | CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | | 1,159,335 | | | 1,138,440 | |
| | CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | | 425,347 | | | 419,071 | |
| | Chase Auto Credit Linked Notes 2021-2 B, 0.8890%, 12/26/28 (144A) | | 942,546 | | | 937,414 | |
| | Chase Mortgage Finance Corp 2021-CL1 M1, | | | | | | |
| | US 30 Day Average SOFR + 1.2000%, 1.2497%, 2/25/50 (144A)‡ | | 682,069 | | | 683,844 | |
| | CIFC Funding Ltd 2016-1A BRR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 0%, 10/21/31 (144A)‡ | | 723,000 | | | 714,261 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | CIFC Funding Ltd 2021-7A A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1300%, 1.2584%, 1/23/35 (144A)‡ | | $1,351,000 | | | $1,350,187 | |
| | CIFC Funding Ltd 2021-7A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.6000%, 1.7284%, 1/23/35 (144A)‡ | | 768,000 | | | 762,256 | |
| | CIM Retail Portfolio Trust 2021-RETL A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.4000%, 1.5100%, 8/15/36 (144A)‡ | | 821,000 | | | 819,500 | |
| | CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | | 934,107 | | | 932,692 | |
| | Cold Storage Trust 2020-ICE5 A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9000%, 1.0098%, 11/15/37 (144A)‡ | | 1,740,876 | | | 1,739,077 | |
| | Cold Storage Trust 2020-ICE5 B, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3000%, 1.4098%, 11/15/37 (144A)‡ | | 774,597 | | | 772,992 | |
| | Cold Storage Trust 2020-ICE5 C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 1.7598%, 11/15/37 (144A)‡ | | 777,546 | | | 774,567 | |
| | COLT Funding LLC 2020-2, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | | 107,093 | | | 107,419 | |
| | COLT Funding LLC 2020-3, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | | 125,638 | | | 125,753 | |
| | Conn Funding II LP 2021-A A, 1.0500%, 5/15/26 (144A) | | 941,240 | | | 940,486 | |
| | Connecticut Avenue Securities Trust 2014-C04, | | | | | | |
| | ICE LIBOR USD 1 Month + 4.9000%, 5.0028%, 11/25/24‡ | | 52,150 | | | 54,095 | |
| | Connecticut Avenue Securities Trust 2015-C02 1M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 4.0000%, 4.1028%, 5/25/25‡ | | 154,795 | | | 157,481 | |
| | Connecticut Avenue Securities Trust 2016-C06 1M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 4.2500%, 4.3528%, 4/25/29‡ | | 365,019 | | | 376,341 | |
| | Connecticut Avenue Securities Trust 2017-C01, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.5500%, 3.6528%, 7/25/29‡ | | 600,460 | | | 613,910 | |
| | Connecticut Avenue Securities Trust 2017-C05 1M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.2000%, 2.3028%, 1/25/30‡ | | 846,743 | | | 860,577 | |
| | Connecticut Avenue Securities Trust 2017-C07 1M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.4000%, 2.5019%, 5/25/30‡ | | 829,062 | | | 840,952 | |
| | Connecticut Avenue Securities Trust 2018-C03 1M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1500%, 2.2528%, 10/25/30‡ | | 843,579 | | | 852,784 | |
| | Connecticut Avenue Securities Trust 2018-R07, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.4000%, 2.5019%, 4/25/31 (144A)‡ | | 108,454 | | | 108,846 | |
| | Connecticut Avenue Securities Trust 2019-R02, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.3000%, 2.4028%, 8/25/31 (144A)‡ | | 82,222 | | | 82,529 | |
| | Connecticut Avenue Securities Trust 2019-R03, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1500%, 2.2528%, 9/25/31 (144A)‡ | | 269,726 | | | 270,582 | |
| | Connecticut Avenue Securities Trust 2019-R04, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1000%, 2.2019%, 6/25/39 (144A)‡ | | 110,632 | | | 110,632 | |
| | Connecticut Avenue Securities Trust 2019-R05, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.0000%, 2.1028%, 7/25/39 (144A)‡ | | 112,723 | | | 112,723 | |
| | Connecticut Avenue Securities Trust 2019-R07, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1000%, 2.2028%, 10/25/39 (144A)‡ | | 86,391 | | | 86,556 | |
| | Connecticut Avenue Securities Trust 2020-R02, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.0000%, 2.1028%, 1/25/40 (144A)‡ | | 655,564 | | | 656,794 | |
| | Connecticut Avenue Securities Trust 2021-R02 2M2, | | | | | | |
| | US 30 Day Average SOFR + 2.0000%, 2.0500%, 11/25/41 (144A)‡ | | 1,922,000 | | | 1,923,198 | |
| | Connecticut Avenue Securities Trust 2021-R03 1M2, | | | | | | |
| | US 30 Day Average SOFR + 1.6500%, 1.7000%, 12/25/41 (144A)‡ | | 711,000 | | | 712,078 | |
| | Cosmopolitan Hotel Trust 2017, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9300%, 1.0398%, 11/15/36 (144A)‡ | | 552,036 | | | 551,810 | |
| | Credit Suisse Commercial Mortgage Trust 2019-ICE4, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9800%, 1.0900%, 5/15/36 (144A)‡ | | 1,570,000 | | | 1,569,577 | |
| | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.4300%, 1.5400%, 5/15/36 (144A)‡ | | 831,000 | | | 827,248 | |
| | Credit Suisse Commercial Mortgage Trust 2020-UNFI, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.6682%, 4.1682%, 12/15/22 (144A)‡ | | 453,000 | | | 452,402 | |
| | Credit Suisse Commercial Mortgage Trust 2021-WEHO A, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.9693%, 4.0791%, 4/15/23 (144A)‡ | | 950,590 | | | 946,232 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | DB Master Finance LLC 2019-1A A23, 4.3520%, 5/20/49 (144A) | | $454,538 | | | $481,520 | |
| | DB Master Finance LLC 2019-1A A2II, 4.0210%, 5/20/49 (144A) | | 229,713 | | | 237,759 | |
| | Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | | 1,183,000 | | | 1,156,522 | |
| | Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | | 358,050 | | | 375,259 | |
| | Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | | 1,060,210 | | | 1,083,428 | |
| | Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | | 550,960 | | | 577,930 | |
| | Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | | 1,970,895 | | | 2,074,861 | |
| | Drive Auto Receivables Trust 2017-3, 3.5300%, 12/15/23 (144A) | | 6,070 | | | 6,074 | |
| | Exeter Automobile Receivables Trust 2019-1, 5.2000%, 1/15/26 (144A) | | 545,000 | | | 572,850 | |
| | Exeter Automobile Receivables Trust 2021-1A C, 0.7400%, 1/15/26 | | 181,000 | | | 180,360 | |
| | Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | | 580,000 | | | 576,495 | |
| | Extended Stay America Trust 2021-ESH A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.0800%, 1.1900%, 7/15/38 (144A)‡ | | 1,498,206 | | | 1,498,530 | |
| | Extended Stay America Trust 2021-ESH B, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3800%, 1.4900%, 7/15/38 (144A)‡ | | 407,878 | | | 408,434 | |
| | Fannie Mae Connecticut Avenue Securities, | | | | | | |
| | ICE LIBOR USD 1 Month + 5.0000%, 5.1028%, 7/25/25‡ | | 288,890 | | | 295,947 | |
| | Fannie Mae Connecticut Avenue Securities, | | | | | | |
| | ICE LIBOR USD 1 Month + 5.7000%, 5.8028%, 4/25/28‡ | | 301,256 | | | 317,221 | |
| | Fannie Mae REMICS, 3.0000%, 5/25/48 | | 1,189,535 | | | 1,237,466 | |
| | Fannie Mae REMICS, 3.0000%, 11/25/49 | | 1,213,462 | | | 1,261,575 | |
| | Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)‡ | | 3,749,466 | | | 3,815,082 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, | | | | | | |
| | ICE LIBOR USD 1 Month + 5.5500%, 5.6528%, 7/25/28‡ | | 260,579 | | | 270,206 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.9500%, 2.0528%, 10/25/49 (144A)‡ | | 66,870 | | | 67,051 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.0000%, 2.0497%, 12/25/50 (144A)‡ | | 910,000 | | | 914,349 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.1500%, 3.2528%, 9/25/50 (144A)‡ | | 158,619 | | | 158,955 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.6000%, 2.6497%, 11/25/50 (144A)‡ | | 1,344,090 | | | 1,356,783 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.3000%, 2.3497%, 8/25/33 (144A)‡ | | 442,000 | | | 448,973 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.2500%, 2.2997%, 8/25/33 (144A)‡ | | 476,000 | | | 478,821 | |
| | Great Wolf Trust, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.0340%, 1.1440%, 12/15/36 (144A)‡ | | 293,000 | | | 292,557 | |
| | Great Wolf Trust, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3340%, 1.4440%, 12/15/36 (144A)‡ | | 328,000 | | | 326,929 | |
| | Great Wolf Trust, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6330%, 1.7430%, 12/15/36 (144A)‡ | | 365,000 | | | 362,914 | |
| | GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡ | | 371,605 | | | 417,365 | |
| | GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡ | | 618,450 | | | 684,577 | |
| | Highbridge Loan Management Ltd 2021-16A A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1400%, 1.3953%, 1/23/35 (144A)‡ | | 1,750,000 | | | 1,748,945 | |
| | Highbridge Loan Management Ltd 2021-16A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 1.9553%, 1/23/35 (144A)‡ | | 753,000 | | | 752,434 | |
| | Jack in the Box Funding LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | | 1,182,068 | | | 1,262,101 | |
| | Jack in the Box Funding LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | | 1,182,068 | | | 1,186,559 | |
| | Jack in the Box Funding LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | | 1,182,068 | | | 1,222,719 | |
| | JP Morgan Mortgage Trust 2021-11 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 0.8997%, 1/25/52 (144A)‡ | | 825,707 | | | 825,361 | |
| | JP Morgan Mortgage Trust 2021-12 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 0.8997%, 2/25/52 (144A)‡ | | 516,379 | | | 516,379 | |
| | LAD Auto Receivables Trust 2021-1A A, 1.3000%, 8/17/26 (144A) | | 890,480 | | | 887,267 | |
| | Life Financial Services Trust 2021-BMR A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.7000%, 0.8100%, 3/15/38 (144A)‡ | | 2,198,000 | | | 2,191,544 | |
| | Life Financial Services Trust 2021-BMR C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.1000%, 1.2100%, 3/15/38 (144A)‡ | | 1,052,000 | | | 1,040,145 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | Logan CLO II Ltd 2021-2A A, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1500%, 1.3974%, 1/20/35 (144A)‡ | | $1,770,000 | | | $1,768,915 | |
| | Logan CLO II Ltd 2021-2A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 1.9474%, 1/20/35 (144A)‡ | | 725,000 | | | 724,441 | |
| | LUXE Commercial Mortgage Trust 2021-TRIP A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.0500%, 1.1600%, 10/15/38 (144A)‡ | | 2,499,000 | | | 2,505,091 | |
| | MED Trust 2021-MDLN C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.8000%, 1.9100%, 11/15/38 (144A)‡ | | 333,000 | | | 331,891 | |
| | MED Trust 2021-MDLN D, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.0000%, 2.1100%, 11/15/38 (144A)‡ | | 338,000 | | | 336,793 | |
| | MED Trust 2021-MDLN E, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.1500%, 3.2600%, 11/15/38 (144A)‡ | | 1,499,000 | | | 1,487,240 | |
| | MED Trust 2021-MDLN F, | | | | | | |
| | ICE LIBOR USD 1 Month + 4.0000%, 4.1100%, 11/15/38 (144A)‡ | | 943,000 | | | 935,928 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.9500%, 0.9997%, 8/25/51 (144A)‡ | | 779,609 | | | 794,646 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.9500%, 0.9997%, 10/25/51 (144A)‡ | | 1,028,175 | | | 1,030,313 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3, | | | | | | |
| | 2.5000%, 12/25/51 (144A)‡ | | 910,018 | | | 909,881 | |
| | Mercury Financial Credit Card Master Trust 2021-1A A, | | | | | | |
| | 1.5400%, 3/20/26 (144A) | | 985,000 | | | 985,489 | |
| | MHC Commercial Mortgage Trust 2021-MHC A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8010%, 0.9107%, 4/15/38 (144A)‡ | | 1,980,503 | | | 1,972,904 | |
| | MHC Commercial Mortgage Trust 2021-MHC C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3510%, 1.4607%, 4/15/38 (144A)‡ | | 954,704 | | | 949,735 | |
| | Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49 | | 594,000 | | | 615,030 | |
| | Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48 | | 447,000 | | | 479,175 | |
| | Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51 | | 590,372 | | | 662,532 | |
| | Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51 | | 883,008 | | | 1,001,547 | |
| | MRA Issuance Trust 2021-NA1 A1X, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.5000%, 1.5993%, 3/8/22 (144A)‡ | | 1,734,000 | | | 1,734,359 | |
| | New Residential Mortgage Loan Trust 2018-2, | | | | | | |
| | ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | | 282,064 | | | 300,550 | |
| | Newday Funding Master Issuer PLC 2021-1A A2, | | | | | | |
| | SOFR + 1.1000%, 1.1500%, 3/15/29 (144A)‡ | | 693,000 | | | 697,859 | |
| | NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | | | | | | |
| | 3.8440%, 12/25/25 (144A) | | 297,154 | | | 298,420 | |
| | NRZ Excess Spread Collateralized Notes 2021-FHT1 A, 3.1040%, 7/25/26 (144A) | | 864,415 | | | 861,393 | |
| | Oak Street Investment Grade Net Lease Fund 2020-1A A1, | | | | | | |
| | 1.8500%, 11/20/50 (144A) | | 757,415 | | | 749,527 | |
| | Oceanview Mortgage Trust 2021-4 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 0.8997%, 10/25/51 (144A)‡ | | 1,157,318 | | | 1,154,891 | |
| | Oceanview Mortgage Trust 2021-5 AF, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 0.8980%, 11/25/51 (144A)‡ | | 1,178,387 | | | 1,175,945 | |
| | Octagon Investment Partners 48 Ltd 2020-3A AR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1500%, 1.2769%, 10/20/34 (144A)‡ | | 1,322,000 | | | 1,320,447 | |
| | Octagon Investment Partners 48 Ltd 2020-3A BR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.6000%, 1.7269%, 10/20/34 (144A)‡ | | 297,000 | | | 294,789 | |
| | OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | | 254,000 | | | 254,231 | |
| | OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | | 252,000 | | | 252,261 | |
| | Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)‡ | | 1,105,390 | | | 1,105,125 | |
| | Planet Fitness Master Issuer LLC 2018-1A, 4.2620%, 9/5/48 (144A) | | 548,573 | | | 548,573 | |
| | Planet Fitness Master Issuer LLC 2019-1A, 3.8580%, 12/5/49 (144A) | | 939,820 | | | 962,806 | |
| | Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | | 619,354 | | | 618,647 | |
| | Preston Ridge Partners Mortgage Trust 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç | | 1,315,240 | | | 1,311,897 | |
| | Preston Ridge Partners Mortgage Trust 2021-9 A1, 2.3630%, 10/25/26 (144A)‡ | | 1,289,123 | | | 1,281,826 | |
| | Preston Ridge Partners Mortgage Trust 2021-RPL2 A1, | | | | | | |
| | 1.4550%, 10/25/51 (144A)‡ | | 1,458,551 | | | 1,450,206 | |
| | | | | | | | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | Regatta XXIII Funding Ltd 2021-4A A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1500%, 1.2604%, 1/20/35 (144A)‡ | | $1,970,840 | | | $1,969,648 | |
| | Regatta XXIII Funding Ltd 2021-4A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 1.8104%, 1/20/35 (144A)‡ | | 788,000 | | | 787,406 | |
| | Santander Bank Auto Credit-Linked Notes 2021-1A B, 1.8330%, 12/15/31 (144A) | | 456,000 | | | 455,579 | |
| | Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | | 1,414,000 | | | 1,424,104 | |
| | Santander Drive Auto Receivables Trust 2021-1 D, 1.1300%, 11/16/26 | | 2,418,000 | | | 2,405,201 | |
| | Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | | 123,842 | | | 125,524 | |
| | Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | | | | | | |
| | ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | | 36,651 | | | 42,272 | |
| | Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | | 153,294 | | | 176,713 | |
| | Spruce Hill Mortgage Loan Trust 2020-SH2, 3.4070%, 6/25/55 (144A)‡ | | 89,478 | | | 89,886 | |
| | Taco Bell Funding LLC 2016-1A A23, 4.9700%, 5/25/46 (144A) | | 600,695 | | | 626,789 | |
| | Taco Bell Funding LLC 2018-1A A2II, 4.9400%, 11/25/48 (144A) | | 503,430 | | | 547,182 | |
| | Taco Bell Funding LLC 2021-1A A2I, 1.9460%, 8/25/51 (144A) | | 714,000 | | | 690,863 | |
| | Taco Bell Funding LLC 2021-1A A2II, 2.2940%, 8/25/51 (144A) | | 859,000 | | | 835,148 | |
| | Tesla Auto Lease Trust 2021-B A3, 0.6000%, 9/22/25 (144A) | | 561,000 | | | 554,070 | |
| | Tesla Auto Lease Trust 2021-B B, 0.9100%, 9/22/25 (144A) | | 288,000 | | | 283,908 | |
| | Theorem Funding Trust 2021-1A A, 1.2100%, 12/15/27 (144A) | | 662,854 | | | 661,527 | |
| | UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A) | | 610,000 | | | 611,014 | |
| | United Wholesale Mortgage LLC 2021-INV1 A9, | | | | | | |
| | US 30 Day Average SOFR + 0.9000%, 0.9497%, 8/25/51 (144A)‡ | | 961,892 | | | 961,891 | |
| | United Wholesale Mortgage LLC 2021-INV2 A9, | | | | | | |
| | US 30 Day Average SOFR + 1.0000%, 1.0497%, 9/25/51 (144A)‡ | | 1,012,191 | | | 1,016,361 | |
| | United Wholesale Mortgage LLC 2021-INV4 A3, 2.5000%, 12/25/51 (144A)‡ | | 711,345 | | | 710,400 | |
| | Upstart Securitization Trust 2021-4 A, 0.8400%, 9/20/31 (144A) | | 864,650 | | | 856,663 | |
| | Upstart Securitization Trust 2021-5 A, 1.3100%, 11/20/31 (144A) | | 567,000 | | | 564,390 | |
| | Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | | 1,453,000 | | | 1,413,878 | |
| | Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | | 634,000 | | | 617,503 | |
| | VASA Trust 2021-VASA A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9000%, 1.0100%, 7/15/39 (144A)‡ | | 605,000 | | | 601,063 | |
| | VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | | 273,715 | | | 272,784 | |
| | VMC Finance LLC 2021-HT1 A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 1.7400%, 1/18/37 (144A)‡ | | 940,000 | | | 940,590 | |
| | Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.1500%, 1.2600%, 2/15/40 (144A)‡ | | 435,421 | | | 435,444 | |
| | Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | | 103,680 | | | 107,296 | |
| | Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | | 532,680 | | | 550,147 | |
| | Wendy's Funding LLC 2021-1A A2II, 2.7750%, 6/15/51 (144A) | | 397,005 | | | 394,181 | |
| | Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | | 637,000 | | | 649,129 | |
| | Wingstop Funding LLC 2020-1A A2, 2.8410%, 12/5/50 (144A) | | 910,425 | | | 920,823 | |
| | Woodward Capital Management 2021-3 A21, | | | | | | |
| | US 30 Day Average SOFR + 0.8000%, 0.8497%, 7/25/51 (144A)‡ | | 798,839 | | | 797,157 | |
| | Zaxby's Funding LLC 2021-1A A2, 3.2380%, 7/30/51 (144A) | | 535,658 | | | 540,666 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $139,963,871) | | 140,306,242 | |
Bank Loans and Mezzanine Loans– 2.7% | | | |
Basic Industry – 0.4% | | | |
| | Alpha 3 BV, ICE LIBOR USD 1 Month + 2.5000%, 3.0000%, 3/18/28‡ | | 1,134,300 | | | 1,134,307 | |
| | Diamond BC BV, ICE LIBOR USD 3 Month + 3.0000%, 3.5000%, 9/29/28‡ | | 1,830,000 | | | 1,821,417 | |
| | | 2,955,724 | |
Capital Goods – 0.5% | | | |
| | Madison IAQ LLC, ICE LIBOR USD 3 Month + 3.2500%, 3.7500%, 6/21/28‡ | | 2,521,741 | | | 2,524,209 | |
| | Standard Industries Inc, ICE LIBOR USD 3 Month + 2.5000%, 3.0000%, 9/22/28‡ | | 864,330 | | | 864,693 | |
| | | 3,388,902 | |
Consumer Non-Cyclical – 1.0% | | | |
| | Elanco Animal Health Inc, ICE LIBOR USD 1 Month + 1.7500%, 1.8493%, 8/1/27‡ | | 2,464,153 | | | 2,435,812 | |
| | ICON Luxembourg Sarl, ICE LIBOR USD 3 Month + 2.2500%, 2.7500%, 7/3/28‡ | | 2,080,794 | | | 2,079,920 | |
| | Indigo Merger Sub Inc, ICE LIBOR USD 3 Month + 2.2500%, 2.7500%, 7/3/28‡ | | 518,431 | | | 518,213 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Bank Loans and Mezzanine Loans– (continued) | | | |
Consumer Non-Cyclical– (continued) | | | |
| | Mozart Borrower LP, ICE LIBOR USD 1 Month + 3.2500%, 3.7500%, 10/23/28‡ | | $1,361,871 | | | $1,361,272 | |
| | | 6,395,217 | |
Finance Companies – 0.3% | | | |
| | Castlelake Aviation Ltd, | | | | | | |
| | ICE LIBOR USD 3 Month + 2.7500%, 3.2500%, 10/22/26‡ | | 1,871,598 | | | 1,861,660 | |
Financial Institutions – 0.3% | | | |
| | Trans Union LLC, ICE LIBOR USD 3 Month + 2.2500%, 2.7500%, 12/1/28ƒ,‡ | | 2,115,000 | | | 2,108,126 | |
Technology – 0.2% | | | |
| | MKS Instruments Inc, ICE LIBOR USD 3 Month + 2.2500%, 2.7500%, 10/20/28ƒ,‡ | | 1,475,000 | | | 1,470,944 | |
Total Bank Loans and Mezzanine Loans (cost $18,185,658) | | 18,180,573 | |
Corporate Bonds– 26.9% | | | |
Banking – 4.7% | | | |
| | Bank of America Corp, ICE LIBOR USD 3 Month + 1.0600%, 3.5590%, 4/23/27‡ | | 1,186,000 | | | 1,268,251 | |
| | Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | | 1,292,000 | | | 1,402,120 | |
| | Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%‡,µ | | 1,613,000 | | | 1,735,991 | |
| | Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%‡,#,µ | | 549,000 | | | 566,843 | |
| | BNP Paribas SA, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 2.0500%, 2.5880%, 8/12/35 (144A)‡ | | 2,256,000 | | | 2,161,279 | |
| | Citigroup Inc, ICE LIBOR USD 3 Month + 4.0680%, 5.9500%‡,µ | | 1,129,000 | | | 1,162,870 | |
| | Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%‡,µ | | 668,000 | | | 680,525 | |
| | Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%‡,µ | | 877,000 | | | 938,390 | |
| | Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%‡,µ | | 152,000 | | | 159,316 | |
| | Credit Agricole SA, 4.3750%, 3/17/25 (144A) | | 688,000 | | | 738,788 | |
| | Goldman Sachs Group Inc, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 3.2240%, 4.9500%‡,µ | | 457,000 | | | 474,138 | |
| | JPMorgan Chase & Co, SOFR + 1.8500%, 2.0830%, 4/22/26‡ | | 631,000 | | | 640,445 | |
| | JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | | 1,936,000 | | | 2,091,822 | |
| | JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31‡ | | 1,723,000 | | | 1,783,949 | |
| | JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%‡,µ | | 548,000 | | | 563,070 | |
| | JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%‡,µ | | 579,000 | | | 594,199 | |
| | Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | | 1,856,000 | | | 1,892,409 | |
| | Morgan Stanley, 3.9500%, 4/23/27 | | 1,829,000 | | | 2,013,510 | |
| | Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡ | | 808,000 | | | 800,035 | |
| | Morgan Stanley, SOFR + 1.3600%, 2.4840%, 9/16/36‡ | | 2,808,000 | | | 2,703,963 | |
| | SVB Financial Group, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 3.0740%, 4.2500%‡,µ | | 2,832,000 | | | 2,871,648 | |
| | SVB Financial Group, | | | | | | |
| | US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%‡,µ | | 1,753,000 | | | 1,733,717 | |
| | US Bancorp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 0.9500%, 2.4910%, 11/3/36‡ | | 1,769,000 | | | 1,762,197 | |
| | Westpac Banking Corp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | | 1,504,000 | | | 1,465,118 | |
| | | 32,204,593 | |
Basic Industry – 0.3% | | | |
| | CF Industries Inc, 5.1500%, 3/15/34 | | 88,000 | | | 106,303 | |
| | CF Industries Inc, 4.9500%, 6/1/43 | | 874,000 | | | 1,055,042 | |
| | CF Industries Inc, 5.3750%, 3/15/44 | | 632,000 | | | 797,015 | |
| | | 1,958,360 | |
Brokerage – 0.7% | | | |
| | Charles Schwab Corp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 4.9710%, 5.3750%‡,µ | | 3,163,000 | | | 3,447,670 | |
| | Pershing Square Holdings Ltd, 3.2500%, 10/1/31 (144A) | | 1,600,000 | | | 1,601,747 | |
| | | 5,049,417 | |
Capital Goods – 0.7% | | | |
| | Boeing Co, 4.8750%, 5/1/25 | | 1,109,000 | | | 1,213,324 | |
| | Boeing Co, 2.1960%, 2/4/26 | | 544,000 | | | 543,870 | |
| | Boeing Co, 3.6250%, 2/1/31 | | 813,000 | | | 866,971 | |
| | Boeing Co, 3.9500%, 8/1/59 | | 762,000 | | | 791,496 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Capital Goods– (continued) | | | |
| | Standard Industries Inc/NJ, 4.3750%, 7/15/30 (144A) | | $388,000 | | | $395,956 | |
| | Wabtec Corp, 4.9500%, 9/15/28 | | 821,000 | | | 933,240 | |
| | | 4,744,857 | |
Communications – 2.0% | | | |
| | CCO Holdings LLC / CCO Holdings Capital Corp, 4.2500%, 2/1/31 (144A) | | 1,801,000 | | | 1,816,813 | |
| | CenturyLink Inc, 5.8000%, 3/15/22 | | 589,000 | | | 593,417 | |
| | Charter Communications Operating LLC / Charter Communications Operating | | | | | | |
| | Capital, 4.8000%, 3/1/50 | | 801,000 | | | 896,827 | |
| | Comcast Corp, 3.7500%, 4/1/40 | | 184,000 | | | 205,993 | |
| | CSC Holdings LLC, 4.1250%, 12/1/30 (144A) | | 1,789,000 | | | 1,746,511 | |
| | CSC Holdings LLC, 4.6250%, 12/1/30 (144A) | | 366,000 | | | 346,328 | |
| | CSC Holdings LLC, 3.3750%, 2/15/31 (144A) | | 1,165,000 | | | 1,090,731 | |
| | CSC Holdings LLC, 5.0000%, 11/15/31 (144A) | | 692,000 | | | 666,915 | |
| | GCI LLC, 4.7500%, 10/15/28 (144A) | | 2,696,000 | | | 2,766,770 | |
| | Netflix Inc, 3.6250%, 6/15/25 (144A) | | 3,462,000 | | | 3,648,256 | |
| | | 13,778,561 | |
Consumer Cyclical – 1.9% | | | |
| | 1011778 BC ULC / New Red Finance Inc, 4.0000%, 10/15/30 (144A) | | 3,294,000 | | | 3,236,355 | |
| | Ford Motor Co, 3.2500%, 2/12/32 | | 1,792,000 | | | 1,835,008 | |
| | GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | | 495,000 | | | 542,150 | |
| | GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | | 931,000 | | | 1,036,734 | |
| | GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | | 100,000 | | | 113,520 | |
| | GLP Capital LP / GLP Financing II Inc, 3.2500%, 1/15/32 | | 1,320,000 | | | 1,327,115 | |
| | IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | | 1,914,000 | | | 2,083,868 | |
| | Lithia Motors Inc, 3.8750%, 6/1/29 (144A) | | 2,351,000 | | | 2,400,136 | |
| | MGM Resorts International, 7.7500%, 3/15/22 | | 217,000 | | | 219,713 | |
| | | 12,794,599 | |
Consumer Non-Cyclical – 4.5% | | | |
| | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc, | | | | | | |
| | 4.9000%, 2/1/46 | | 1,638,000 | | | 2,070,325 | |
| | Aramark Services Inc, 6.3750%, 5/1/25 (144A) | | 1,476,000 | | | 1,542,420 | |
| | DaVita Inc, 4.6250%, 6/1/30 (144A) | | 1,173,000 | | | 1,200,859 | |
| | Elanco Animal Health Inc, 5.2720%, 8/28/23 | | 1,274,000 | | | 1,355,555 | |
| | Grifols Escrow Issuer SA, 4.7500%, 10/15/28 (144A) | | 2,452,000 | | | 2,501,579 | |
| | Hasbro Inc, 3.9000%, 11/19/29 | | 2,037,000 | | | 2,245,866 | |
| | Hasbro Inc, 6.3500%, 3/15/40 | | 226,000 | | | 311,816 | |
| | Hasbro Inc, 5.1000%, 5/15/44 | | 218,000 | | | 271,334 | |
| | HCA Inc, 5.3750%, 2/1/25 | | 642,000 | | | 705,558 | |
| | HCA Inc, 3.5000%, 9/1/30 | | 930,000 | | | 982,894 | |
| | HCA Inc, 5.2500%, 6/15/49 | | 424,000 | | | 544,552 | |
| | HCA Inc, 3.5000%, 7/15/51 | | 1,625,000 | | | 1,656,641 | |
| | JBS Finance Luxembourg Sarl, 3.6250%, 1/15/32 (144A) | | 923,000 | | | 926,470 | |
| | JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | | 717,000 | | | 773,471 | |
| | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | | | | | | |
| | 6.5000%, 4/15/29 (144A) | | 2,077,000 | | | 2,284,721 | |
| | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | | | | | | |
| | 5.5000%, 1/15/30 (144A) | | 1,754,000 | | | 1,907,475 | |
| | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | | | | | | |
| | 3.7500%, 12/1/31 (144A) | | 873,000 | | | 886,095 | |
| | Kraft Heinz Foods Co, 3.8750%, 5/15/27 | | 1,162,000 | | | 1,255,125 | |
| | Kraft Heinz Foods Co, 5.0000%, 6/4/42 | | 797,000 | | | 991,434 | |
| | Kraft Heinz Foods Co, 4.3750%, 6/1/46 | | 229,000 | | | 268,159 | |
| | Kraft Heinz Foods Co, 4.8750%, 10/1/49 | | 536,000 | | | 673,185 | |
| | Pilgrim's Pride Corp, 3.5000%, 3/1/32 (144A) | | 1,362,000 | | | 1,375,620 | |
| | Royalty Pharma PLC, 2.1500%, 9/2/31 | | 1,094,000 | | | 1,033,457 | |
| | Royalty Pharma PLC, 3.5500%, 9/2/50 | | 1,079,000 | | | 1,069,795 | |
| | Royalty Pharma PLC, 3.3500%, 9/2/51 | | 752,000 | | | 719,315 | |
| | Teva Pharmaceutical Industries Ltd, 4.7500%, 5/9/27 | | 482,000 | | | 477,599 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Consumer Non-Cyclical– (continued) | | | |
| | Teva Pharmaceutical Industries Ltd, 5.1250%, 5/9/29 | | $615,000 | | | $602,891 | |
| | | 30,634,211 | |
Electric – 1.1% | | | |
| | CMS Energy Corp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | | 1,351,000 | | | 1,469,212 | |
| | Dominion Energy Inc, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 3.1950%, 4.3500%‡,µ | | 847,000 | | | 874,527 | |
| | Duquesne Light Holdings Inc, 2.7750%, 1/7/32 (144A) | | 1,177,000 | | | 1,162,930 | |
| | IPALCO Enterprises Inc, 4.2500%, 5/1/30 | | 1,455,000 | | | 1,596,807 | |
| | NextEra Energy Capital Holdings Inc, 1.8750%, 1/15/27 | | 1,827,000 | | | 1,837,834 | |
| | NextEra Energy Capital Holdings Inc, 2.4400%, 1/15/32 | | 543,000 | | | 544,213 | |
| | NRG Energy Inc, 6.6250%, 1/15/27 | | 274,000 | | | 284,833 | |
| | | 7,770,356 | |
Energy – 1.5% | | | |
| | Cheniere Energy Partners LP, 4.0000%, 3/1/31 | | 971,000 | | | 1,018,530 | |
| | Cheniere Energy Partners LP, 3.2500%, 1/31/32 (144A) | | 1,086,000 | | | 1,096,860 | |
| | Continental Resources Inc, 5.7500%, 1/15/31 (144A) | | 1,477,000 | | | 1,739,345 | |
| | Energy Transfer Operating LP, 4.9500%, 6/15/28 | | 172,000 | | | 193,483 | |
| | EQT Corp, 3.1250%, 5/15/26 (144A) | | 2,447,000 | | | 2,511,919 | |
| | Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | | 2,406,000 | | | 2,505,247 | |
| | Hess Midstream Operations LP, 4.2500%, 2/15/30 (144A) | | 200,000 | | | 198,500 | |
| | Southwestern Energy Co, 4.7500%, 2/1/32 | | 1,029,000 | | | 1,083,645 | |
| | | 10,347,529 | |
Finance Companies – 1.9% | | | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | | | | | | |
| | 4.6250%, 10/15/27 | | 1,382,000 | | | 1,528,777 | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | | | | | | |
| | 3.0000%, 10/29/28 | | 889,000 | | | 901,567 | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.3000%, 1/30/32 | | 912,000 | | | 929,120 | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | | | | | | |
| | 3.4000%, 10/29/33 | | 668,000 | | | 680,100 | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, | | | | | | |
| | 3.8500%, 10/29/41 | | 508,000 | | | 529,152 | |
| | Air Lease Corp, 1.8750%, 8/15/26 | | 1,246,000 | | | 1,225,375 | |
| | Air Lease Corp, 3.0000%, 2/1/30 | | 616,000 | | | 614,829 | |
| | Ares Capital Corp, 3.2000%, 11/15/31 | | 1,264,000 | | | 1,242,742 | |
| | Quicken Loans LLC, 3.6250%, 3/1/29 (144A) | | 1,220,000 | | | 1,224,575 | |
| | Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | | 2,183,000 | | | 2,215,745 | |
| | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc, | | | | | | |
| | 2.8750%, 10/15/26 (144A) | | 986,000 | | | 978,605 | |
| | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc, | | | | | | |
| | 4.0000%, 10/15/33 (144A) | | 983,000 | | | 995,661 | |
| | | 13,066,248 | |
Industrial Conglomerates – 0.3% | | | |
| | General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 3.5328%‡,µ | | 1,937,000 | | | 1,917,630 | |
Insurance – 1.8% | | | |
| | Athene Global Funding, 1.7300%, 10/2/26 (144A) | | 2,272,000 | | | 2,229,935 | |
| | Athene Global Funding, 2.6460%, 10/4/31 (144A) | | 2,486,000 | | | 2,452,783 | |
| | Centene Corp, 4.2500%, 12/15/27 | | 1,828,000 | | | 1,905,690 | |
| | Centene Corp, 2.4500%, 7/15/28 | | 1,180,000 | | | 1,162,300 | |
| | Centene Corp, 3.0000%, 10/15/30 | | 3,443,000 | | | 3,499,844 | |
| | Centene Corp, 2.5000%, 3/1/31 | | 417,000 | | | 405,956 | |
| | Centene Corp, 2.6250%, 8/1/31 | | 365,000 | | | 357,700 | |
| | | 12,014,208 | |
Real Estate Investment Trusts (REITs) – 1.4% | | | |
| | Agree LP, 2.9000%, 10/1/30 | | 1,220,000 | | | 1,239,418 | |
| | American Homes 4 Rent LP, 2.3750%, 7/15/31 | | 623,000 | | | 610,562 | |
| | Broadstone Net Lease LLC, 2.6000%, 9/15/31 | | 1,267,000 | | | 1,229,576 | |
| | CTR Partnership LP / CareTrust Capital Corp, 3.8750%, 6/30/28 (144A) | | 870,000 | | | 887,400 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Real Estate Investment Trusts (REITs)– (continued) | | | |
| | Invitation Homes Inc, 2.0000%, 8/15/31 | | $1,301,000 | | | $1,225,144 | |
| | MPT Operating Partnership LP / MPT Finance Corp, 3.5000%, 3/15/31 | | 1,493,000 | | | 1,509,796 | |
| | Rexford Industrial Realty Inc, 2.1250%, 12/1/30 | | 1,471,000 | | | 1,397,261 | |
| | Sun Communities Inc, 2.7000%, 7/15/31 | | 1,501,000 | | | 1,488,786 | |
| | | 9,587,943 | |
Technology – 4.0% | | | |
| | Broadcom Inc, 4.3000%, 11/15/32 | | 1,057,000 | | | 1,187,831 | |
| | Broadcom Inc, 3.4190%, 4/15/33 (144A) | | 1,471,000 | | | 1,542,052 | |
| | Broadcom Inc, 3.4690%, 4/15/34 (144A) | | 2,111,000 | | | 2,209,520 | |
| | Broadridge Financial Solutions Inc, 2.6000%, 5/1/31 | | 1,286,000 | | | 1,290,809 | |
| | Cadence Design Systems Inc, 4.3750%, 10/15/24 | | 3,327,000 | | | 3,575,130 | |
| | Iron Mountain Information Management Services Inc, 5.0000%, 7/15/32 (144A) | | 2,326,000 | | | 2,380,591 | |
| | Marvell Technology Inc, 1.6500%, 4/15/26 | | 956,000 | | | 944,700 | |
| | Marvell Technology Inc, 4.8750%, 6/22/28 | | 1,296,000 | | | 1,484,359 | |
| | Microchip Technology Inc, 2.6700%, 9/1/23 | | 1,585,000 | | | 1,618,752 | |
| | Micron Technology Inc, 2.7030%, 4/15/32 | | 989,000 | | | 990,118 | |
| | Seagate HDD Cayman, 4.1250%, 1/15/31 | | 1,245,000 | | | 1,295,298 | |
| | SK Hynix Inc, 1.5000%, 1/19/26 (144A) | | 1,292,000 | | | 1,263,694 | |
| | SK Hynix Inc, 2.3750%, 1/19/31 (144A) | | 1,051,000 | | | 1,011,444 | |
| | Total System Services Inc, 4.8000%, 4/1/26 | | 2,881,000 | | | 3,198,378 | |
| | Trimble Inc, 4.7500%, 12/1/24 | | 2,018,000 | | | 2,187,693 | |
| | Trimble Inc, 4.9000%, 6/15/28 | | 838,000 | | | 953,072 | |
| | | 27,133,441 | |
Transportation – 0.1% | | | |
| | GXO Logistics inc, 1.6500%, 7/15/26 (144A) | | 1,035,000 | | | 1,009,891 | |
Total Corporate Bonds (cost $180,496,203) | | 184,011,844 | |
Inflation-Indexed Bonds– 0.5% | | | |
| | United States Treasury Inflation Indexed Bonds, 0.1250%, 7/15/31ÇÇ((cost $3,411,154) | | 3,037,027 | | | 3,413,529 | |
Mortgage-Backed Securities– 16.6% | | | |
Fannie Mae: | | | |
| | 2.0000%, TBA, 15 Year Maturity | | 2,562,198 | | | 2,624,895 | |
| | 2.5000%, TBA, 15 Year Maturity | | 1,232,300 | | | 1,274,753 | |
| | 2.0000%, TBA, 30 Year Maturity | | 22,477,689 | | | 22,411,874 | |
| | 2.5000%, TBA, 30 Year Maturity | | 19,011,733 | | | 19,408,508 | |
| | 3.0000%, TBA, 30 Year Maturity | | 15,323,470 | | | 15,876,188 | |
| | 3.5000%, TBA, 30 Year Maturity | | 7,320,484 | | | 7,699,392 | |
| | | 69,295,610 | |
Fannie Mae Pool: | | | |
| | 3.0000%, 10/1/34 | | 138,227 | | | 145,321 | |
| | 2.5000%, 11/1/34 | | 189,078 | | | 196,897 | |
| | 3.0000%, 11/1/34 | | 27,983 | | | 29,555 | |
| | 3.0000%, 12/1/34 | | 32,013 | | | 33,772 | |
| | 6.0000%, 2/1/37 | | 84,199 | | | 97,249 | |
| | 4.5000%, 11/1/42 | | 56,253 | | | 61,970 | |
| | 3.0000%, 1/1/43 | | 23,188 | | | 24,429 | |
| | 3.0000%, 2/1/43 | | 25,705 | | | 27,159 | |
| | 3.0000%, 5/1/43 | | 167,998 | | | 177,610 | |
| | 5.0000%, 7/1/44 | | 454,004 | | | 506,768 | |
| | 4.5000%, 10/1/44 | | 131,852 | | | 147,010 | |
| | 4.5000%, 3/1/45 | | 196,091 | | | 218,633 | |
| | 4.5000%, 6/1/45 | | 105,064 | | | 116,169 | |
| | 3.5000%, 12/1/45 | | 141,509 | | | 151,104 | |
| | 4.5000%, 2/1/46 | | 195,158 | | | 214,992 | |
| | 3.5000%, 7/1/46 | | 660,659 | | | 712,829 | |
| | 3.0000%, 9/1/46 | | 498,383 | | | 524,717 | |
| | 3.0000%, 2/1/47 | | 6,376,554 | | | 6,713,476 | |
| | 3.5000%, 3/1/47 | | 120,897 | | | 129,095 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Fannie Mae Pool– (continued) | | | |
| | 3.5000%, 7/1/47 | | $106,278 | | | $113,484 | |
| | 3.5000%, 8/1/47 | | 183,050 | | | 193,983 | |
| | 3.5000%, 1/1/48 | | 159,615 | | | 171,326 | |
| | 4.0000%, 1/1/48 | | 1,109,345 | | | 1,207,502 | |
| | 3.0000%, 2/1/48 | | 111,301 | | | 117,786 | |
| | 4.0000%, 3/1/48 | | 384,015 | | | 417,460 | |
| | 5.0000%, 5/1/48 | | 120,101 | | | 130,597 | |
| | 3.5000%, 7/1/48 | | 2,819,772 | | | 3,004,876 | |
| | 3.0000%, 8/1/49 | | 191,351 | | | 202,030 | |
| | 3.0000%, 9/1/49 | | 48,894 | | | 51,164 | |
| | 2.5000%, 1/1/50 | | 139,524 | | | 143,044 | |
| | 2.5000%, 10/1/50 | | 284,634 | | | 290,651 | |
| | 2.5000%, 1/1/51 | | 797,840 | | | 814,703 | |
| | 2.5000%, 8/1/51 | | 55,414 | | | 56,649 | |
| | 3.5000%, 8/1/56 | | 1,925,123 | | | 2,092,317 | |
| | 3.0000%, 2/1/57 | | 1,319,997 | | | 1,400,218 | |
| | 3.0000%, 6/1/57 | | 6,493 | | | 6,887 | |
| | | 20,643,432 | |
Freddie Mac Gold Pool: | | | |
| | 3.5000%, 1/1/47 | | 82,391 | | | 88,828 | |
Freddie Mac Pool: | | | |
| | 3.0000%, 5/1/31 | | 1,147,973 | | | 1,234,526 | |
| | 3.0000%, 9/1/32 | | 217,946 | | | 229,003 | |
| | 3.0000%, 10/1/32 | | 66,226 | | | 69,442 | |
| | 3.0000%, 1/1/33 | | 135,934 | | | 142,830 | |
| | 2.5000%, 12/1/33 | | 1,316,672 | | | 1,365,118 | |
| | 3.0000%, 10/1/34 | | 289,799 | | | 305,121 | |
| | 3.0000%, 10/1/34 | | 117,702 | | | 123,748 | |
| | 2.5000%, 11/1/34 | | 172,113 | | | 179,237 | |
| | 2.5000%, 11/1/34 | | 156,507 | | | 162,985 | |
| | 6.0000%, 4/1/40 | | 122,390 | | | 142,040 | |
| | 3.5000%, 7/1/42 | | 6,706 | | | 7,229 | |
| | 3.5000%, 8/1/42 | | 8,486 | | | 9,147 | |
| | 3.5000%, 8/1/42 | | 7,593 | | | 8,185 | |
| | 3.5000%, 2/1/43 | | 269,630 | | | 290,887 | |
| | 3.0000%, 3/1/43 | | 228,440 | | | 240,553 | |
| | 3.0000%, 6/1/43 | | 12,729 | | | 13,243 | |
| | 3.5000%, 2/1/44 | | 404,114 | | | 435,973 | |
| | 4.5000%, 5/1/44 | | 96,712 | | | 106,940 | |
| | 3.0000%, 1/1/45 | | 368,564 | | | 387,340 | |
| | 4.0000%, 2/1/46 | | 334,339 | | | 368,744 | |
| | 3.5000%, 7/1/46 | | 262,880 | | | 282,693 | |
| | 4.0000%, 3/1/47 | | 85,391 | | | 92,360 | |
| | 3.0000%, 4/1/47 | | 222,637 | | | 233,083 | |
| | 3.5000%, 2/1/48 | | 119,468 | | | 127,772 | |
| | 4.0000%, 4/1/48 | | 292,408 | | | 316,881 | |
| | 4.5000%, 7/1/48 | | 71,966 | | | 77,068 | |
| | 5.0000%, 9/1/48 | | 16,340 | | | 17,850 | |
| | 3.0000%, 8/1/49 | | 64,178 | | | 67,763 | |
| | 3.0000%, 12/1/49 | | 159,499 | | | 165,413 | |
| | 3.0000%, 12/1/49 | | 102,174 | | | 105,962 | |
| | 2.5000%, 1/1/50 | | 57,086 | | | 58,530 | |
| | 3.0000%, 3/1/50 | | 48,031 | | | 49,753 | |
| | 2.5000%, 8/1/51 | | 514,989 | | | 526,092 | |
| | | 7,943,511 | |
Ginnie Mae: | | | |
| | 2.0000%, TBA, 30 Year Maturity | | 4,749,595 | | | 4,792,294 | |
| | 2.5000%, TBA, 30 Year Maturity | | 5,481,176 | | | 5,616,671 | |
| | | 10,408,965 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
16 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Ginnie Mae I Pool: | | | |
| | 4.0000%, 1/15/45 | | $1,290,926 | | | $1,409,992 | |
| | 4.5000%, 8/15/46 | | 1,560,093 | | | 1,765,571 | |
| | 4.0000%, 8/15/47 | | 72,344 | | | 77,756 | |
| | 4.0000%, 11/15/47 | | 82,010 | | | 88,145 | |
| | 4.0000%, 12/15/47 | | 150,106 | | | 161,334 | |
| | | 3,502,798 | |
Ginnie Mae II Pool: | | | |
| | 4.0000%, 8/20/47 | | 146,293 | | | 156,187 | |
| | 4.0000%, 8/20/47 | | 39,440 | | | 42,107 | |
| | 4.0000%, 8/20/47 | | 18,158 | | | 19,482 | |
| | 4.5000%, 2/20/48 | | 236,947 | | | 254,589 | |
| | 4.0000%, 5/20/48 | | 281,053 | | | 297,557 | |
| | 4.5000%, 5/20/48 | | 322,986 | | | 344,913 | |
| | 4.5000%, 5/20/48 | | 65,301 | | | 69,734 | |
| | 4.0000%, 6/20/48 | | 412,634 | | | 436,735 | |
| | 5.0000%, 8/20/48 | | 407,711 | | | 434,682 | |
| | | 2,055,986 | |
Total Mortgage-Backed Securities (cost $112,878,084) | | 113,939,130 | |
United States Treasury Notes/Bonds– 31.7% | | | |
| | 0.1250%, 8/31/23 | | 12,675,000 | | | 12,563,599 | |
| | 0.3750%, 10/31/23 | | 3,689,700 | | | 3,667,937 | |
| | 0.2500%, 5/15/24 | | 2,729,000 | | | 2,691,796 | |
| | 0.3750%, 9/15/24 | | 3,266,000 | | | 3,219,817 | |
| | 0.3750%, 1/31/26 | | 6,697,200 | | | 6,479,018 | |
| | 0.5000%, 2/28/26 | | 14,301,000 | | | 13,894,874 | |
| | 0.7500%, 4/30/26 | | 11,864,000 | | | 11,629,037 | |
| | 0.8750%, 6/30/26 | | 17,055,000 | | | 16,784,518 | |
| | 0.6250%, 7/31/26 | | 5,661,000 | | | 5,504,659 | |
| | 0.7500%, 8/31/26 | | 3,669,000 | | | 3,586,877 | |
| | 0.8750%, 9/30/26 | | 10,730,600 | | | 10,539,042 | |
| | 1.1250%, 10/31/26 | | 55,000 | | | 54,635 | |
| | 1.2500%, 11/30/26 | | 9,436,000 | | | 9,430,102 | |
| | 1.1250%, 2/29/28 | | 348,400 | | | 343,337 | |
| | 1.2500%, 4/30/28 | | 726,700 | | | 720,086 | |
| | 1.2500%, 6/30/28 | | 1,352,000 | | | 1,338,163 | |
| | 1.1250%, 8/31/28 | | 13,945,000 | | | 13,674,816 | |
| | 1.3750%, 10/31/28 | | 1,632,000 | | | 1,625,370 | |
| | 1.3750%, 11/15/31 | | 34,033,300 | | | 33,602,566 | |
| | 1.3750%, 11/15/40 | | 3,035,000 | | | 2,765,881 | |
| | 1.7500%, 8/15/41 | | 18,011,000 | | | 17,462,227 | |
| | 2.0000%, 11/15/41 | | 1,319,000 | | | 1,334,045 | |
| | 2.7500%, 8/15/42 | | 9,057,400 | | | 10,319,775 | |
| | 1.3750%, 8/15/50 | | 12,314,500 | | | 10,787,213 | |
| | 1.6250%, 11/15/50 | | 13,482,700 | | | 12,561,558 | |
| | 1.8750%, 2/15/51 | | 3,102,000 | | | 3,069,041 | |
| | 2.3750%, 5/15/51 | | 5,705,000 | | | 6,301,351 | |
| | 2.0000%, 8/15/51 | | 792,000 | | | 807,345 | |
Total United States Treasury Notes/Bonds (cost $216,862,385) | | 216,758,685 | |
Investment Companies– 12.4% | | | |
Money Markets – 12.4% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $85,014,458) | | 85,007,069 | | | 85,015,569 | |
Investments Purchased with Cash Collateral from Securities Lending– 0% | | | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 0.0400%, 1/3/22((cost $16,920) | | $16,920 | | | 16,920 | |
Total Investments (total cost $756,828,733) – 111.3% | | 761,642,492 | |
Liabilities, net of Cash, Receivables and Other Assets – (11.3)% | | (77,612,352) | |
Net Assets – 100% | | $684,030,140 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 17 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $735,512,658 | | 96.6 | % |
Ireland | | 5,086,929 | | 0.7 | |
Canada | | 3,236,355 | | 0.4 | |
France | | 2,900,067 | | 0.4 | |
Spain | | 2,501,579 | | 0.3 | |
South Korea | | 2,275,138 | | 0.3 | |
Luxembourg | | 2,079,920 | | 0.3 | |
Belgium | | 2,070,325 | | 0.3 | |
United Kingdom | | 1,832,166 | | 0.2 | |
Guernsey | | 1,601,747 | | 0.2 | |
Australia | | 1,465,118 | | 0.2 | |
Israel | | 1,080,490 | | 0.1 | |
| | | | | | |
| | | | | | |
Total | | $761,642,492 | | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 12.4% |
Money Markets - 12.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 42,951 | $ | 200 | $ | (200) | $ | 85,015,569 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 15,272∆ | | - | | - | | - |
Total Affiliated Investments - 12.4% | $ | 58,223 | $ | 200 | $ | (200) | $ | 85,015,569 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 12.4% |
Money Markets - 12.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 33,622,864 | | 355,520,346 | | (304,127,641) | | 85,015,569 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 113,710 | | 101,360,886 | | (101,474,596) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
18 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
Schedule of Futures
| | | | | | | | | | | | | | | |
Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value and Unrealized Appreciation/(Depreciation) | | |
Futures Purchased: | | | | | | | | | | |
5 Year US Treasury Note | | 7 | | 4/5/22 | $ | 846,836 | $ | 3,555 | |
Ultra 10-Year Treasury Note | | 1 | | 3/31/22 | | 146,438 | | 2,102 | |
Total - Futures Purchased | | | | | | | | 5,657 | |
Futures Sold: | | | | | | | | | | |
2 Year US Treasury Note | | 1 | | 4/5/22 | | (218,172) | | 125 | |
Total | | | | | | | $ | 5,782 | | |
The following table, grouped by derivative type, provides information about the fair value and location of derivatives within the Statement of Assets and Liabilities as of December 31, 2021.
| | | | | | |
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2021 |
| | | | | |
| | | | | Interest Rate
Contracts |
Asset Derivatives: | | | | | |
*Futures contracts | | | $ 5,782 |
| | | | |
*The fair value presented includes net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps. In the Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in total distributable earnings (loss). |
The following tables provides information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the year ended December 31, 2021.
| | | | | |
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the year ended December 31, 2021 |
| | | | |
Amount of Realized Gain/(Loss) Recognized on Derivatives |
Derivative | | Interest Rate
Contracts |
Futures contracts | | $ (29,682) |
| | | | | |
| | | | | |
| | | | | |
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives |
Derivative | | Interest Rate
Contracts |
Futures contracts | | $ 4,196 |
| | | | | |
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 | 19 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2021
| | |
Average Ending Monthly Value of Derivative Instruments During the Year Ended December 31, 2021 |
| |
| Value* |
Futures contracts, purchased | $1,012,338 |
Futures contracts, sold | 220,189 |
| | |
* Forward foreign currency exchange contracts are reported as the average ending monthly currency amount purchased or sold. Futures contracts and centrally-cleared swaps are reported as the average ending monthly notional value. Options are reported as the average ending monthly market value. |
| |
| |
| |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
20 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information
| | |
Bloomberg U.S. Aggregate Bond Index | Bloomberg 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 year ended December 31, 2021 is $190,971,900, which represents 27.9% of net assets. |
| | |
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 December 31, 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 December 31, 2021. |
| | |
# | Loaned security; a portion of the security is on loan at December 31, 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. |
| | |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information
| | | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 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 | $ | - | $ | 140,306,242 | $ | - |
Bank Loans and Mezzanine Loans | | - | | 18,180,573 | | - |
Corporate Bonds | | - | | 184,011,844 | | - |
Inflation-Indexed Bonds | | - | | 3,413,529 | | - |
Mortgage-Backed Securities | | - | | 113,939,130 | | - |
United States Treasury Notes/Bonds | | - | | 216,758,685 | | - |
Investment Companies | | - | | 85,015,569 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 16,920 | | - |
Total Investments in Securities | $ | - | $ | 761,642,492 | $ | - |
Other Financial Instruments(a): | | | | | | |
Variation Margin Receivable on Futures Contracts | | 758 | | - | | - |
Total Assets | $ | 758 | $ | 761,642,492 | $ | - |
Liabilities | | | | | | |
Other Financial Instruments(a): | | | | | | |
Variation Margin Payable on Futures Contracts | $ | 47 | $ | - | $ | - |
| | | | | | | |
(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. |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $671,814,275)(1) | | $ | 676,626,923 | |
| Affiliated investments, at value (cost $85,014,458) | | | 85,015,569 | |
| Cash | | | 11,820 | |
| Deposits with brokers for futures | | | 20,000 | |
| Variation margin receivable on futures contracts | | | 758 | |
| Non-interested Trustees' deferred compensation | | | 17,840 | |
| Receivables: | | | | |
| | TBA investments sold | | | 13,743,534 | |
| | Interest | | | 2,517,574 | |
| | Investments sold | | | 1,951,832 | |
| | Portfolio shares sold | | | 356,460 | |
| | Dividends from affiliates | | | 5,399 | |
| Other assets | | | 6,538 | |
Total Assets | | | 780,274,247 | |
Liabilities: | | | | |
| Collateral for securities loaned (Note 3) | | | 16,920 | |
| Variation margin payable on futures contracts | | | 47 | |
| Payables: | | | — | |
| | TBA investments purchased | | | 93,390,423 | |
| | Investments purchased | | | 2,121,849 | |
| | Advisory fees | | | 295,858 | |
| | Portfolio shares repurchased | | | 124,525 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 124,214 | |
| | Professional fees | | | 47,803 | |
| | Transfer agent fees and expenses | | | 32,270 | |
| | Non-interested Trustees' deferred compensation fees | | | 17,840 | |
| | Custodian fees | | | 2,609 | |
| | Affiliated portfolio administration fees payable | | | 1,551 | |
| | Non-interested Trustees' fees and expenses | | | 213 | |
| | Accrued expenses and other payables | | | 67,985 | |
Total Liabilities | | | 96,244,107 | |
Net Assets | | $ | 684,030,140 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 669,198,763 | |
| Total distributable earnings (loss) | | | 14,831,377 | |
Total Net Assets | | $ | 684,030,140 | |
Net Assets - Institutional Shares | | $ | 136,115,129 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 11,293,161 | |
Net Asset Value Per Share | | $ | 12.05 | |
Net Assets - Service Shares | | $ | 547,915,011 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 41,275,785 | |
Net Asset Value Per Share | | $ | 13.27 | |
| |
(1) Includes $16,520 of securities on loan. See Note 3 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 23 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Interest | $ | 14,663,785 | |
| Dividends | | 119,294 | |
| Dividends from affiliates | | 42,951 | |
| Affiliated securities lending income, net | | 15,272 | |
| Unaffiliated securities lending income, net | | 388 | |
| Other income | | 91,798 | |
Total Investment Income | | 14,933,488 | |
Expenses: | | | |
| Advisory fees | | 3,221,764 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 1,280,547 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 68,622 | |
| | Service Shares | | 256,110 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 5,046 | |
| | Service Shares | | 8,426 | |
| Shareholder reports expense | | 60,911 | |
| Professional fees | | 57,311 | |
| Registration fees | | 21,607 | |
| Affiliated portfolio administration fees | | 18,113 | |
| Custodian fees | | 11,379 | |
| Non-interested Trustees’ fees and expenses | | 10,207 | |
| Other expenses | | 79,132 | |
Total Expenses | | 5,099,175 | |
Less: Excess Expense Reimbursement and Waivers | | (75,934) | |
Net Expenses | | 5,023,241 | |
Net Investment Income/(Loss) | | 9,910,247 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments | | 10,610,229 | |
| Investments in affiliates | | 200 | |
| Futures contracts | | (29,682) | |
Total Net Realized Gain/(Loss) on Investments | | 10,580,747 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments and non-interested Trustees’ deferred compensation | | (27,000,885) | |
| Investments in affiliates | | (200) | |
| Futures contracts | | 4,196 | |
Total Change in Unrealized Net Appreciation/Depreciation | | (26,996,889) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (6,505,895) | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
24 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 9,910,247 | | $ | 12,311,184 | |
| Net realized gain/(loss) on investments | | 10,580,747 | | | 30,173,772 | |
| Change in unrealized net appreciation/depreciation | | (26,996,889) | | | 14,063,511 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | (6,505,895) | | | 56,548,467 | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (6,673,456) | | | (4,451,177) | |
| | Service Shares | | (20,751,008) | | | (10,580,741) | |
Net Decrease from Dividends and Distributions to Shareholders | | (27,424,464) | | | (15,031,918) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (1,854,945) | | | (27,989,330) | |
| | Service Shares | | 80,659,280 | | | 66,237,602 | |
Net Increase/(Decrease) from Capital Share Transactions | | 78,804,335 | | | 38,248,272 | |
Net Increase/(Decrease) in Net Assets | | 44,873,976 | | | 79,764,821 | |
Net Assets: | | | | | | |
| Beginning of period | | 639,156,164 | | | 559,391,343 | |
| End of period | $ | 684,030,140 | | $ | 639,156,164 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 25 |
Janus Henderson VIT Flexible Bond Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $12.75 | | | $11.88 | | | $11.21 | | | $11.69 | | | $11.62 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.21 | | | 0.28 | | | 0.34 | | | 0.33 | | | 0.30 | |
| | Net realized and unrealized gain/(loss) | | (0.33) | | | 0.96 | | | 0.72 | | | (0.45) | | | 0.12 | |
| Total from Investment Operations | | (0.12) | | | 1.24 | | | 1.06 | | | (0.12) | | | 0.42 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.25) | | | (0.37) | | | (0.39) | | | (0.36) | | | (0.35) | |
| | Distributions (from capital gains) | | (0.33) | | | — | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.58) | | | (0.37) | | | (0.39) | | | (0.36) | | | (0.35) | |
| Net Asset Value, End of Period | | $12.05 | | | $12.75 | | | $11.88 | | | $11.21 | | | $11.69 | |
| Total Return* | | (0.90)% | | | 10.48% | | | 9.57% | | | (1.00)% | | | 3.62% | |
| Net Assets, End of Period (in thousands) | | $136,115 | | | $145,792 | | | $162,620 | | | $240,427 | | | $292,251 | |
| Average Net Assets for the Period (in thousands) | | $137,695 | | | $156,575 | | | $208,624 | | | $266,429 | | | $319,492 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.59% | | | 0.60% | | | 0.60% | | | 0.61% | | | 0.60% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.58% | | | 0.59% | | | 0.60% | | | 0.61% | | | 0.60% | |
| | Ratio of Net Investment Income/(Loss) | | 1.72% | | | 2.28% | | | 2.89% | | | 2.88% | | | 2.51% | |
| Portfolio Turnover Rate(2) | | 160% | | | 139% | | | 177% | | | 238% | | | 130% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $13.99 | | | $12.99 | | | $12.23 | | | $12.73 | | | $12.63 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.20 | | | 0.28 | | | 0.34 | | | 0.33 | | | 0.29 | |
| | Net realized and unrealized gain/(loss) | | (0.37) | | | 1.05 | | | 0.79 | | | (0.50) | | | 0.13 | |
| Total from Investment Operations | | (0.17) | | | 1.33 | | | 1.13 | | | (0.17) | | | 0.42 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.22) | | | (0.33) | | | (0.37) | | | (0.33) | | | (0.32) | |
| | Distributions (from capital gains) | | (0.33) | | | — | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.55) | | | (0.33) | | | (0.37) | | | (0.33) | | | (0.32) | |
| Net Asset Value, End of Period | | $13.27 | | | $13.99 | | | $12.99 | | | $12.23 | | | $12.73 | |
| Total Return* | | (1.18)% | | | 10.33% | | | 9.28% | | | (1.29)% | | | 3.35% | |
| Net Assets, End of Period (in thousands) | | $547,915 | | | $493,364 | | | $396,771 | | | $384,824 | | | $403,243 | |
| Average Net Assets for the Period (in thousands) | | $513,269 | | | $431,012 | | | $384,358 | | | $389,260 | | | $402,544 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.84% | | | 0.85% | | | 0.85% | | | 0.86% | | | 0.85% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.82% | | | 0.84% | | | 0.85% | | | 0.86% | | | 0.85% | |
| | Ratio of Net Investment Income/(Loss) | | 1.47% | | | 2.03% | | | 2.63% | | | 2.64% | | | 2.27% | |
| Portfolio Turnover Rate(2) | | 160% | | | 139% | | | 177% | | | 238% | | | 130% | |
| | | | | | | | | | | | | | | | | | | |
| |
* 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 | DECEMBER 31, 2021 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Flexible Bond Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. 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 year ended December 31, 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 Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
· 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 the Adviser’s 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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
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 year, the Portfolio purchased interest rate futures to increase exposure to interest rate risk.
During the year, 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 Portfolio’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 Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
LIBOR Replacement Risk
The Portfolio may invest in certain debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate (“LIBOR”) or other interbank offered rates as a reference rate for various rate calculations. The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly used U.S. dollar LIBOR settings after June 30, 2023. The elimination of LIBOR or other reference rates and the transition process away from LIBOR could adversely impact (i) volatility and liquidity in markets that are tied to those reference rates, (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 reference rates may adversely affect the Portfolio’s performance and/or net asset value. Alternatives to LIBOR are established or in development in most major currencies, including the Secured Overnight Financing Rate (“SOFR”) that is intended to replace the U.S. dollar LIBOR. The effect of the discontinuation of, LIBOR or other reference rates will depend 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 or other reference rates on the Portfolio 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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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 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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
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 December 31, 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 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.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
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.
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 | $ | 16,520 | $ | — | $ | (16,520) | $ | — |
| | | | | | | | | |
(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.
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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $16,520. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2021 is $16,920, resulting in the net amount due to the counterparty of $400.
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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
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 delivery of a specific security, the characteristics of the security delivered to the Portfolio may be less favorable than expected. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss. To facilitate TBA commitments, the Portfolio will segregate or otherwise earmark liquid assets marked to market daily in an amount at least equal to such TBA commitments. Proposed rules of the Financial Industry Regulatory Authority (“FINRA”) 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 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 the Adviser 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 Portfolio’s actual investment advisory fee rate for the reporting period was 0.49% of average annual net assets before any applicable waivers.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
The Adviser 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 the Adviser are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 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.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
5. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation and derivatives. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 2,242,927 | $ 9,277,768 | $ - | $ - | $ - | $ (17,840) | $ 3,328,522 | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 758,313,970 | $ 7,624,054 | $ (4,295,532) | $ 3,328,522 |
Information on the tax components of derivatives as of December 31, 2021 is as follows:
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 5,782 | $ - | $ - | $ - |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 15,543,824 | $ 11,880,640 | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 15,031,918 | $ - | $ - | $ - | |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ - | $ 1,190,484 | $ (1,190,484) |
6. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 2,339,467 | $ 29,065,939 | | 2,510,696 | $ 31,141,098 |
Reinvested dividends and distributions | 552,020 | 6,673,456 | | 356,034 | 4,451,177 |
Shares repurchased | (3,029,983) | (37,594,340) | | (5,127,790) | (63,581,605) |
Net Increase/(Decrease) | (138,496) | $ (1,854,945) | | (2,261,060) | $ (27,989,330) |
Service Shares: | | | | | |
Shares sold | 11,479,167 | $155,187,351 | | 11,715,760 | $159,704,605 |
Reinvested dividends and distributions | 1,559,174 | 20,751,008 | | 771,012 | 10,580,741 |
Shares repurchased | (7,036,319) | (95,279,079) | | (7,748,985) | (104,047,744) |
Net Increase/(Decrease) | 6,002,022 | $ 80,659,280 | | 4,737,787 | $ 66,237,602 |
7. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$312,188,162 | $ 442,231,645 | $ 637,669,066 | $ 498,330,625 |
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, Portfolios may elect to apply the guidance as of March 12, 2020 through December 31, 2024. Management is currently evaluating the impact, if any, of the ASU’s adoption to the Portfolio’s financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Flexible Bond Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Flexible Bond Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Flexible Bond Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Flexible Bond Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Section 163(j) Interest Dividend | 83% |
Capital Gain Distributions | $11,880,640 |
Dividends Received Deduction Percentage | 1% |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michael Keough
151 Detroit Street
Denver, CO 80206
DOB: 1978 | Executive Vice President and Co-Portfolio Manager Janus Henderson Flexible Bond Portfolio | 12/15-Present | Portfolio Manager for other Janus Henderson accounts. |
Greg Wilensky
151 Detroit Street
Denver, CO 80206
DOB: 1967 | Executive Vice President and Co-Portfolio Manager Janus Henderson Flexible Bond Portfolio | 2/20-Present | Head of U.S. Fixed Income of Janus Henderson Investors and Portfolio Manager for other Janus Henderson accounts. Formerly, Director and Lead Portfolio Manager of the U.S. Multi-Sector Fixed Income team at AllianceBernstein (2007-2019). |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
| |
| |
| |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage1
Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage2
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81114 03-22 |
| | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Forty Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Forty Portfolio
Janus Henderson VIT Forty Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT We believe that constructing a concentrated portfolio of quality growth companies will allow us to outperform our benchmark over time. We define quality as companies that enjoy sustainable “moats” around their businesses, potentially allowing them to grow faster, with higher returns, than their competitors. We believe the market often underestimates these companies’ sustainable competitive advantage periods. | | | | 
Doug Rao co-portfolio manager | 
Nick Schommer co-portfolio manager |
| | | |
PERFORMANCE OVERVIEW
For the 12-month period ended December 31, 2021, Janus Henderson VIT Forty Portfolio’s Institutional Shares and Service Shares returned 22.90% and 22.60%, respectively, versus a return of 27.60% for the Portfolio’s primary benchmark, the Russell 1000® Growth Index. The Portfolio’s secondary benchmark, the S&P 500® Index, returned 28.71% for the period.
INVESTMENT ENVIRONMENT
The Russell 1000 Growth Index posted a positive return, ending the year with significant gains despite periods of heightened market volatility. Toward the end of the period, an upsurge in COVID-19 cases due to the fast-spreading Omicron variant threatened to slow economic growth, and markets digested the likelihood for more persistent inflation. The Federal Reserve (Fed) indicated that it would accelerate the tapering of its asset purchases, hastening the withdrawal of pandemic-related stimulus. Nonetheless, markets trended higher as investors hoped that increased vaccination rates and the imminent arrival of oral antiviral drugs could help lessen the health risks posed by the COVID virus.
PERFORMANCE DISCUSSION
The Portfolio underperformed both its primary benchmark, the Russell 1000 Growth Index, and its secondary benchmark, the S&P 500 Index, during the year ended December 31, 2021. Stock selection in the Portfolio detracted from performance relative to the primary benchmark during the period.
As part of our investment strategy, we seek companies that have built clear, sustainable, competitive moats around their businesses, which gives them the potential to grow market share within their respective industries over time. Important competitive advantages could include a strong brand, network effects from a product or service that would be hard for a competitor to replicate, a lower cost structure than competitors in the industry, a distribution advantage or patent protection over valuable intellectual property. We think emphasizing these sustainable competitive advantages can be a meaningful driver of outperformance over longer time horizons because the market often underestimates the duration of growth for these companies and the long-term potential return to shareholders.
Mastercard was among the top relative detractors, as fears that COVID variants would slow a recovery in travel and business activity hurt the company’s stock. Recent innovation within the industry such as digital payments, the rise in popularity of “buy now, pay later” and the increasing acceptance of cryptocurrency have also called into question Mastercard’s role in the future of payments. We believe these concerns are largely overstated, and that Mastercard’s payments network remains positioned to be a key beneficiary as more transactions migrate from cash and check to credit card and electronic payments.
Cloud-based customer engagement platform Twilio was among the top relative detractors. Last year, the company saw demand for its core products grow swiftly as digital transformation efforts accelerated with the COVID-19 pandemic. However, more recently, the stock has suffered from difficult year-over-year comparisons and lower growth expectations. We think this is shortsighted, as the company continues to build an end-to-end customer-centric ecosystem that we believe has the potential for long-term growth.
Disney was also among the top detractors. The company’s stock suffered during the period as it reported lower-than-expected growth in new subscribers to its Disney+ online streaming service. The surge in COVID cases as a result of the Delta and Omicron variants also hurt Disney’s parks business. Longer term, we like the potential for park visits and travel to rebound strongly once the health risks of COVID subside and believe that significant new content
Janus Henderson VIT Forty Portfolio (unaudited)
releases in 2022 and 2023 could be a catalyst for new user growth for Disney+.
Private equity firm The Blackstone Group was among the top relative contributors. During the period, management raised its full-year guidance due to strong performance for their private equity strategies as well as continued inflows into their products. We believe there is a long runway for growth in Blackstone’s fee-gathering strategies, as the company remains favorably positioned to capture capital migrating to private equities — a long-term secular trend.
Nvidia, a leading producer of graphics processing units (GPUs), was also among the top contributors, as the stock outperformed following strong results. As large cloud platform providers expand investment in computing-intensive applications such as artificial intelligence and machine learning, demand for Nvidia’s GPUs continues to grow. As the company’s valuation rose during the period, we reduced our position.
Semiconductor equipment manufacturer ASML Holding was also one of the top relative contributors for the period. As long-term secular demand continues to increase in the semiconductor market, leading chipmakers have announced massive capital investment plans. ASML stands to benefit as the primary provider of extreme ultraviolet (EUV) lithography equipment that is essential in the pursuit of leading-edge semiconductor technology.
OUTLOOK
The endemic phase of the COVID pandemic has been following an unforecastable path. One of the central questions in 2022 is whether we will be in a “capital E” or “lowercase e” phase of the endemic, which will depend on how manageable the virus becomes in the months ahead. The spread of COVID variants, broadening supply chain disruptions and inflationary pressures have surely dampened growth to some extent, but we believe economic activity can continue to normalize in 2022 and expect a healthy year for earnings growth. That said, when economic normalization happens, interest rate normalization is also expected to occur, continuing the tug-of-war between rates and valuations that we have witnessed throughout the year. We would expect to continue to see bouts of market volatility as we did in 2021. Digital transformation, in our opinion, will be the primary driver of longer-term economic growth, and we believe investors would be wise to focus on this as we work through the ebb and flow of the pandemic.
As the U.S. economy retrenches away from globalization, we believe we are in the early innings of sustained lower-income wage inflation. We are beginning to see the “re-industrialization” of the U.S. economy. Our expectation is this secular repricing of low-end wages will create some headwinds on margins for companies without pricing power. However, this should be offset by higher levels of general spend within the economy as consumers now have more money in their pockets. We believe that regardless of the inflationary environment, one of the most important business attributes is pricing power.
While the threat of inflation from rising wages does exist, equities with free-cash-flow yields that are higher than other asset class yields, combined with the potential for significant free-cash-flow growth, appear attractive on a relative basis. We think that owning a portfolio of companies with attractive reinvestment opportunities, trusted relationships with their customers and some degree of pricing power can remain an effective strategy, regardless of whether we are investing in an inflationary or deflationary environment.
Thank you for your investment in Janus Henderson VIT Forty Portfolio.
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Blackstone Group Inc | 3.29% | | 1.92% | | Mastercard Inc | 5.36% | | -1.26% |
| NVIDIA Corp | 2.89% | | 0.94% | | Snap Inc - Class A | 3.24% | | -1.09% |
| PayPal Holdings Inc | 0.25% | | 0.89% | | Twilio Inc | 1.60% | | -1.01% |
| ASML Holding NV | 2.93% | | 0.85% | | CoStar Group Inc | 1.91% | | -0.89% |
| Danaher Corp | 3.20% | | 0.60% | | Walt Disney Co | 1.47% | | -0.83% |
| | | | | | | |
| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Financials | | 1.67% | | 3.67% | 2.17% |
| Health Care | | 0.72% | | 13.57% | 11.21% |
| Materials | | 0.51% | | 2.58% | 0.90% |
| Consumer Staples | | 0.21% | | 1.92% | 4.07% |
| Utilities | | 0.00% | | 0.00% | 0.02% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Communication Services | | -3.07% | | 18.38% | 12.15% |
| Consumer Discretionary | | -1.55% | | 15.09% | 17.48% |
| Industrials | | -1.28% | | 4.97% | 5.32% |
| Information Technology | | -0.68% | | 36.30% | 44.78% |
| Other** | | -0.38% | | 1.36% | 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | 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 Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 9.8% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 7.7% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 6.0% |
Mastercard Inc | |
Information Technology Services | 4.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 3.9% |
| | 31.4% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 98.6% | |
Investment Companies | | 1.2% | |
Private Investment in Public Equity (PIPES) | | 0.3% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.1% | |
Warrants | | 0.0% | |
Other | | (0.2)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 22.90% | 25.58% | 20.29% | 13.45% | | | 0.76% |
Service Shares | | 22.60% | 25.27% | 20.00% | 13.14% | | | 1.01% |
Russell 1000 Growth Index | | 27.60% | 25.32% | 19.79% | 10.18% | | | |
S&P 500 Index | | 28.71% | 18.47% | 16.55% | 9.53% | | | |
Morningstar Quartile - Institutional Shares | | 2nd | 1st | 1st | 1st | | | |
Morningstar Ranking - based on total returns for Large Growth Funds | | 527/1,244 | 208/1,124 | 99/1,022 | 10/508 | | | |
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), Environmental, Social and Governance (ESG) factors, 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 Henderson VIT Forty 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 – May 1 ,1997
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,070.90 | $4.02 | | $1,000.00 | $1,021.32 | $3.92 | 0.77% |
Service Shares | $1,000.00 | $1,069.70 | $5.37 | | $1,000.00 | $1,020.01 | $5.24 | 1.03% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 98.6% | | | |
Automobiles – 1.2% | | | |
| | Rivian Automotive Inc - Class A* | | 138,476 | | | $14,358,576 | |
Capital Markets – 3.6% | | | |
| | Blackstone Group Inc | | 348,064 | | | 45,036,001 | |
Chemicals – 2.8% | | | |
| | Sherwin-Williams Co | | 97,032 | | | 34,170,789 | |
Entertainment – 4.5% | | | |
| | Netflix Inc* | | 46,933 | | | 28,274,317 | |
| | Walt Disney Co* | | 176,345 | | | 27,314,077 | |
| | | 55,588,394 | |
Equity Real Estate Investment Trusts (REITs) – 2.7% | | | |
| | American Tower Corp | | 114,263 | | | 33,421,928 | |
Health Care Equipment & Supplies – 11.7% | | | |
| | Align Technology Inc* | | 59,456 | | | 39,073,294 | |
| | Boston Scientific Corp* | | 514,378 | | | 21,850,777 | |
| | Danaher Corp | | 142,346 | | | 46,833,258 | |
| | DexCom Inc* | | 39,662 | | | 21,296,511 | |
| | Edwards Lifesciences Corp* | | 125,970 | | | 16,319,414 | |
| | | 145,373,254 | |
Health Care Providers & Services – 1.6% | | | |
| | UnitedHealth Group Inc | | 39,973 | | | 20,072,042 | |
Hotels, Restaurants & Leisure – 0.9% | | | |
| | Caesars Entertainment Inc* | | 125,382 | | | 11,726,978 | |
Household Products – 2.1% | | | |
| | Procter & Gamble Co | | 157,909 | | | 25,830,754 | |
Information Technology Services – 6.8% | | | |
| | Mastercard Inc | | 139,030 | | | 49,956,260 | |
| | Shopify Inc* | | 7,082 | | | 9,754,676 | |
| | Twilio Inc* | | 95,716 | | | 25,205,851 | |
| | | 84,916,787 | |
Interactive Media & Services – 11.0% | | | |
| | Alphabet Inc - Class C* | | 16,836 | | | 48,716,481 | |
| | Facebook Inc* | | 116,967 | | | 39,341,850 | |
| | Match Group Inc* | | 133,469 | | | 17,651,275 | |
| | Snap Inc - Class A* | | 663,346 | | | 31,197,162 | |
| | | 136,906,768 | |
Internet & Direct Marketing Retail – 10.2% | | | |
| | Amazon.com Inc* | | 28,623 | | | 95,438,814 | |
| | Booking Holdings Inc* | | 8,631 | | | 20,707,754 | |
| | Farfetch Ltd - Class A* | | 243,531 | | | 8,141,241 | |
| | Grab Holdings Ltd - Class A*,# | | 390,057 | | | 2,781,106 | |
| | | 127,068,915 | |
Machinery – 2.1% | | | |
| | Deere & Co | | 75,739 | | | 25,970,146 | |
Metals & Mining – 0.8% | | | |
| | Freeport-McMoRan Inc | | 247,347 | | | 10,321,790 | |
Professional Services – 1.7% | | | |
| | CoStar Group Inc* | | 267,500 | | | 21,140,525 | |
Semiconductor & Semiconductor Equipment – 8.8% | | | |
| | ASML Holding NV | | 48,751 | | | 38,812,621 | |
| | NVIDIA Corp | | 104,824 | | | 30,829,787 | |
| | Taiwan Semiconductor Manufacturing Co Ltd (ADR) | | 158,012 | | | 19,010,424 | |
| | Texas Instruments Inc | | 110,751 | | | 20,873,241 | |
| | | 109,526,073 | |
Software – 15.5% | | | |
| | Adobe Inc* | | 66,783 | | | 37,869,968 | |
| | Microsoft Corp | | 361,707 | | | 121,649,298 | |
| | Unity Software Inc* | | 68,899 | | | 9,851,868 | |
| | Workday Inc - Class A* | | 84,337 | | | 23,039,182 | |
| | | 192,410,316 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Specialty Retail – 1.5% | | | |
| | TJX Cos Inc | | 247,543 | | | $18,793,465 | |
Technology Hardware, Storage & Peripherals – 6.0% | | | |
| | Apple Inc | | 418,867 | | | 74,378,213 | |
Textiles, Apparel & Luxury Goods – 3.1% | | | |
| | LVMH Moet Hennessy Louis Vuitton SE | | 25,693 | | | 21,263,858 | |
| | NIKE Inc - Class B | | 103,783 | | | 17,297,513 | |
| | | 38,561,371 | |
Total Common Stocks (cost $596,094,575) | | 1,225,573,085 | |
Private Investment in Public Equity (PIPES)– 0.3% | | | |
Diversified Financial Services – 0.3% | | | |
| | Altimeter Growth Corp*,§((cost $5,715,450) | | 571,545 | | | 4,075,116 | |
Warrants– 0% | | | |
Internet & Direct Marketing Retail – 0% | | | |
| | Grab Holdings Ltd, expires 12/1/26*((cost $181,685) | | 56,841 | | | 119,935 | |
Investment Companies– 1.2% | | | |
Money Markets – 1.2% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $14,134,404) | | 14,132,991 | | | 14,134,404 | |
Investments Purchased with Cash Collateral from Securities Lending– 0.1% | | | |
Investment Companies – 0.1% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº,£ | | 1,025,066 | | | 1,025,066 | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 0.0400%, 1/3/22 | | $256,267 | | | 256,267 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $1,281,333) | | 1,281,333 | |
Total Investments (total cost $617,407,447) – 100.2% | | 1,245,183,873 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.2)% | | (2,436,915) | |
Net Assets – 100% | | $1,242,746,958 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $1,145,300,012 | | 92.0 | % |
Netherlands | | 38,812,621 | | 3.1 | |
France | | 21,263,858 | | 1.7 | |
Taiwan | | 19,010,424 | | 1.5 | |
Canada | | 9,754,676 | | 0.8 | |
United Kingdom | | 8,141,241 | | 0.7 | |
Singapore | | 2,901,041 | | 0.2 | |
| | | | | | |
| | | | | | |
Total | | $1,245,183,873 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2021
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 1.2% |
Money Markets - 1.2% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 12,452 | $ | - | $ | - | $ | 14,134,404 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 139,314∆ | | - | | - | | 1,025,066 |
Total Affiliated Investments - 1.3% | $ | 151,766 | $ | - | $ | - | $ | 15,159,470 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 1.2% |
Money Markets - 1.2% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 22,532,880 | | 233,268,120 | | (241,666,596) | | 14,134,404 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | - | | 14,973,440 | | (13,948,374) | | 1,025,066 |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Forty Portfolio
Notes to Schedule of Investments and Other Information
| | |
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of December 31, 2021. |
| | |
# | Loaned security; a portion of the security is on loan at December 31, 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 December 31, 2021) |
| | | | | | | | Value as a | |
| | Acquisition | | | | | | % of Net | |
| | Date | | Cost | | Value | | Assets | |
Altimeter Growth Corp | 4/14/21 | $ | 5,715,450 | $ | 4,075,116 | | 0.3 | % |
| | | | | | | | | |
| | | | | | | | | |
The Portfolio has registration rights for certain restricted securities held as of December 31, 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 December 31, 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 | $ | 1,225,573,085 | $ | - | $ | - |
Private Investment in Public Equity (PIPES) | | - | | 4,075,116 | | - |
Warrants | | 119,935 | | - | | - |
Investment Companies | | - | | 14,134,404 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 1,281,333 | | - |
Total Assets | $ | 1,225,693,020 | $ | 19,490,853 | $ | - |
| | | | | | | |
Janus Henderson VIT Forty Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $602,247,977)(1) | | $ | 1,230,024,403 | |
| Affiliated investments, at value (cost $15,159,470) | | | 15,159,470 | |
| Non-interested Trustees' deferred compensation | | | 32,437 | |
| Receivables: | | | | |
| | Dividends | | | 330,157 | |
| | Portfolio shares sold | | | 31,586 | |
| | Foreign tax reclaims | | | 26,796 | |
| | Dividends from affiliates | | | 830 | |
| Other assets | | | 12,991 | |
Total Assets | | | 1,245,618,670 | |
Liabilities: | | | | |
| Collateral for securities loaned (Note 2) | | | 1,281,333 | |
| Payables: | | | — | |
| | Advisory fees | | | 708,585 | |
| | Portfolio shares repurchased | | | 481,561 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 161,815 | |
| | Transfer agent fees and expenses | | | 58,346 | |
| | Professional fees | | | 39,367 | |
| | Non-interested Trustees' deferred compensation fees | | | 32,437 | |
| | Affiliated portfolio administration fees payable | | | 2,796 | |
| | Custodian fees | | | 1,877 | |
| | Non-interested Trustees' fees and expenses | | | 438 | |
| | Accrued expenses and other payables | | | 103,157 | |
Total Liabilities | | | 2,871,712 | |
Net Assets | | $ | 1,242,746,958 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 472,196,934 | |
| Total distributable earnings (loss) | | | 770,550,024 | |
Total Net Assets | | $ | 1,242,746,958 | |
Net Assets - Institutional Shares | | $ | 523,821,700 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 8,483,154 | |
Net Asset Value Per Share | | $ | 61.75 | |
Net Assets - Service Shares | | $ | 718,925,258 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 12,693,502 | |
Net Asset Value Per Share | | $ | 56.64 | |
| |
(1) Includes $1,251,493 of securities on loan. See Note 2 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Forty Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 6,128,937 | |
| Affiliated securities lending income, net | | 139,314 | |
| Dividends from affiliates | | 12,452 | |
| Unaffiliated securities lending income, net | | 199 | |
| Foreign tax withheld | | (132,167) | |
Total Investment Income | | 6,148,735 | |
Expenses: | | | |
| Advisory fees | | 8,257,681 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 1,713,035 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 248,460 | |
| | Service Shares | | 342,607 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 17,091 | |
| | Service Shares | | 10,660 | |
| Professional fees | | 45,498 | |
| Shareholder reports expense | | 39,910 | |
| Affiliated portfolio administration fees | | 32,927 | |
| Registration fees | | 23,377 | |
| Non-interested Trustees’ fees and expenses | | 18,701 | |
| Custodian fees | | 8,334 | |
| Other expenses | | 92,134 | |
Total Expenses | | 10,850,415 | |
Net Investment Income/(Loss) | | (4,701,680) | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 149,827,984 | |
Total Net Realized Gain/(Loss) on Investments | | 149,827,984 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation | | 94,109,183 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 94,109,183 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 239,235,487 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Forty Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | (4,701,680) | | $ | (1,577,379) | |
| Net realized gain/(loss) on investments | | 149,827,984 | | | 142,555,684 | |
| Change in unrealized net appreciation/depreciation | | 94,109,183 | | | 177,594,441 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 239,235,487 | | | 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 | | 17,956,305 | | | (4,352,608) | |
| | Service Shares | | 33,063,766 | | | (32,885,634) | |
Net Increase/(Decrease) from Capital Share Transactions | | 51,020,071 | | | (37,238,242) | |
Net Increase/(Decrease) in Net Assets | | 146,137,871 | | | 209,495,870 | |
Net Assets: | | | | | | |
| Beginning of period | | 1,096,609,087 | | | 887,113,217 | |
| End of period | $ | 1,242,746,958 | | $ | 1,096,609,087 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $57.00 | | | $44.38 | | | $35.20 | | | $39.76 | | | $32.19 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.15) | | | (0.01) | | | 0.09 | | | 0.07 | | | 0.02 | |
| | Net realized and unrealized gain/(loss) | | 12.39 | | | 16.29 | | | 12.55 | | | 1.31 | | | 9.58 | |
| Total from Investment Operations | | 12.24 | | | 16.28 | | | 12.64 | | | 1.38 | | | 9.60 | |
| 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) | |
| Total Dividends and Distributions | | (7.49) | | | (3.66) | | | (3.46) | | | (5.94) | | | (2.03) | |
| Net Asset Value, End of Period | | $61.75 | | | $57.00 | | | $44.38 | | | $35.20 | | | $39.76 | |
| Total Return* | | 22.90% | | | 39.40% | | | 37.16% | | | 1.98% | | | 30.31% | |
| Net Assets, End of Period (in thousands) | | $523,822 | | | $462,216 | | | $362,001 | | | $292,132 | | | $309,258 | |
| Average Net Assets for the Period (in thousands) | | $497,818 | | | $389,419 | | | $337,416 | | | $327,962 | | | $297,125 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.77% | | | 0.76% | | | 0.77% | | | 0.71% | | | 0.82% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.77% | | | 0.76% | | | 0.77% | | | 0.71% | | | 0.82% | |
| | Ratio of Net Investment Income/(Loss) | | (0.25)% | | | (0.02)% | | | 0.23% | | | 0.17% | | | 0.05% | |
| Portfolio Turnover Rate | | 31% | | | 41% | | | 35% | | | 41% | | | 39% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $52.96 | | | $41.53 | | | $33.15 | | | $37.84 | | | $30.79 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.28) | | | (0.12) | | | (0.01) | | | (0.03) | | | (0.07) | |
| | Net realized and unrealized gain/(loss) | | 11.45 | | | 15.15 | | | 11.80 | | | 1.28 | | | 9.15 | |
| Total from Investment Operations | | 11.17 | | | 15.03 | | | 11.79 | | | 1.25 | | | 9.08 | |
| 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) | |
| Total Dividends and Distributions | | (7.49) | | | (3.60) | | | (3.41) | | | (5.94) | | | (2.03) | |
| Net Asset Value, End of Period | | $56.64 | | | $52.96 | | | $41.53 | | | $33.15 | | | $37.84 | |
| Total Return* | | 22.60% | | | 39.03% | | | 36.85% | | | 1.72% | | | 29.99% | |
| Net Assets, End of Period (in thousands) | | $718,925 | | | $634,393 | | | $525,112 | | | $427,321 | | | $466,969 | |
| Average Net Assets for the Period (in thousands) | | $686,446 | | | $548,645 | | | $495,465 | | | $487,559 | | | $457,168 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 1.02% | | | 1.01% | | | 1.02% | | | 0.96% | | | 1.06% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 1.02% | | | 1.01% | | | 1.02% | | | 0.96% | | | 1.06% | |
| | Ratio of Net Investment Income/(Loss) | | (0.50)% | | | (0.27)% | | | (0.02)% | | | (0.08)% | | | (0.19)% | |
| Portfolio Turnover Rate | | 31% | | | 41% | | | 35% | | | 41% | | | 39% | |
| | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Forty Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Forty Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Forty Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. 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 Portfolio’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
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
States. These disruptions could prevent a Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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 Henderson VIT Forty Portfolio
Notes to Financial Statements
| | | | | | | | | | |
Offsetting of Financial Assets and Derivative Assets |
| |
| | | Gross Amounts | | | | | | |
| | | of Recognized | | Offsetting Asset | | Collateral | | |
Counterparty | | Assets | | or Liability(a) | | Pledged(b) | | Net Amount |
| | | | | | | | | |
JPMorgan Chase Bank, National Association | $ | 1,251,493 | $ | — | $ | (1,251,493) | $ | — |
| | | | | | | | | |
(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.
Private Investment in Public Equity
Private investments in public equity (“PIPEs”) are equity securities privately purchased from public companies (including special purpose acquisition companies) at a specified price. PIPEs generally are not registered with the SEC until after a certain time period from the date the private sale is completed. Until the public registration process is completed, PIPEs are restricted as to resale and the Portfolio cannot freely trade the securities. Generally, such restrictions cause the PIPEs to be illiquid during this time. PIPEs may contain provisions that the issuer will pay specified financial penalties to the holder if the issuer does not publicly register the restricted equity securities within a specified period of time, but there is no assurance that the restricted equity securities will be publicly registered, or that the registration will remain in effect. To the extent that they increase the supply of a company’s stock in the market, PIPEs can potentially dilute the value of existing shares.
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
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $1,251,493. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2021 is $1,281,333, resulting in the net amount due to the counterparty of $29,840.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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 the Adviser 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.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
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 the Adviser’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease the Adviser’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 year ended December 31, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.70%.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ - | $ 145,004,112 | $ - | $ - | $ - | $ (30,813) | $625,576,725 | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 619,607,148 | $ 637,934,920 | $ (12,358,195) | $ 625,576,725 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 6,110,328 | $ 138,007,359 | $ - | $ 808,966 | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 6,253,584 | $ 65,585,050 | $ - | $ - | |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ (808,966) | $ 5,355,929 | $ (4,546,963) |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 616,212 | $ 36,999,487 | | 1,037,980 | $ 48,778,741 |
Reinvested dividends and distributions | 1,032,896 | 57,583,957 | | 667,502 | 28,629,140 |
Shares repurchased | (1,275,262) | (76,627,139) | | (1,752,621) | (81,760,489) |
Net Increase/(Decrease) | 373,846 | $ 17,956,305 | | (47,139) | $ (4,352,608) |
Service Shares: | | | | | |
Shares sold | 1,062,017 | $ 58,666,038 | | 1,055,239 | $ 47,177,425 |
Reinvested dividends and distributions | 1,689,782 | 86,533,730 | | 1,082,945 | 43,209,494 |
Shares repurchased | (2,037,017) | (112,136,002) | | (2,804,441) | (123,272,553) |
Net Increase/(Decrease) | 714,782 | $ 33,063,766 | | (666,257) | $(32,885,634) |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$360,978,807 | $ 444,925,618 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Forty Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Forty Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Forty Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and investee company. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Forty Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Capital Gain Distributions | $138,007,359 |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
A. Douglas Rao 151 Detroit Street Denver, CO 80206 DOB: 1974 | Executive Vice President and Co-Portfolio Manager Janus Henderson Forty Portfolio | 6/13-Present | Portfolio Manager for other Janus Henderson accounts. |
Nick Schommer
151 Detroit Street
Denver, CO 80206
DOB: 1978 | Executive Vice President and Co-Portfolio Manager
Janus Henderson Forty Portfolio | 1/16-Present | Portfolio Manager for other Janus Henderson accounts. |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Forty Portfolio
Notes
NotesPage1
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81115 03-22 |
| | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Global Research Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Global Research Portfolio
Janus Henderson VIT Global Research Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT We believe that the best way to generate consistent excess returns is stock picking based on independent research. We focus the risks of the Portfolio on what we feel are our strengths – research and stock selection – and seek to avoid unnecessary risks, specifically macro risks and other portfolio biases. Therefore, we let sector experts drive the process and pick their best ideas and use a portfolio oversight team to monitor the risk of the Portfolio and keep it focused on stock selection. | | | | | Team-Based Approach Led by Matthew Peron, Director of Research |
| | | |
PERFORMANCE SUMMARY
For the 12-month period ending December 31, 2021, the Janus Henderson Global Research Portfolio’s Institutional Shares and Service Shares returned 18.09% and 17.80%, respectively, while its primary benchmark, the MSCI World IndexSM, returned 21.82%. The Portfolio’s secondary benchmark, the MSCI All Country World IndexSM, returned 18.54%.
MARKET ENVIRONMENT
The approval and rollout of COVID-19 vaccines at the start of the period, as well as ongoing accommodative policies from central banks around the world, put the global economy firmly on a path to recovery. While fiscal and monetary programs supported the recovery, increasing expectations for growth and inflation pushed global bond yields higher, with the widely watched 10-year U.S. Treasury yield rising sharply in March. This fueled a rotation out of technology stocks, where high valuations were supported by the notion that growth and cost of capital will remain low, and into stocks that generally perform well in a rising rate environment. Despite continued growth in the global economy, the yield on the 10-year U.S. Treasury note pulled back in August. In November, after several months of describing the inflationary environment as “transitory,” the U.S. Federal Reserve (Fed) acknowledged that inflation was a greater concern than originally thought and announced that it would aggressively dial back its large-scale bond buying in response to rising inflation. The Fed also indicated it may raise interest rates as many as three times in 2022. While the European Central Bank kept its monetary policy unchanged, in December, the Bank of England raised interest rates – the first major central bank to increase rates since the start of the pandemic. Although rising consumer prices, persistent inflation, supply chain bottlenecks and the emergence of new variants of the COVID-19 virus fueled market volatility in the final months of the reporting period, markets finished the period with strong gains.
PERFORMANCE DISCUSSION
Our seven global sector teams employ a bottom-up, fundamental approach to identify what we consider the best global opportunities. Our analysts take a long-term view of companies with a focus on value creation and duration of growth, which may lead to high returns on invested capital. The Portfolio directly captures the insights of our teams through their highest-conviction ideas. In building a diversified portfolio, we seek to minimize macroeconomic risks while generating strong performance over longer periods.
On an individual stock basis, relative detractors included select China-based holdings, which declined following the government’s announcement that it will increase regulatory oversight in a number of industries. Detractors included resorts developer and operator Sands China, which also suffered from a slower-than-expected recovery in travel. Although we have revised our earnings estimates for Sands and other China-based holdings based on known and expected regulatory changes, we maintained our position in the company, as we believe China is committed to sustaining access to foreign investor capital.
Latin America-based e-commerce retailer MercadoLibre also struggled. The stock traded lower amid global logistics headwinds. Adding to weakness was the company’s decision to sell one million shares at a discount of approximately 5% to its closing price, thereby diluting the value of the stock for existing shareholders. Nonetheless, we remain impressed with growth trends in MercadoLibre’s e-commerce marketplace and payments network. Given that e-commerce and digital banking penetration in Latin America still is low, we remain upbeat in our outlook for the company.
Janus Henderson VIT Global Research Portfolio (unaudited)
Notable detractors also included Fidelity National Information Services (FIS), a provider of software solutions for the financial services industry. It appears the market has decided FIS is now “legacy” tech and thus a secular share donor to new fintech competitors. Our research suggests differently – FIS is well positioned to grow across both its Merchant and Banking segments and trades at a favorable valuation.
Although we are disappointed in the performance of these stocks, a number of our holdings delivered solid results, including semiconductor companies ASML Holding and Nvidia. ASML’s stock gained on optimism around expanding capital investment plans across the industry, driven by long-term secular demand for chips. Particularly notable are sizable investments planned by Samsung and Taiwan Semiconductor Manufacturing Company. Broadening adoption of extreme ultraviolet lithography (EUV) across device types along with accelerated investment in upgrading leading-edge semiconductor manufacturing continue to support our positive long-term outlook for ASML. Nvidia’s stock jumped following an announcement by social media giant Meta Platforms (formerly Facebook), which also is a Portfolio holding, that it will significantly increase its capital spending plans for 2022 as it bolsters its data center network and infrastructure. As a leading producer of graphics processing units used in data centers, we believe Nvidia could benefit.
Alternative asset management firm Blackstone Group also contributed. Performance in the company’s portfolios has been strong as a result of economic reopening, and Blackstone has been favorably positioned to capture capital migrating to alternatives, a long-term secular trend we believe is likely to continue.
OUTLOOK
Our outlook for 2022 is framed around our belief that the economic recovery will continue. With that said, the persistence of above-average inflation and shifting monetary policy could fuel market volatility. COVID-19 remains a risk to derail the expansion in 2022, but a lesser one than in 2021 given that we now have a broader set of tools that make it less likely outbreaks will be as disruptive as they were earlier in the pandemic. Notably, global supply chain disruptions remain an overhang from the pandemic, but we are optimistic they will stabilize by mid-2022. Greater concerns are inflation and Fed policy. While our view is that inflation will moderate, we are mindful that if it runs too hot for too long, central bankers globally may respond by scaling back the massive liquidity programs they introduced during the pandemic more aggressively and more quickly than initially projected. Against this backdrop, investors could find themselves navigating the market’s choppy waters in the first half of 2022 before finding solid footing in the second half.
Despite the potential for a bumpy start to 2022, we believe any market volatility would indicate a transition to the mid-cycle stage of the economic cycle – a stage in which we feel we are positioned to participate. Specifically, our holdings include companies believed to be driving or benefiting from secular growth trends such as e-commerce, cloud computing, digital payments and health care innovation. Furthermore, we are optimistic that a transition to the mid-cycle stage will likely favor our investment strategy of emphasizing quality and growth at a reasonable price and also allow broader sector participation in market gains.
Thank you for your investment in Janus Henderson VIT Global Research Portfolio.
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| ASML Holding NV | 2.74% | | 0.80% | | Sands China Ltd | 0.69% | | -0.62% |
| Blackstone Group Inc | 1.05% | | 0.59% | | Unilever PLC | 1.45% | | -0.47% |
| Ferguson PLC | 1.69% | | 0.48% | | MercadoLibre Inc | 1.00% | | -0.40% |
| NVIDIA Corp | 0.96% | | 0.42% | | Fidelity National Information Services Inc | 0.91% | | -0.40% |
| Canadian Natural Resources Ltd | 0.88% | | 0.39% | | Uber Technologies Inc | 1.09% | | -0.40% |
| | | | | | | |
| 2 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Energy | | 0.95% | | 6.07% | 5.87% |
| Technology | | 0.73% | | 18.83% | 18.68% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Financials | | -2.04% | | 18.09% | 18.26% |
| Consumer | | -1.02% | | 16.01% | 16.11% |
| Healthcare | | -0.79% | | 12.32% | 12.54% |
| Communications | | -0.63% | | 10.56% | 10.50% |
| Industrials | | -0.37% | | 17.12% | 17.16% |
| | | | | | | |
| 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | The sectors listed above reflect those covered by the six analyst teams who comprise the Janus Henderson Research Team. |
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 5.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 3.4% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 3.2% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 2.9% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 2.8% |
| | 17.3% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 99.6% | |
Preferred Stocks | | 0.2% | |
Investment Companies | | 0.1% | |
Other | | 0.1% |
| | | 100.0% |
Emerging markets comprised 5.0% of total net assets.
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 18.09% | 16.70% | 13.59% | 9.23% | | | 0.84% |
Service Shares | | 17.80% | 16.41% | 13.31% | 8.95% | | | 1.09% |
MSCI World Index | | 21.82% | 15.03% | 12.70% | 8.02% | | | |
MSCI All Country World Index | | 18.54% | 14.40% | 11.85% | N/A** | | | |
Morningstar Quartile - Institutional Shares | | 2nd | 3rd | 3rd | 2nd | | | |
Morningstar Ranking - based on total returns for World Large Stock Funds | | 89/361 | 221/303 | 153/225 | 62/92 | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
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.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,048.60 | $4.03 | | $1,000.00 | $1,021.27 | $3.97 | 0.78% |
Service Shares | $1,000.00 | $1,047.30 | $5.32 | | $1,000.00 | $1,020.01 | $5.24 | 1.03% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 99.6% | | | |
Aerospace & Defense – 1.3% | | | |
| | Airbus SE* | | 73,380 | | | $9,386,037 | |
| | L3Harris Technologies Inc | | 10,383 | | | 2,214,071 | |
| | | 11,600,108 | |
Air Freight & Logistics – 1.3% | | | |
| | United Parcel Service Inc | | 56,865 | | | 12,188,444 | |
Airlines – 0.6% | | | |
| | Ryanair Holdings PLC (ADR)* | | 52,677 | | | 5,390,437 | |
Auto Components – 1.0% | | | |
| | Aptiv PLC* | | 54,741 | | | 9,029,528 | |
Banks – 4.2% | | | |
| | BNP Paribas SA | | 119,699 | | | 8,280,806 | |
| | Citigroup Inc | | 141,885 | | | 8,568,435 | |
| | HDFC Bank Ltd | | 188,132 | | | 3,744,442 | |
| | JPMorgan Chase & Co | | 113,690 | | | 18,002,811 | |
| | | 38,596,494 | |
Beverages – 3.7% | | | |
| | Constellation Brands Inc | | 75,101 | | | 18,848,098 | |
| | Pernod Ricard SA | | 60,313 | | | 14,521,589 | |
| | | 33,369,687 | |
Biotechnology – 2.1% | | | |
| | AbbVie Inc | | 72,370 | | | 9,798,898 | |
| | Ascendis Pharma A/S (ADR)* | | 16,620 | | | 2,235,889 | |
| | Sarepta Therapeutics Inc* | | 27,478 | | | 2,474,394 | |
| | Vertex Pharmaceuticals Inc* | | 22,892 | | | 5,027,083 | |
| | | 19,536,264 | |
Building Products – 2.0% | | | |
| | Assa Abloy AB | | 283,877 | | | 8,680,043 | |
| | Daikin Industries Ltd | | 40,400 | | | 9,164,733 | |
| | | 17,844,776 | |
Capital Markets – 3.4% | | | |
| | Apollo Global Management Inc | | 115,933 | | | 8,397,027 | |
| | Blackstone Group Inc | | 75,164 | | | 9,725,470 | |
| | London Stock Exchange Group PLC | | 39,707 | | | 3,723,891 | |
| | Morgan Stanley | | 96,228 | | | 9,445,740 | |
| | | 31,292,128 | |
Chemicals – 2.1% | | | |
| | Air Products & Chemicals Inc | | 26,273 | | | 7,993,823 | |
| | Sherwin-Williams Co | | 32,113 | | | 11,308,914 | |
| | | 19,302,737 | |
Consumer Finance – 1.6% | | | |
| | Nexi SpA (144A)* | | 351,373 | | | 5,596,016 | |
| | OneMain Holdings Inc | | 79,065 | | | 3,956,413 | |
| | Synchrony Financial | | 116,085 | | | 5,385,183 | |
| | | 14,937,612 | |
Electric Utilities – 0.3% | | | |
| | NextEra Energy Inc | | 27,359 | | | 2,554,236 | |
Electronic Equipment, Instruments & Components – 1.7% | | | |
| | Hexagon AB - Class B | | 958,632 | | | 15,244,934 | |
Entertainment – 3.2% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 178,241 | | | 11,271,961 | |
| | Netflix Inc* | | 22,694 | | | 13,671,773 | |
| | Sea Ltd (ADR)* | | 16,791 | | | 3,756,315 | |
| | | 28,700,049 | |
Health Care Equipment & Supplies – 3.3% | | | |
| | Abbott Laboratories | | 57,016 | | | 8,024,432 | |
| | Boston Scientific Corp* | | 175,069 | | | 7,436,931 | |
| | Danaher Corp | | 8,698 | | | 2,861,729 | |
| | Dentsply Sirona Inc | | 56,785 | | | 3,168,035 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Health Care Equipment & Supplies– (continued) | | | |
| | DexCom Inc* | | 6,214 | | | $3,336,607 | |
| | Edwards Lifesciences Corp* | | 40,433 | | | 5,238,095 | |
| | | 30,065,829 | |
Health Care Providers & Services – 1.6% | | | |
| | Centene Corp* | | 61,280 | | | 5,049,472 | |
| | Humana Inc | | 13,900 | | | 6,447,654 | |
| | UnitedHealth Group Inc | | 5,617 | | | 2,820,520 | |
| | | 14,317,646 | |
Hotels, Restaurants & Leisure – 2.5% | | | |
| | GVC Holdings PLC* | | 417,037 | | | 9,498,508 | |
| | McDonald's Corp | | 34,644 | | | 9,287,017 | |
| | Sands China Ltd* | | 1,774,400 | | | 4,132,598 | |
| | | 22,918,123 | |
Household Durables – 0.5% | | | |
| | Roku Inc* | | 17,676 | | | 4,033,663 | |
Independent Power and Renewable Electricity Producers – 1.5% | | | |
| | NRG Energy Inc | | 181,085 | | | 7,801,142 | |
| | Vistra Energy Corp | | 259,554 | | | 5,910,045 | |
| | | 13,711,187 | |
Industrial Conglomerates – 0.6% | | | |
| | Honeywell International Inc | | 27,756 | | | 5,787,404 | |
Information Technology Services – 4.2% | | | |
| | Fidelity National Information Services Inc | | 60,393 | | | 6,591,896 | |
| | Mastercard Inc | | 44,171 | | | 15,871,524 | |
| | One 97 Communications Ltd* | | 82,212 | | | 1,476,076 | |
| | Visa Inc | | 65,360 | | | 14,164,166 | |
| | | 38,103,662 | |
Insurance – 3.5% | | | |
| | AIA Group Ltd | | 692,200 | | | 6,977,662 | |
| | Aon PLC - Class A | | 23,758 | | | 7,140,704 | |
| | Beazley PLC* | | 685,562 | | | 4,326,223 | |
| | Intact Financial Corp | | 29,997 | | | 3,899,515 | |
| | Progressive Corp | | 58,772 | | | 6,032,946 | |
| | Prudential PLC | | 223,828 | | | 3,860,566 | |
| | | 32,237,616 | |
Interactive Media & Services – 5.8% | | | |
| | Alphabet Inc - Class C* | | 10,749 | | | 31,103,199 | |
| | Facebook Inc* | | 28,943 | | | 9,734,978 | |
| | Match Group Inc* | | 26,375 | | | 3,488,094 | |
| | Snap Inc - Class A* | | 100,305 | | | 4,717,344 | |
| | Tencent Holdings Ltd | | 71,600 | | | 4,194,642 | |
| | | 53,238,257 | |
Internet & Direct Marketing Retail – 5.6% | | | |
| | Amazon.com Inc* | | 8,739 | | | 29,138,797 | |
| | Booking Holdings Inc* | | 3,495 | | | 8,385,309 | |
| | DoorDash Inc - Class A* | | 22,207 | | | 3,306,622 | |
| | Meituan Dianping (144A)* | | 91,000 | | | 2,630,577 | |
| | MercadoLibre Inc* | | 5,801 | | | 7,822,068 | |
| | | 51,283,373 | |
Life Sciences Tools & Services – 0.9% | | | |
| | Thermo Fisher Scientific Inc | | 12,885 | | | 8,597,387 | |
Machinery – 2.5% | | | |
| | Alstom SA | | 273,311 | | | 9,713,659 | |
| | Parker-Hannifin Corp | | 28,933 | | | 9,204,166 | |
| | Sany Heavy Industry Co Ltd | | 1,050,448 | | | 3,767,475 | |
| | | 22,685,300 | |
Metals & Mining – 2.0% | | | |
| | Freeport-McMoRan Inc | | 126,931 | | | 5,296,831 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Metals & Mining– (continued) | | | |
| | Rio Tinto PLC | | 77,525 | | | $5,132,452 | |
| | Teck Resources Ltd | | 281,719 | | | 8,114,345 | |
| | | 18,543,628 | |
Multi-Utilities – 0.2% | | | |
| | RWE AG | | 52,324 | | | 2,127,675 | |
Oil, Gas & Consumable Fuels – 4.2% | | | |
| | Canadian Natural Resources Ltd | | 204,238 | | | 8,631,026 | |
| | Cheniere Energy Inc | | 23,116 | | | 2,344,425 | |
| | ConocoPhillips | | 99,088 | | | 7,152,172 | |
| | EOG Resources Inc | | 56,348 | | | 5,005,393 | |
| | Marathon Petroleum Corp | | 113,544 | | | 7,265,681 | |
| | Suncor Energy Inc | | 240,752 | | | 6,024,510 | |
| | Total SE | | 28,294 | | | 1,437,521 | |
| | | 37,860,728 | |
Personal Products – 1.3% | | | |
| | Unilever PLC | | 213,531 | | | 11,438,249 | |
Pharmaceuticals – 4.9% | | | |
| | AstraZeneca PLC | | 95,240 | | | 11,184,993 | |
| | Catalent Inc* | | 50,087 | | | 6,412,639 | |
| | Eli Lilly & Co | | 10,333 | | | 2,854,181 | |
| | Horizon Therapeutics PLC* | | 39,403 | | | 4,246,067 | |
| | Novartis AG | | 85,326 | | | 7,520,004 | |
| | Roche Holding AG | | 20,376 | | | 8,480,120 | |
| | Sanofi | | 42,792 | | | 4,315,102 | |
| | | 45,013,106 | |
Road & Rail – 1.3% | | | |
| | Full Truck Alliance Co (ADR)* | | 295,341 | | | 2,472,004 | |
| | Uber Technologies Inc* | | 231,334 | | | 9,699,835 | |
| | | 12,171,839 | |
Semiconductor & Semiconductor Equipment – 8.7% | | | |
| | Advanced Micro Devices Inc* | | 58,401 | | | 8,403,904 | |
| | ASML Holding NV | | 31,862 | | | 25,633,090 | |
| | Marvell Technology Inc | | 84,334 | | | 7,378,382 | |
| | NVIDIA Corp | | 57,953 | | | 17,044,557 | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 615,000 | | | 13,675,561 | |
| | Texas Instruments Inc | | 39,815 | | | 7,503,933 | |
| | | 79,639,427 | |
Software – 8.9% | | | |
| | Adobe Inc* | | 26,437 | | | 14,991,365 | |
| | Autodesk Inc* | | 26,646 | | | 7,492,589 | |
| | Microsoft Corp | | 136,344 | | | 45,855,214 | |
| | SS&C Technologies Holdings Inc | | 48,958 | | | 4,013,577 | |
| | Workday Inc - Class A* | | 31,102 | | | 8,496,444 | |
| | | 80,849,189 | |
Technology Hardware, Storage & Peripherals – 2.9% | | | |
| | Apple Inc | | 146,791 | | | 26,065,678 | |
Textiles, Apparel & Luxury Goods – 1.8% | | | |
| | adidas AG | | 22,954 | | | 6,616,296 | |
| | NIKE Inc - Class B | | 56,919 | | | 9,486,690 | |
| | | 16,102,986 | |
Trading Companies & Distributors – 2.0% | | | |
| | Ferguson PLC | | 103,761 | | | 18,402,121 | |
Wireless Telecommunication Services – 0.4% | | | |
| | T-Mobile US Inc* | | 34,200 | | | 3,966,516 | |
Total Common Stocks (cost $538,725,391) | | 908,748,023 | |
Preferred Stocks– 0.2% | | | |
Health Care Providers & Services – 0.2% | | | |
| | API Holdings Private Ltd PP*,¢,§((cost $2,347,416) | | 3,231,470 | | | 2,331,837 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Investment Companies– 0.1% | | | |
Money Markets – 0.1% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $963,925) | | 963,829 | | | $963,925 | |
Total Investments (total cost $542,036,732) – 99.9% | | 912,043,785 | |
Cash, Receivables and Other Assets, net of Liabilities – 0.1% | | 731,261 | |
Net Assets – 100% | | $912,775,046 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $634,884,299 | | 69.6 | % |
France | | 47,654,714 | | 5.2 | |
United Kingdom | | 37,726,633 | | 4.1 | |
Netherlands | | 37,071,339 | | 4.1 | |
Canada | | 26,669,396 | | 2.9 | |
Sweden | | 23,924,977 | | 2.6 | |
Taiwan | | 17,431,876 | | 1.9 | |
Switzerland | | 16,000,124 | | 1.8 | |
China | | 13,064,698 | | 1.4 | |
Hong Kong | | 11,110,260 | | 1.2 | |
Japan | | 9,164,733 | | 1.0 | |
Germany | | 8,743,971 | | 1.0 | |
Argentina | | 7,822,068 | | 0.9 | |
India | | 7,552,355 | | 0.8 | |
Italy | | 5,596,016 | | 0.6 | |
Ireland | | 5,390,437 | | 0.6 | |
Denmark | | 2,235,889 | | 0.3 | |
| | | | | | |
| | | | | | |
Total | | $912,043,785 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2021
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 0.1% |
Money Markets - 0.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 1,041 | $ | - | $ | - | $ | 963,925 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 8,849∆ | | - | | - | | - |
Total Affiliated Investments - 0.1% | $ | 9,890 | $ | - | $ | - | $ | 963,925 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 0.1% |
Money Markets - 0.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 3,707,498 | | 64,075,119 | | (66,818,692) | | 963,925 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 1,691,642 | | 64,939,484 | | (66,631,126) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information
| | |
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 |
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 year ended December 31, 2021 is $8,226,593, which represents 0.9% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of December 31, 2021. |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the year ended December 31, 2021 is $2,331,837, 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 December 31, 2021) |
| | | | | | | | Value as a | |
| | Acquisition | | | | | | % of Net | |
| | Date | | Cost | | Value | | Assets | |
API Holdings Private Ltd PP | 9/27/21 | $ | 2,347,416 | $ | 2,331,837 | | 0.2 | % |
| | | | | | | | | |
| | | | | | | | | |
The Portfolio has registration rights for certain restricted securities held as of December 31, 2021. The issuer incurs all registration costs. | |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 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 | $ | 908,748,023 | $ | - | $ | - |
Preferred Stocks | | - | | - | | 2,331,837 |
Investment Companies | | - | | 963,925 | | - |
Total Assets | $ | 908,748,023 | $ | 963,925 | $ | 2,331,837 |
| | | | | | | |
Janus Henderson VIT Global Research Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $541,072,807) | | $ | 911,079,860 | |
| Affiliated investments, at value (cost $963,925) | | | 963,925 | |
| Cash denominated in foreign currency (cost $62,220) | | | 62,220 | |
| Non-interested Trustees' deferred compensation | | | 23,817 | |
| Receivables: | | | | |
| | Investments sold | | | 910,601 | |
| | Foreign tax reclaims | | | 367,597 | |
| | Dividends | | | 249,468 | |
| | Portfolio shares sold | | | 105,700 | |
| | Dividends from affiliates | | | 54 | |
| Other assets | | | 12,227 | |
Total Assets | | | 913,775,469 | |
Liabilities: | | | | |
| Due to custodian | | | 36 | |
| Payables: | | | — | |
| | Advisory fees | | | 534,722 | |
| | Portfolio shares repurchased | | | 159,519 | |
| | Printing fees | | | 57,590 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 57,449 | |
| | Professional fees | | | 43,743 | |
| | Transfer agent fees and expenses | | | 42,683 | |
| | Non-interested Trustees' deferred compensation fees | | | 23,817 | |
| | Non-affiliated portfolio administration fees payable | | | 23,450 | |
| | Custodian fees | | | 8,110 | |
| | Affiliated portfolio administration fees payable | | | 2,029 | |
| | Foreign tax liability | | | 1,822 | |
| | Non-interested Trustees' fees and expenses | | | 356 | |
| | Accrued expenses and other payables | | | 45,097 | |
Total Liabilities | | | 1,000,423 | |
Net Assets | | $ | 912,775,046 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 458,177,606 | |
| Total distributable earnings (loss) (includes $1,822 of foreign capital gains tax) | | | 454,597,440 | |
Total Net Assets | | $ | 912,775,046 | |
Net Assets - Institutional Shares | | $ | 653,852,998 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 9,172,593 | |
Net Asset Value Per Share | | $ | 71.28 | |
Net Assets - Service Shares | | $ | 258,922,048 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,735,724 | |
Net Asset Value Per Share | | $ | 69.31 | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Global Research Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 12,333,827 | |
| Affiliated securities lending income, net | | 8,849 | |
| Dividends from affiliates | | 1,041 | |
| Unaffiliated securities lending income, net | | 355 | |
| Other income | | 57 | |
| Foreign tax withheld | | (464,634) | |
Total Investment Income | | 11,879,495 | |
Expenses: | | | |
| Advisory fees | | 6,078,903 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 620,685 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 317,542 | |
| | Service Shares | | 124,137 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 22,191 | |
| | Service Shares | | 3,993 | |
| Professional fees | | 61,669 | |
| Shareholder reports expense | | 46,044 | |
| Custodian fees | | 36,636 | |
| Affiliated portfolio administration fees | | 24,678 | |
| Registration fees | | 23,367 | |
| Non-interested Trustees’ fees and expenses | | 14,039 | |
| Other expenses | | 83,282 | |
Total Expenses | | 7,457,166 | |
Net Investment Income/(Loss) | | 4,422,329 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 82,488,846 | |
Total Net Realized Gain/(Loss) on Investments | | 82,488,846 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation (net of decrease in deferred foreign taxes of $66,824) | | 58,401,316 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 58,401,316 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 145,312,491 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
16 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Research Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 4,422,329 | | $ | 4,653,529 | |
| Net realized gain/(loss) on investments | | 82,488,846 | | | 40,036,236 | |
| Change in unrealized net appreciation/depreciation | | 58,401,316 | | | 94,175,782 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 145,312,491 | | | 138,865,547 | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (32,926,296) | | | (31,186,676) | |
| | Service Shares | | (12,748,040) | | | (12,545,127) | |
Net Decrease from Dividends and Distributions to Shareholders | | (45,674,336) | | | (43,731,803) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (19,091,566) | | | (7,319,597) | |
| | Service Shares | | (4,426,458) | | | (5,498,429) | |
Net Increase/(Decrease) from Capital Share Transactions | | (23,518,024) | | | (12,818,026) | |
Net Increase/(Decrease) in Net Assets | | 76,120,131 | | | 82,315,718 | |
Net Assets: | | | | | | |
| Beginning of period | | 836,654,915 | | | 754,339,197 | |
| End of period | $ | 912,775,046 | | $ | 836,654,915 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 17 |
Janus Henderson VIT Global Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $63.62 | | | $56.59 | | | $47.13 | | | $51.20 | | | $40.63 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.39 | | | 0.39 | | | 0.60 | | | 0.62 | | | 0.51 | |
| | Net realized and unrealized gain/(loss) | | 10.90 | | | 10.04 | | | 12.67 | | | (4.09) | | | 10.45 | |
| Total from Investment Operations | | 11.29 | | | 10.43 | | | 13.27 | | | (3.47) | | | 10.96 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.36) | | | (0.41) | | | (0.54) | | | (0.60) | | | (0.39) | |
| | Distributions (from capital gains) | | (3.27) | | | (2.99) | | | (3.27) | | | — | | | — | |
| Total Dividends and Distributions | | (3.63) | | | (3.40) | | | (3.81) | | | (0.60) | | | (0.39) | |
| Net Asset Value, End of Period | | $71.28 | | | $63.62 | | | $56.59 | | | $47.13 | | | $51.20 | |
| Total Return* | | 18.09% | | | 20.06% | | | 29.04% | | | (6.87)% | | | 27.03% | |
| Net Assets, End of Period (in thousands) | | $653,853 | | | $600,868 | | | $539,915 | | | $463,402 | | | $540,594 | |
| Average Net Assets for the Period (in thousands) | | $636,425 | | | $516,468 | | | $511,859 | | | $533,418 | | | $512,287 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.77% | | | 0.84% | | | 0.79% | | | 0.60% | | | 0.64% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.77% | | | 0.84% | | | 0.79% | | | 0.60% | | | 0.64% | |
| | Ratio of Net Investment Income/(Loss) | | 0.57% | | | 0.72% | | | 1.13% | | | 1.19% | | | 1.05% | |
| Portfolio Turnover Rate | | 20% | | | 33% | | | 36% | | | 36% | | | 41% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $62.00 | | | $55.27 | | | $46.15 | | | $50.17 | | | $39.87 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.21 | | | 0.25 | | | 0.45 | | | 0.48 | | | 0.38 | |
| | Net realized and unrealized gain/(loss) | | 10.62 | | | 9.77 | | | 12.39 | | | (4.00) | | | 10.24 | |
| Total from Investment Operations | | 10.83 | | | 10.02 | | | 12.84 | | | (3.52) | | | 10.62 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.25) | | | (0.30) | | | (0.45) | | | (0.50) | | | (0.32) | |
| | Distributions (from capital gains) | | (3.27) | | | (2.99) | | | (3.27) | | | — | | | — | |
| Total Dividends and Distributions | | (3.52) | | | (3.29) | | | (3.72) | | | (0.50) | | | (0.32) | |
| Net Asset Value, End of Period | | $69.31 | | | $62.00 | | | $55.27 | | | $46.15 | | | $50.17 | |
| Total Return* | | 17.80% | | | 19.76% | | | 28.71% | | | (7.08)% | | | 26.68% | |
| Net Assets, End of Period (in thousands) | | $258,922 | | | $235,787 | | | $214,425 | | | $180,168 | | | $210,318 | |
| Average Net Assets for the Period (in thousands) | | $248,792 | | | $206,127 | | | $198,883 | | | $206,497 | | | $197,483 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 1.02% | | | 1.09% | | | 1.04% | | | 0.85% | | | 0.89% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 1.02% | | | 1.09% | | | 1.04% | | | 0.85% | | | 0.89% | |
| | Ratio of Net Investment Income/(Loss) | | 0.32% | | | 0.47% | | | 0.88% | | | 0.94% | | | 0.81% | |
| Portfolio Turnover Rate | | 20% | | | 33% | | | 36% | | | 36% | | | 41% | |
| | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
18 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Global Research Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Global Research Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. 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 Portfolio’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
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
States. These disruptions could prevent a Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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. Emerging market countries in which the Portfolio may invest include frontier market countries, the economies of which are less developed than other emerging market countries. To the extent that the Portfolio invests a significant amount of its assets in one or more of these countries, its returns and net asset value may be affected to a large degree by events and economic conditions in such countries. The risks of foreign investing are heightened when investing in emerging markets, which may result in the price of investments in emerging markets experiencing sudden and sharp price swings. In many developing markets, there is less government supervision and regulation of 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
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
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 Portfolio invests in Chinese local market securities.
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of December 31, 2021.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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 the Adviser 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 could increase the Adviser’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease the Adviser’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 year ended December 31, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.69%.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent expects to use this entire fee to compensate insurance companies and
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
Funds”). As adviser, the Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $1,161,597 in purchases.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes (reduced by foreign tax liability).
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 6,562,630 | $ 78,643,188 | $ - | $ - | $ - | $ (19,133) | $369,410,755 | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 542,631,208 | $ 384,839,366 | $ (15,426,789) | $ 369,412,577 |
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
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
sale losses, foreign currency transactions, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 4,199,243 | $ 41,475,093 | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 5,557,134 | $ 38,174,669 | $ - | $ - | |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ - | $ 1,245,599 | $ (1,245,599) |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 312,608 | $ 21,172,671 | | 332,367 | $18,355,000 |
Reinvested dividends and distributions | 488,320 | 32,926,296 | | 621,750 | 31,186,676 |
Shares repurchased | (1,072,453) | (73,190,533) | | (1,050,167) | (56,861,273) |
Net Increase/(Decrease) | (271,525) | $(19,091,566) | | (96,050) | $ (7,319,597) |
Service Shares: | | | | | |
Shares sold | 233,267 | $ 15,614,302 | | 240,326 | $12,343,506 |
Reinvested dividends and distributions | 194,479 | 12,748,040 | | 257,316 | 12,545,127 |
Shares repurchased | (495,053) | (32,788,800) | | (574,118) | (30,387,062) |
Net Increase/(Decrease) | (67,307) | $ (4,426,458) | | (76,476) | $ (5,498,429) |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$175,957,877 | $ 238,768,111 | - | - |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Global Research Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Global Research Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Global Research Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, investee company and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Global Research Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Capital Gain Distributions | $41,475,093 |
Dividends Received Deduction Percentage | 68% |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Global Research Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Global Research Portfolio
Notes
NotesPage1
Janus Henderson VIT Global Research Portfolio
Notes
NotesPage2
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81112 03-22 |
| | | | | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Global Technology and Innovation Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Global Technology and Innovation Portfolio
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT This global growth portfolio 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 Portfolio seeks to provide strong long-term returns with volatility characteristics on par with its peers. | | | | | 
Denny Fish portfolio manager |
| | | |
PERFORMANCE OVERVIEW
For the 12 months ended December 31, 2021, Janus Henderson VIT Global Technology Portfolio’s Institutional Shares and Service Shares returned 18.01% and 17.75%, respectively. By comparison, the Portfolio’s primary and secondary benchmarks, the S&P 500® Index and the MSCI All Country World Information Technology IndexSM, returned 28.71% and 27.36%, respectively.
INVESTMENT ENVIRONMENT
Global technology stocks rallied during the period, outpacing broader equities. While the market attempted more than once to rotate to value-oriented names in anticipation of greater reopening, continued concerns about COVID-19 variants weighing on economic growth sent investors back toward stocks aligned with long-duration growth themes and those with robust balance sheets and cash flow generation. With many leading mega-cap tech names fitting that description, these stocks continued to be a driving force behind equity gains. Within the sector, the semiconductor complex proved especially strong as there was a considerable supply/demand mismatch in the wake of persistent supply-chain disruptions.
PERFORMANCE DISCUSSION
Late in the period, the trajectory of the sector was driven by a series of forces that proved difficult for our strategy to navigate. While we believe some of these drivers are unsustainable, as they are not grounded in corporate fundamentals, we are nonetheless disappointed in the Portfolio’s performance. The expectation that more central banks would soon raise interest rates created headwinds for the growth stocks we typically prefer. Also, a rush toward cash-rich companies favored a select few mega-cap stocks with substantial cash. Among these were some of the period’s largest detractors: Apple and Microsoft. While we like these companies, from a risk-budgeting perspective, we carry underweight positions in them, which can negatively impact performance in periods where these stocks rally.
Another source of underperformance was the Portfolio’s out-of-benchmark allocation to Internet stocks, among them Amazon. As testament to what we considered the market’s indiscriminate prioritization of “rotation” over “fundamentals,” we believe our Internet holdings are among the most secularly advantaged stocks in the broader tech universe.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Strategy.
OUTLOOK
We believe 2022 is shaping up to be a year of normalization for the technology sector. In the past 20 months, tech has experienced an acceleration of the digitization of the global economy, historic supply-chain disruptions and a backdrop of highly accommodative monetary policy.
The likelihood of rising interest rates introduces the risk of policy error. Should central banks move too quickly, they could squelch economic expansion. This would be most harmful to cyclical growth stocks.
It may seem like tech commands a disproportionate share of corporate headlines. This is no accident. Given the potential for delivering increased efficiencies across the economy, it’s our view that tech companies will command an ever-greater share of aggregate corporate earnings and, thus, equity returns as the digitization of the global economy continues. With this in mind, we maintain our core ethos of identifying the companies we believe will most likely dominate their markets over the next three to five years.
Thank you for your investment in the Janus Henderson VIT Global Technology Portfolio.
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| PayPal Holdings Inc | 0.08% | | 1.04% | | Amazon.com Inc | 4.84% | | -1.38% |
| Alphabet Inc - Class C | 3.84% | | 0.98% | | Wix.com Ltd | 1.14% | | -1.18% |
| ASML Holding NV | 4.95% | | 0.73% | | Zendesk Inc | 1.67% | | -1.13% |
| NVIDIA Corp | 3.57% | | 0.68% | | Microsoft Corp | 9.99% | | -0.79% |
| Lam Research Corp | 2.63% | | 0.58% | | Apple Inc | 4.98% | | -0.75% |
| | | | | | | |
| 5 Top Detractors - Sectors*a | | | | | |
| | | Relative | | Portfolio | MSCI All Country World Information Technology Index |
| | | Contribution | | Average Weight | Average Weight |
| Consumer Discretionary | | -3.59% | | 9.00% | 0.00% |
| Communication Services | | -1.52% | | 12.86% | 0.00% |
| Industrials | | -1.39% | | 2.75% | 0.00% |
| Information Technology | | -1.00% | | 71.05% | 100.00% |
| Other** | | -0.82% | | 2.19% | 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | 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. |
a | During the reporting period no sectors contributed on a relative basis. |
** | Not a GICS classified sector. |
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 10.8% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 8.2% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 6.1% |
Alphabet Inc - Class C | |
Interactive Media & Services | 5.0% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 4.7% |
| | 34.8% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 97.5% | |
Investment Companies | | 1.7% | |
Investments Purchased with Cash Collateral from Securities Lending | | 1.0% | |
Preferred Stocks | | 0.7% | |
Private Investment in Public Equity (PIPES) | | 0.5% | |
Warrants | | 0.0% | |
Other | | (1.4)% |
| | | 100.0% |
Emerging markets comprised 7.6% of total net assets.
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
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 December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 18.01% | 30.62% | 23.28% | 6.97% | | | 0.75% |
Service Shares | | 17.75% | 30.32% | 22.96% | 6.70% | | | 0.99% |
S&P 500 Index | | 28.71% | 18.47% | 16.55% | 7.59% | | | |
MSCI All Country World Information Technology Index | | 27.36% | 29.47% | 21.62% | 6.18%** | | | |
Morningstar Quartile - Institutional Shares | | 2nd | 2nd | 1st | 2nd | | | |
Morningstar Ranking - based on total returns for Technology Funds | | 104/250 | 56/194 | 46/178 | 51/111 | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
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.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Performance
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – January 18, 2000
** The MSCI All Country World Information Technology Index since inception returns are calculated from January 31, 2000.
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,035.40 | $3.75 | | $1,000.00 | $1,021.53 | $3.72 | 0.73% |
Service Shares | $1,000.00 | $1,034.10 | $5.02 | | $1,000.00 | $1,020.27 | $4.99 | 0.98% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 97.5% | | | |
Aerospace & Defense – 0.2% | | | |
| | Axon Enterprise Inc* | | 13,923 | | | $2,185,911 | |
Diversified Consumer Services – 0.2% | | | |
| | Courser Inc* | | 92,390 | | | 2,258,012 | |
Entertainment – 2.0% | | | |
| | Netflix Inc* | | 9,101 | | | 5,482,806 | |
| | Sea Ltd (ADR)* | | 57,143 | | | 12,783,460 | |
| | | 18,266,266 | |
Equity Real Estate Investment Trusts (REITs) – 1.3% | | | |
| | Equinix Inc | | 13,999 | | | 11,840,914 | |
Household Durables – 0.8% | | | |
| | Roku Inc* | | 33,947 | | | 7,746,705 | |
Information Technology Services – 11.4% | | | |
| | Adyen NV (144A)* | | 1,778 | | | 4,678,628 | |
| | Marqeta Inc - Class A* | | 141,164 | | | 2,423,786 | |
| | Mastercard Inc | | 101,350 | | | 36,417,082 | |
| | Okta Inc* | | 36,370 | | | 8,153,063 | |
| | One 97 Communications Ltd* | | 53,718 | | | 964,481 | |
| | Shopify Inc* | | 7,679 | | | 10,576,978 | |
| | Snowflake Inc - Class A* | | 29,764 | | | 10,082,555 | |
| | Square Inc* | | 17,428 | | | 2,814,796 | |
| | Toast Inc - Class A*,# | | 91,302 | | | 3,169,092 | |
| | Twilio Inc* | | 56,028 | | | 14,754,413 | |
| | Visa Inc | | 60,345 | | | 13,077,365 | |
| | | 107,112,239 | |
Interactive Media & Services – 7.2% | | | |
| | Alphabet Inc - Class C* | | 16,028 | | | 46,378,460 | |
| | Match Group Inc* | | 75,672 | | | 10,007,622 | |
| | Snap Inc - Class A* | | 179,134 | | | 8,424,672 | |
| | Twitter Inc* | | 67,598 | | | 2,921,586 | |
| | | 67,732,340 | |
Internet & Direct Marketing Retail – 8.9% | | | |
| | Amazon.com Inc* | | 13,238 | | | 44,139,993 | |
| | Coupang Inc* | | 112,711 | | | 3,311,449 | |
| | DoorDash Inc - Class A* | | 17,438 | | | 2,596,518 | |
| | Farfetch Ltd - Class A* | | 150,665 | | | 5,036,731 | |
| | Global-E Online Ltd* | | 145,472 | | | 9,221,470 | |
| | Grab Holdings Ltd - Class A*,# | | 699,599 | | | 4,988,141 | |
| | MercadoLibre Inc* | | 10,238 | | | 13,804,919 | |
| | | 83,099,221 | |
Leisure Products – 0.1% | | | |
| | Peloton Interactive Inc - Class A* | | 35,192 | | | 1,258,466 | |
Professional Services – 1.6% | | | |
| | CoStar Group Inc* | | 186,599 | | | 14,746,919 | |
Real Estate Management & Development – 0.4% | | | |
| | Doma Holdings Inc*,# | | 224,545 | | | 1,140,689 | |
| | Redfin Corp* | | 57,375 | | | 2,202,626 | |
| | | 3,343,315 | |
Road & Rail – 0.9% | | | |
| | Uber Technologies Inc* | | 210,770 | | | 8,837,586 | |
Semiconductor & Semiconductor Equipment – 25.7% | | | |
| | Advanced Micro Devices Inc* | | 57,562 | | | 8,283,172 | |
| | Analog Devices Inc | | 62,906 | | | 11,056,988 | |
| | Applied Materials Inc | | 24,576 | | | 3,867,279 | |
| | ASML Holding NV | | 71,119 | | | 57,215,484 | |
| | KLA Corp | | 44,481 | | | 19,131,723 | |
| | Lam Research Corp | | 36,664 | | | 26,366,916 | |
| | Marvell Technology Inc | | 93,180 | | | 8,152,318 | |
| | NVIDIA Corp | | 100,850 | | | 29,660,993 | |
| | NXP Semiconductors NV | | 41,579 | | | 9,470,865 | |
| | |
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
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Semiconductor & Semiconductor Equipment– (continued) | | | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 1,817,000 | | | $40,404,057 | |
| | Texas Instruments Inc | | 121,057 | | | 22,815,613 | |
| | Xilinx Inc | | 19,624 | | | 4,160,877 | |
| | | 240,586,285 | |
Software – 28.6% | | | |
| | Adobe Inc* | | 64,957 | | | 36,834,516 | |
| | Atlassian Corp PLC - Class A* | | 31,026 | | | 11,829,903 | |
| | Autodesk Inc* | | 42,716 | | | 12,011,312 | |
| | Avalara Inc* | | 78,174 | | | 10,093,045 | |
| | Cadence Design Systems Inc* | | 98,104 | | | 18,281,680 | |
| | CCC Intelligent Solutions Holdings Inc*,# | | 589,593 | | | 6,715,464 | |
| | Ceridian HCM Holding Inc* | | 84,523 | | | 8,829,273 | |
| | Dynatrace Inc* | | 157,220 | | | 9,488,227 | |
| | Gitlab Inc - Class A*,# | | 17,353 | | | 1,509,711 | |
| | Microsoft Corp | | 302,018 | | | 101,574,694 | |
| | Nice Ltd (ADR)* | | 24,721 | | | 7,505,296 | |
| | Olo Inc - Class A* | | 58,526 | | | 1,217,926 | |
| | Paylocity Holding Corp* | | 4,773 | | | 1,127,192 | |
| | Synopsys Inc* | | 8,851 | | | 3,261,593 | |
| | Tyler Technologies Inc* | | 11,381 | | | 6,122,409 | |
| | Unity Software Inc* | | 48,938 | | | 6,997,645 | |
| | Workday Inc - Class A* | | 89,382 | | | 24,417,375 | |
| | | 267,817,261 | |
Technology Hardware, Storage & Peripherals – 8.2% | | | |
| | Apple Inc | | 435,125 | | | 77,265,146 | |
Total Common Stocks (cost $513,374,564) | | 914,096,586 | |
Private Investment in Public Equity (PIPES)– 0.5% | | | |
Diversified Financial Services – 0.5% | | | |
| | Altimeter Growth Corp*,§ | | 421,689 | | | 3,006,643 | |
| | CCC Intelligent Solutions Holdings Inc*,§ | | 112,363 | | | 1,279,815 | |
Total Private Investment in Public Equity (PIPES) (cost $5,340,520) | | 4,286,458 | |
Preferred Stocks– 0.7% | | | |
Professional Services – 0.2% | | | |
| | Apartment List Inc PP*,¢,§ | | 485,075 | | | 1,771,979 | |
Software – 0.5% | | | |
| | Magic Leap Inc PP - Class A private equity common shares*,¢,§ | | 3,260 | | | 0 | |
| | Via Transportation Inc PP - Preferred shares*,¢,§ | | 86,990 | | | 3,924,732 | |
| | Via Transportation Inc PP - private equity common shares*,¢,§ | | 10,455 | | | 452,338 | |
| | | 4,377,070 | |
Total Preferred Stocks (cost $7,734,219) | | 6,149,049 | |
Warrants– 0% | | | |
Internet & Direct Marketing Retail – 0% | | | |
| | Grab Holdings Ltd, expires 12/1/26*((cost $140,430) | | 43,562 | | | 91,916 | |
Investment Companies– 1.7% | | | |
Money Markets – 1.7% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $16,336,249) | | 16,334,616 | | | 16,336,249 | |
Investments Purchased with Cash Collateral from Securities Lending– 1.0% | | | |
Investment Companies – 0.8% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº,£ | | 7,875,534 | | | 7,875,534 | |
Time Deposits – 0.2% | | | |
| | Royal Bank of Canada, 0.0400%, 1/3/22 | | $1,968,884 | | | 1,968,884 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $9,844,418) | | 9,844,418 | |
Total Investments (total cost $552,770,400) – 101.4% | | 950,804,676 | |
Liabilities, net of Cash, Receivables and Other Assets – (1.4)% | | (13,352,795) | |
Net Assets – 100% | | $937,451,881 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments
December 31, 2021
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $768,391,763 | | 80.8 | % |
Netherlands | | 61,894,112 | | 6.5 | |
Taiwan | | 53,187,517 | | 5.6 | |
Israel | | 16,726,766 | | 1.8 | |
Argentina | | 13,804,919 | | 1.5 | |
Australia | | 11,829,903 | | 1.2 | |
Canada | | 10,576,978 | | 1.1 | |
Singapore | | 5,080,057 | | 0.5 | |
United Kingdom | | 5,036,731 | | 0.5 | |
South Korea | | 3,311,449 | | 0.4 | |
India | | 964,481 | | 0.1 | |
| | | | | | |
| | | | | | |
Total | | $950,804,676 | | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 1.7% |
Money Markets - 1.7% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 13,615 | $ | - | $ | - | $ | 16,336,249 |
Investments Purchased with Cash Collateral from Securities Lending - 0.8% |
Investment Companies - 0.8% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 345,818∆ | | - | | - | | 7,875,534 |
Total Affiliated Investments - 2.5% | $ | 359,433 | $ | - | $ | - | $ | 24,211,783 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 1.7% |
Money Markets - 1.7% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 21,692,904 | | 189,339,086 | | (194,695,741) | | 16,336,249 |
Investments Purchased with Cash Collateral from Securities Lending - 0.8% |
Investment Companies - 0.8% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 2,018,507 | | 116,042,807 | | (110,185,780) | | 7,875,534 |
| | |
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
| | |
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 year ended December 31, 2021 is $4,678,628, which represents 0.5% of net assets. |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of December 31, 2021. |
| | |
# | Loaned security; a portion of the security is on loan at December 31, 2021. |
| | |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the year ended December 31, 2021 is $6,149,049, which represents 0.7% 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 December 31, 2021) |
| | | | | | | | Value as a | |
| | Acquisition | | | | | | % of Net | |
| | Date | | Cost | | Value | | Assets | |
Altimeter Growth Corp | 4/14/21 | $ | 4,216,890 | $ | 3,006,643 | | 0.3 | % |
Apartment List Inc PP | 11/2/20 | | 1,771,979 | | 1,771,979 | | 0.2 | |
CCC Intelligent Solutions Holdings Inc | 2/3/21 | | 1,123,630 | | 1,279,815 | | 0.2 | |
Magic Leap Inc PP - Class A private equity common shares | 10/5/17 | | 1,585,170 | | 0 | | 0.0 | |
Via Transportation Inc PP - Preferred shares | 11/4/21 | | 3,924,732 | | 3,924,732 | | 0.4 | |
Via Transportation Inc PP - private equity common shares | 12/2/21 | | 452,338 | | 452,338 | | 0.1 | |
Total | | $ | 13,074,739 | $ | 10,435,507 | | 1.2 | % |
| | | | | | | | | |
The Portfolio has registration rights for certain restricted securities held as of December 31, 2021. The issuer incurs all registration costs. | |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Schedule of Investments and Other Information
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 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 | $ | 914,096,586 | $ | - | $ | - |
Private Investment in Public Equity (PIPES) | | - | | 4,286,458 | | - |
Preferred Stocks | | - | | - | | 6,149,049 |
Warrants | | 91,916 | | - | | - |
Investment Companies | | - | | 16,336,249 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 9,844,418 | | - |
Total Assets | $ | 914,188,502 | $ | 30,467,125 | $ | 6,149,049 |
| | | | | | | |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $528,558,617)(1) | | $ | 926,592,893 | |
| Affiliated investments, at value (cost $24,211,783) | | | 24,211,783 | |
| Non-interested Trustees' deferred compensation | | | 24,506 | |
| Receivables: | | | | |
| | Portfolio shares sold | | | 265,268 | |
| | Dividends | | | 216,901 | |
| | Investments sold | | | 11,776 | |
| | Foreign tax reclaims | | | 694 | |
| | Dividends from affiliates | | | 618 | |
| Other assets | | | 55,136 | |
Total Assets | | | 951,379,575 | |
Liabilities: | | | | |
| Collateral for securities loaned (Note 2) | | | 9,844,418 | |
| Payables: | | | — | |
| | Portfolio shares repurchased | | | 2,061,299 | |
| | Investments purchased | | | 1,097,331 | |
| | Advisory fees | | | 539,910 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 197,540 | |
| | Professional fees | | | 49,446 | |
| | Transfer agent fees and expenses | | | 43,660 | |
| | Non-interested Trustees' deferred compensation fees | | | 24,506 | |
| | Custodian fees | | | 5,826 | |
| | Affiliated portfolio administration fees payable | | | 2,109 | |
| | Non-interested Trustees' fees and expenses | | | 320 | |
| | Accrued expenses and other payables | | | 61,329 | |
Total Liabilities | | | 13,927,694 | |
Net Assets | | $ | 937,451,881 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 420,309,017 | |
| Total distributable earnings (loss) | | | 517,142,864 | |
Total Net Assets | | $ | 937,451,881 | |
Net Assets - Institutional Shares | | $ | 59,208,381 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 2,853,427 | |
Net Asset Value Per Share | | $ | 20.75 | |
Net Assets - Service Shares | | $ | 878,243,500 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 41,998,781 | |
Net Asset Value Per Share | | $ | 20.91 | |
| |
(1) Includes $9,362,676 of securities on loan. See Note 2 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 3,995,746 | |
| Affiliated securities lending income, net | | 345,818 | |
| Dividends from affiliates | | 13,615 | |
| Unaffiliated securities lending income, net | | 945 | |
| Foreign tax withheld | | (198,760) | |
Total Investment Income | | 4,157,364 | |
Expenses: | | | |
| Advisory fees | | 5,612,789 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 2,052,636 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 27,972 | |
| | Service Shares | | 410,527 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 1,948 | |
| | Service Shares | | 12,884 | |
| Professional fees | | 56,981 | |
| Shareholder reports expense | | 39,662 | |
| Custodian fees | | 30,228 | |
| Affiliated portfolio administration fees | | 24,401 | |
| Non-interested Trustees’ fees and expenses | | 14,149 | |
| Registration fees | | 950 | |
| Other expenses | | 78,552 | |
Total Expenses | | 8,363,679 | |
Net Investment Income/(Loss) | | (4,206,315) | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 123,414,165 | |
Total Net Realized Gain/(Loss) on Investments | | 123,414,165 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation | | 20,265,234 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 20,265,234 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 139,473,084 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | (4,206,315) | | $ | (1,870,749) | |
| Net realized gain/(loss) on investments | | 123,414,165 | | | 113,274,622 | |
| Change in unrealized net appreciation/depreciation | | 20,265,234 | | | 148,900,055 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 139,473,084 | | | 260,303,928 | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (7,520,075) | | | (3,732,594) | |
| | Service Shares | | (107,940,768) | | | (51,548,235) | |
Net Decrease from Dividends and Distributions to Shareholders | | (115,460,843) | | | (55,280,829) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | 6,607,340 | | | 3,553,470 | |
| | Service Shares | | 122,969,787 | | | 32,148,954 | |
Net Increase/(Decrease) from Capital Share Transactions | | 129,577,127 | | | 35,702,424 | |
Net Increase/(Decrease) in Net Assets | | 153,589,368 | | | 240,725,523 | |
Net Assets: | | | | | | |
| Beginning of period | | 783,862,513 | | | 543,136,990 | |
| End of period | $ | 937,451,881 | | $ | 783,862,513 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $20.34 | | | $14.88 | | | $11.06 | | | $11.40 | | | $8.37 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.05) | | | (0.01) | | | 0.02 | | | 0.01 | | | —(2) | |
| | Net realized and unrealized gain/(loss) | | 3.47 | | | 7.04 | | | 4.81 | | | 0.20 | | | 3.68 | |
| Total from Investment Operations | | 3.42 | | | 7.03 | | | 4.83 | | | 0.21 | | | 3.68 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.05) | | | — | | | — | | | — | | | — | |
| | Distributions (from capital gains) | | (2.96) | | | (1.57) | | | (1.01) | | | (0.55) | | | (0.65) | |
| Total Dividends and Distributions | | (3.01) | | | (1.57) | | | (1.01) | | | (0.55) | | | (0.65) | |
| Net Asset Value, End of Period | | $20.75 | | | $20.34 | | | $14.88 | | | $11.06 | | | $11.40 | |
| Total Return* | | 18.01% | | | 51.20% | | | 45.17% | | | 1.19% | | | 45.09% | |
| Net Assets, End of Period (in thousands) | | $59,208 | | | $51,009 | | | $34,515 | | | $24,240 | | | $24,815 | |
| Average Net Assets for the Period (in thousands) | | $56,037 | | | $39,592 | | | $30,035 | | | $27,658 | | | $12,729 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.72% | | | 0.75% | | | 0.75% | | | 0.76% | | | 0.76% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.72% | | | 0.75% | | | 0.75% | | | 0.76% | | | 0.76% | |
| | Ratio of Net Investment Income/(Loss) | | (0.25)% | | | (0.07)% | | | 0.11% | | | 0.09% | | | 0.03% | |
| Portfolio Turnover Rate | | 47% | | | 44% | | | 30% | | | 32% | | | 23% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $20.51 | | | $15.03 | | | $11.19 | | | $11.56 | | | $8.49 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.10) | | | (0.05) | | | (0.02) | | | (0.02) | | | (0.02) | |
| | Net realized and unrealized gain/(loss) | | 3.49 | | | 7.10 | | | 4.87 | | | 0.20 | | | 3.74 | |
| Total from Investment Operations | | 3.39 | | | 7.05 | | | 4.85 | | | 0.18 | | | 3.72 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.03) | | | — | | | — | | | — | | | — | |
| | Distributions (from capital gains) | | (2.96) | | | (1.57) | | | (1.01) | | | (0.55) | | | (0.65) | |
| Total Dividends and Distributions | | (2.99) | | | (1.57) | | | (1.01) | | | (0.55) | | | (0.65) | |
| Net Asset Value, End of Period | | $20.91 | | | $20.51 | | | $15.03 | | | $11.19 | | | $11.56 | |
| Total Return* | | 17.69% | | | 50.80% | | | 44.82% | | | 0.91% | | | 44.91% | |
| Net Assets, End of Period (in thousands) | | $878,244 | | | $732,854 | | | $508,622 | | | $370,831 | | | $369,931 | |
| Average Net Assets for the Period (in thousands) | | $822,224 | | | $577,972 | | | $449,847 | | | $416,626 | | | $320,729 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.97% | | | 0.99% | | | 0.99% | | | 1.00% | | | 1.00% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.97% | | | 0.99% | | | 0.99% | | | 1.00% | | | 1.00% | |
| | Ratio of Net Investment Income/(Loss) | | (0.49)% | | | (0.32)% | | | (0.13)% | | | (0.16)% | | | (0.21)% | |
| Portfolio Turnover Rate | | 47% | | | 44% | | | 30% | | | 32% | | | 23% | |
| | | | | | | | | | | | | | | | | | | |
| |
* 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
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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 December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
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
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
sentiment, and other factors affecting the value of a Portfolio’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 Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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. Emerging market countries in which the Portfolio may invest include frontier market countries, the economies of which are less developed than other emerging market countries. To the extent that the Portfolio invests a significant amount of its assets in one or more of these countries, its returns and net asset value may be affected to a large degree by events and economic conditions in such countries. The risks of foreign investing are heightened when investing in emerging markets, which may result in the price of investments in emerging markets experiencing sudden and sharp price swings. In many developing markets, there is less government supervision and regulation of stock exchanges, brokers, and listed companies, making these
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
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 Portfolio 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 | $ | 9,362,676 | $ | — | $ | (9,362,676) | $ | — |
| | | | | | | | | |
(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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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.
Private Investment in Public Equity
Private investments in public equity (“PIPEs”) are equity securities privately purchased from public companies (including special purpose acquisition companies) at a specified price. PIPEs generally are not registered with the SEC until after a certain time period from the date the private sale is completed. Until the public registration process is completed, PIPEs are restricted as to resale and the Portfolio cannot freely trade the securities. Generally, such restrictions cause the PIPEs to be illiquid during this time. PIPEs may contain provisions that the issuer will pay specified financial penalties to the holder if the issuer does not publicly register the restricted equity securities within a specified period of time, but there is no assurance that the restricted equity securities will be publicly registered, or that the registration will remain in effect. To the extent that they increase the supply of a company’s stock in the market, PIPEs can potentially dilute the value of existing shares.
Special Purpose Acquisition Companies (SPAC)
The Portfolio may invest in stock, warrants, and other securities of special purpose acquisition companies (“SPACs”) or similar entities that pool funds to seek potential acquisition opportunities. Unless and until an acquisition is completed, a SPAC typically invests its assets (less a portion retained to cover expenses) in U.S. Government securities, money market fund securities, and cash. If an acquisition that meets the requirements for the SPAC is not completed within a pre-established period of time (typically two years), the invested funds are returned to the SPAC’s shareholders. Because SPACs and similar entities are in essence blank check companies without an operating history or ongoing business other than seeking acquisitions, the value of a SPAC’s securities is particularly dependent on the ability of the SPAC’s management to timely identify and complete a profitable acquisition. Some SPACs may pursue acquisitions only within certain industries or regions, which may increase the volatility of their prices. To the extent the SPAC is invested in cash or similar securities while awaiting an acquisition opportunity, a Portfolio’s ability to meet its investment objective may be negatively impacted. In addition, some SPACs may be traded in the over-the-counter market and may be considered illiquid and/or be subject to restrictions on resale.
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, the Adviser 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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
Upon receipt of cash collateral, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $9,362,676. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2021 is $9,844,418, resulting in the net amount due to the counterparty of $481,742.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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.
The Adviser 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 the Adviser are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent is not compensated for these
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser 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
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $777,265 in sales, resulting in a net realized loss of $418,199. The net realized loss is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ - | $ 120,614,231 | $ - | $ - | $ - | $ (23,384) | $396,552,017 | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 554,252,659 | $418,166,220 | $(21,614,203) | $ 396,552,017 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 5,920,850 | $ 109,539,993 | $ - | $ 4,573,398 | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 19,038 | $ 55,261,791 | $ - | $ - | |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ (4,698,549) | $ 7,044,648 | $ (2,346,099) |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 648,301 | $ 13,535,458 | | 1,217,576 | $ 20,231,592 |
Reinvested dividends and distributions | 392,488 | 7,520,075 | | 252,544 | 3,732,594 |
Shares repurchased | (695,151) | (14,448,193) | | (1,281,197) | (20,410,716) |
Net Increase/(Decrease) | 345,638 | $ 6,607,340 | | 188,923 | $ 3,553,470 |
Service Shares: | | | | | |
Shares sold | 7,348,585 | $154,522,960 | | 8,831,320 | $149,099,983 |
Reinvested dividends and distributions | 5,584,106 | 107,940,768 | | 3,454,976 | 51,548,235 |
Shares repurchased | (6,674,085) | (139,493,941) | | (10,391,134) | (168,499,264) |
Net Increase/(Decrease) | 6,258,606 | $122,969,787 | | 1,895,162 | $ 32,148,954 |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$419,804,026 | $ 401,932,504 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Global Technology and Innovation Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Global Technology and Innovation Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Flexible Bond Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and brokers. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Global Technology and Innovation Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Capital Gain Distributions | $109,539,993 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Denny Fish 151 Detroit Street Denver, CO 80206 DOB: 1971 | Executive Vice President and Portfolio Manager Janus Henderson Global Technology and Innovation Portfolio | 1/16-Present | Head of Technology Sector of Janus Henderson Investors and Portfolio Manager for other Janus Henderson accounts. |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Global Technology and Innovation Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Kristin Mariani 151 Detroit Street Denver, CO 80206 DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
Jesper Nergaard 151 Detroit Street Denver, CO 80206 DOB: 1962 | Chief Financial Officer Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present 2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray 151 Detroit Street Denver, CO 80206 DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage1
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81119 03-22 |
| | | | | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Mid Cap Value Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Mid Cap Value Portfolio
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
| | | | | | |
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 (a measure of a security’s or portfolio’s volatility relative to the overall market) and down-market capture. | | | | 
Kevin Preloger co-portfolio manager | 
Justin Tugman co-portfolio manager |
| | | |
PERFORMANCE
For the 12-month period ended December 31, 2021, the Janus Henderson VIT Mid Cap Value Portfolio’s Institutional Shares and Service Shares returned 19.73% and 19.42%, respectively, underperforming the Portfolio’s benchmark, the Russell Midcap® Value Index, which returned 28.34%. Stock selection in industrials, information technology and financials drove relative underperformance. Stock selection in health care and utilities and underweight allocations in both utilities and consumer staples positively contributed on a relative basis.
INVESTMENT ENVIRONMENT
Stocks rose in the first half of 2021, as healthy economic and earnings growth and optimism around COVID-19 vaccines lifted investor sentiment. Accommodative monetary policy also supported the growth outlook. Stocks suffered downward volatility in the third quarter as the spread of the new Delta variant renewed pandemic concerns. Supply constraints and higher input costs also fueled inflation, which pushed interest rates higher. While rising interest rates initially favored value stocks, in the mid-cap market they underperformed growth for the quarter overall. In the fourth quarter, the identification of another highly transmissible COVID-19 variant, Omicron, contributed to market turbulence. The Federal Reserve (Fed) also indicated it would accelerate the withdrawal of its monetary stimulus. The prospect of higher interest rates in 2022 triggered a market rotation away from more speculative, high-valuation stocks and a move into value stocks, which outperformed growth in the fourth quarter.
PERFORMANCE DISCUSSION
In the first half of 2021, progress on vaccine distribution and hopes for a broad-based economic recovery favored more cyclical and commodities-driven companies, which worked to our strengths as value investors. It reversed in May, however, when extreme euphoria and speculative investing again drove market returns, due to lower long-term interest rates and another found of federal cash payments. This fueled speculative, short interest covering investing, a rotation that led to high-beta stocks outperforming low-beta, and money-losing companies outperforming money-earners. In this environment the high-quality value stocks we own found less favor with investors. In the third quarter, despite intervals of renewed investor attention to valuations and profitability, several of our holdings – in industrials particularly – faced challenges as higher input and wage costs squeezed profit margins for companies unable to pass these costs along to customers. Inventory shortages also resulted in lost sales, which impacted revenue growth. The fourth quarter saw a return to fundamentals that was more in line with historical trends, and that rewarded a number of our disciplined value investments. Unfortunately, several of our holdings faced business headwinds that hurt recent earnings growth.
BWX Technologies, a supplier of nuclear components and fuel for the defense industry, was the Portfolio’s largest individual detractor on a relative basis. Over the period it faced continued uncertainty regarding the outlook for government defense spending, and the stock declined as the company reported disappointing revenue and profits growth. Relative performance also was dampened by our investment in Global Payments, a provider of financial technology that helps retailers process digital credit card payments. The stock was pressured by concerns that "buy now, pay later" alternatives may take market share away from traditional credit cards. We believed the market overreacted to these challenges, and we used the sell-off in the stock to add to our position.
LabCorp, the leading global life sciences company, was the Portfolio’s largest individual contributor on a relative basis. The company outperformed due to continued
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
strength in COVID-19 testing, non-COVID laboratory work – particularly its expanded testing, treatment and clinical trial access for people with cancer – and activist involvement in the stock. Equity LifeStyle Properties, an owner and operator of manufactured housing communities and vacation sites, also was a top contributor, benefiting from the increased popularity of RV vacation parks as tourist destinations since the start of the pandemic.
During the period we started new positions in numerous sectors, including consumer discretionary, industrials, energy, health care, information technology and real estate. We added to holdings in real estate, consumer discretionary, materials, industrials and health care, and trimmed holdings in financials, materials, communication services and consumer discretionary. We also exited positions in real estate, financials, utilities, materials and consumer staples.
OUTLOOK
While we have welcomed a renewed investor focus on fundamentals, we see potential sources of market risk as we head into 2022. The economic expansion appears to be on track, but higher input costs, supply chain bottlenecks and labor shortages could remain headwinds for growth and company profitability. From a historical perspective, valuations in some parts of the market still appear expensive and out of line with company fundamentals. The Fed also has a difficult task, dialing back its stimulus enough to contain inflation without derailing the economic recovery or market expansion. This task is further complicated by uncertainty around virus variants and global economic pressures. Higher inflation could push the Fed and other central banks to act more aggressively to slow the economy, which would result in higher interest rates and the potential for increased market volatility. Despite broader market risks, we believe this environment could work to our advantage. Periods of rising interest rates historically have favored value and higher-quality stocks over growth equities. We also believe market volatility could provide us with ample value opportunities, as we look to invest in companies whose potential may have yet to be fully appreciated by the market.
Thank you for your co-investment in the Mid Cap Value Portfolio.
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Laboratory Corp of America Holdings | 2.32% | | 0.48% | | BWX Technologies Inc | 2.36% | | -1.30% |
| Equity LifeStyle Properties Inc | 2.81% | | 0.42% | | Global Payments Inc | 1.07% | | -0.95% |
| Fifth Third Bancorp | 1.69% | | 0.41% | | CDK Global Inc | 1.36% | | -0.77% |
| AutoZone Inc | 1.06% | | 0.33% | | Globe Life Inc | 2.32% | | -0.74% |
| Lamar Advertising Co | 1.53% | | 0.30% | | IAA Inc | 1.33% | | -0.69% |
| | | | | | | |
| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell Midcap Value Index |
| | | Contribution | | Average Weight | Average Weight |
| Health Care | | 1.19% | | 8.17% | 7.90% |
| Utilities | | 0.34% | | 4.94% | 7.13% |
| Consumer Staples | | 0.01% | | 3.80% | 3.98% |
| Communication Services | | -0.22% | | 3.41% | 4.07% |
| Consumer Discretionary | | -0.46% | | 9.12% | 11.56% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell Midcap Value Index |
| | | Contribution | | Average Weight | Average Weight |
| Industrials | | -2.52% | | 16.64% | 16.51% |
| Information Technology | | -1.51% | | 12.11% | 9.74% |
| Financials | | -1.44% | | 17.32% | 16.37% |
| Real Estate | | -0.99% | | 9.69% | 10.55% |
| Materials | | -0.99% | | 9.44% | 7.60% |
| | | | | | | |
| 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | 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 Henderson VIT Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Equity LifeStyle Properties Inc | |
Equity Real Estate Investment Trusts (REITs) | 2.9% |
Laboratory Corp of America Holdings | |
Health Care Providers & Services | 2.7% |
RenaissanceRe Holdings Ltd | |
Insurance | 2.4% |
Alliant Energy Corp | |
Electric Utilities | 2.0% |
Hartford Financial Services Group Inc | |
Insurance | 2.0% |
| | 12.0% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 97.7% | |
Repurchase Agreements | | 2.5% | |
Other | | (0.2)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception | | | Total Annual Fund
Operating Expenses‡ | Net Annual Fund
Operating Expenses‡ |
Institutional Shares | | 19.73% | 8.76% | 10.30% | 10.42%# | | | 0.81% | 0.81% |
Service Shares | | 19.42% | 8.48% | 10.02% | 9.95%* | | | 1.06% | 1.05% |
Russell Midcap Value Index | | 28.34% | 11.22% | 13.44% | 11.69%** | | | | |
Morningstar Quartile - Service Shares | | 4th | 4th | 4th | 3rd | | | | |
Morningstar Ranking - based on total returns for Mid-Cap Value Funds | | 395/417 | 328/385 | 324/338 | 159/234 | | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
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.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Performance
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.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,058.30 | $3.53 | | $1,000.00 | $1,021.78 | $3.47 | 0.68% |
Service Shares | $1,000.00 | $1,056.80 | $4.82 | | $1,000.00 | $1,020.52 | $4.74 | 0.93% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 97.7% | | | |
Aerospace & Defense – 1.6% | | | |
| | BWX Technologies Inc | | 44,912 | | | $2,150,387 | |
Auto Components – 2.4% | | | |
| | Aptiv PLC* | | 7,602 | | | 1,253,950 | |
| | Autoliv Inc | | 11,983 | | | 1,239,162 | |
| | Lear Corp | | 4,562 | | | 834,618 | |
| | | 3,327,730 | |
Banks – 6.1% | | | |
| | Citizens Financial Group Inc | | 44,851 | | | 2,119,210 | |
| | Fifth Third Bancorp | | 46,039 | | | 2,004,998 | |
| | First Horizon National Corp | | 131,610 | | | 2,149,191 | |
| | Regions Financial Corp | | 95,812 | | | 2,088,702 | |
| | | 8,362,101 | |
Building Products – 0.6% | | | |
| | Fortune Brands Home & Security Inc | | 8,021 | | | 857,445 | |
Capital Markets – 1.9% | | | |
| | State Street Corp | | 27,539 | | | 2,561,127 | |
Chemicals – 7.3% | | | |
| | Axalta Coating Systems Ltd* | | 59,360 | | | 1,966,003 | |
| | Corteva Inc | | 37,773 | | | 1,785,907 | |
| | DuPont de Nemours Inc | | 24,447 | | | 1,974,829 | |
| | FMC Corp | | 14,971 | | | 1,645,163 | |
| | Scotts Miracle-Gro Co | | 3,712 | | | 597,632 | |
| | Westlake Chemical Corp | | 21,257 | | | 2,064,692 | |
| | | 10,034,226 | |
Commercial Services & Supplies – 2.6% | | | |
| | IAA Inc* | | 40,407 | | | 2,045,402 | |
| | Waste Connections Inc | | 11,520 | | | 1,569,830 | |
| | | 3,615,232 | |
Communications Equipment – 2.7% | | | |
| | F5 Networks Inc* | | 10,241 | | | 2,506,075 | |
| | Motorola Solutions Inc | | 4,368 | | | 1,186,786 | |
| | | 3,692,861 | |
Construction & Engineering – 1.0% | | | |
| | EMCOR Group Inc | | 10,397 | | | 1,324,474 | |
Construction Materials – 1.0% | | | |
| | Martin Marietta Materials Inc | | 3,251 | | | 1,432,131 | |
Containers & Packaging – 1.3% | | | |
| | Graphic Packaging Holding Co | | 88,495 | | | 1,725,653 | |
Electric Utilities – 3.3% | | | |
| | Alliant Energy Corp | | 44,366 | | | 2,727,178 | |
| | Entergy Corp | | 16,482 | | | 1,856,697 | |
| | | 4,583,875 | |
Electrical Equipment – 2.7% | | | |
| | AMETEK Inc | | 15,754 | | | 2,316,468 | |
| | GrafTech International Ltd | | 121,248 | | | 1,434,364 | |
| | | 3,750,832 | |
Electronic Equipment, Instruments & Components – 1.1% | | | |
| | Vontier Corp | | 51,241 | | | 1,574,636 | |
Energy Equipment & Services – 1.1% | | | |
| | Baker Hughes Co | | 65,126 | | | 1,566,932 | |
Entertainment – 1.0% | | | |
| | Activision Blizzard Inc | | 20,999 | | | 1,397,063 | |
Equity Real Estate Investment Trusts (REITs) – 9.7% | | | |
| | Americold Realty Trust | | 38,219 | | | 1,253,201 | |
| | Apple Hospitality Inc | | 162,282 | | | 2,620,854 | |
| | Equity LifeStyle Properties Inc | | 44,613 | | | 3,910,776 | |
| | Equity Residential | | 19,668 | | | 1,779,954 | |
| | Lamar Advertising Co | | 13,776 | | | 1,671,029 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Equity Real Estate Investment Trusts (REITs)– (continued) | | | |
| | Weyerhaeuser Co | | 49,754 | | | $2,048,870 | |
| | | 13,284,684 | |
Food & Staples Retailing – 1.9% | | | |
| | Casey's General Stores Inc | | 13,208 | | | 2,606,599 | |
Food Products – 1.4% | | | |
| | Lamb Weston Holdings Inc | | 30,148 | | | 1,910,780 | |
Health Care Equipment & Supplies – 2.4% | | | |
| | Envista Holdings Corp* | | 56,352 | | | 2,539,221 | |
| | Globus Medical Inc* | | 9,855 | | | 711,531 | |
| | | 3,250,752 | |
Health Care Providers & Services – 5.8% | | | |
| | Cardinal Health Inc | | 33,386 | | | 1,719,045 | |
| | Henry Schein Inc* | | 31,780 | | | 2,463,903 | |
| | Laboratory Corp of America Holdings* | | 11,783 | | | 3,702,336 | |
| | | 7,885,284 | |
Health Care Technology – 1.5% | | | |
| | Cerner Corp | | 21,430 | | | 1,990,204 | |
Industrial Conglomerates – 1.0% | | | |
| | Carlisle Cos Inc | | 5,609 | | | 1,391,705 | |
Information Technology Services – 1.6% | | | |
| | Global Payments Inc | | 15,837 | | | 2,140,846 | |
Insurance – 6.7% | | | |
| | Globe Life Inc | | 22,403 | | | 2,099,609 | |
| | Hartford Financial Services Group Inc | | 39,048 | | | 2,695,874 | |
| | Reinsurance Group of America Inc | | 10,204 | | | 1,117,236 | |
| | RenaissanceRe Holdings Ltd | | 19,352 | | | 3,276,874 | |
| | | 9,189,593 | |
Internet & Direct Marketing Retail – 0.8% | | | |
| | Qurate Retail Inc | | 151,367 | | | 1,150,389 | |
Life Sciences Tools & Services – 1.1% | | | |
| | Agilent Technologies Inc | | 9,562 | | | 1,526,573 | |
Machinery – 2.9% | | | |
| | Lincoln Electric Holdings Inc | | 13,651 | | | 1,903,905 | |
| | Oshkosh Corp | | 18,228 | | | 2,054,478 | |
| | | 3,958,383 | |
Media – 2.6% | | | |
| | Discovery Inc* | | 58,570 | | | 1,341,253 | |
| | Fox Corp - Class B | | 63,622 | | | 2,180,326 | |
| | | 3,521,579 | |
Multi-Utilities – 1.2% | | | |
| | DTE Energy Co | | 13,491 | | | 1,612,714 | |
Oil, Gas & Consumable Fuels – 3.3% | | | |
| | Cabot Oil & Gas Corp | | 103,079 | | | 1,958,501 | |
| | Marathon Petroleum Corp | | 15,645 | | | 1,001,124 | |
| | Pioneer Natural Resources Co | | 8,436 | | | 1,534,340 | |
| | | 4,493,965 | |
Professional Services – 1.0% | | | |
| | Mantech International Corp | | 17,967 | | | 1,310,333 | |
Road & Rail – 0.8% | | | |
| | Canadian Pacific Railway Ltd | | 15,012 | | | 1,079,963 | |
Semiconductor & Semiconductor Equipment – 4.6% | | | |
| | CMC Materials Inc | | 8,629 | | | 1,654,093 | |
| | Microchip Technology Inc | | 17,855 | | | 1,554,456 | |
| | MKS Instruments Inc | | 10,569 | | | 1,840,803 | |
| | Teradyne Inc | | 7,835 | | | 1,281,258 | |
| | | 6,330,610 | |
Software – 2.4% | | | |
| | Black Knight Inc* | | 22,486 | | | 1,863,865 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Software– (continued) | | | |
| | Synopsys Inc* | | 3,959 | | | $1,458,892 | |
| | | 3,322,757 | |
Specialty Retail – 2.5% | | | |
| | AutoZone Inc* | | 954 | | | 1,999,956 | |
| | O'Reilly Automotive Inc* | | 1,945 | | | 1,373,617 | |
| | | 3,373,573 | |
Textiles, Apparel & Luxury Goods – 2.8% | | | |
| | Columbia Sportswear Co | | 6,787 | | | 661,325 | |
| | Hanesbrands Inc | | 124,931 | | | 2,088,846 | |
| | Levi Strauss & Co | | 45,989 | | | 1,151,105 | |
| | | 3,901,276 | |
Trading Companies & Distributors – 2.0% | | | |
| | GATX Corp | | 12,126 | | | 1,263,408 | |
| | MSC Industrial Direct Co Inc | | 16,981 | | | 1,427,423 | |
| | | 2,690,831 | |
Total Common Stocks (cost $98,533,531) | | 133,880,098 | |
Repurchase Agreements– 2.5% | | | |
| | ING Financial Markets LLC, Joint repurchase agreement, 0.0200%, dated 12/31/21, maturing 1/3/22 to be repurchased at $3,400,006 collateralized by $3,235,296 in U.S. Treasuries 0.2500% - 6.6250%, 2/28/22 - 2/15/51 with a value of $3,468,008((cost $3,400,000) | | $3,400,000 | | | 3,400,000 | |
Total Investments (total cost $101,933,531) – 100.2% | | 137,280,098 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.2)% | | (308,925) | |
Net Assets – 100% | | $136,971,173 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $134,960,973 | | 98.3 | % |
Sweden | | 1,239,162 | | 0.9 | |
Canada | | 1,079,963 | | 0.8 | |
| | | | | | |
| | | | | | |
Total | | $137,280,098 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Schedule of Investments and Other Information
| | |
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 December 31, 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 | $ | 133,880,098 | $ | - | $ | - |
Repurchase Agreements | | - | | 3,400,000 | | - |
Total Assets | $ | 133,880,098 | $ | 3,400,000 | $ | - |
| | | | | | | |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Investments, at value (cost $98,533,531) | | $ | 133,880,098 | |
| Repurchase agreements, at value (cost $3,400,000) | | | 3,400,000 | |
| Cash | | | 47,693 | |
| Non-interested Trustees' deferred compensation | | | 3,573 | |
| Receivables: | | | | |
| | Dividends | | | 187,939 | |
| | Portfolio shares sold | | | 69,999 | |
| Other assets | | | 1,169 | |
Total Assets | | | 137,590,471 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Investments purchased | | | 413,761 | |
| | Advisory fees | | | 62,965 | |
| | Portfolio shares repurchased | | | 51,127 | |
| | Professional fees | | | 37,348 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 17,327 | |
| | Transfer agent fees and expenses | | | 6,411 | |
| | Non-interested Trustees' deferred compensation fees | | | 3,573 | |
| | Custodian fees | | | 1,094 | |
| | Affiliated portfolio administration fees payable | | | 301 | |
| | Non-interested Trustees' fees and expenses | | | 43 | |
| | Accrued expenses and other payables | | | 25,348 | |
Total Liabilities | | | 619,298 | |
Net Assets | | $ | 136,971,173 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 91,766,648 | |
| Total distributable earnings (loss) | | | 45,204,525 | |
Total Net Assets | | $ | 136,971,173 | |
Net Assets - Institutional Shares | | $ | 58,535,906 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,062,005 | |
Net Asset Value Per Share | | $ | 19.12 | |
Net Assets - Service Shares | | $ | 78,435,267 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 4,271,428 | |
Net Asset Value Per Share | | $ | 18.36 | |
| | |
See Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 2,050,759 | |
| Interest | | 731 | |
| Other income | | 129 | |
| Foreign tax withheld | | (3,117) | |
Total Investment Income | | 2,048,502 | |
Expenses: | | | |
| Advisory fees | | 656,650 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 185,103 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 27,233 | |
| | Service Shares | | 37,021 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 2,212 | |
| | Service Shares | | 1,601 | |
| Professional fees | | 40,866 | |
| Registration fees | | 21,983 | |
| Shareholder reports expense | | 15,709 | |
| Custodian fees | | 4,317 | |
| Affiliated portfolio administration fees | | 3,608 | |
| Non-interested Trustees’ fees and expenses | | 2,069 | |
| Other expenses | | 51,304 | |
Total Expenses | | 1,049,676 | |
Net Investment Income/(Loss) | | 998,826 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments | | 12,968,913 | |
Total Net Realized Gain/(Loss) on Investments | | 12,968,913 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments and non-interested Trustees’ deferred compensation | | 8,552,472 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 8,552,472 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 22,520,211 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Mid Cap Value Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 998,826 | | $ | 1,111,404 | |
| Net realized gain/(loss) on investments | | 12,968,913 | | | (3,957,666) | |
| Change in unrealized net appreciation/depreciation | | 8,552,472 | | | 1,699,362 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 22,520,211 | | | (1,146,900) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (248,276) | | | (1,291,851) | |
| | Service Shares | | (228,918) | | | (1,965,969) | |
Net Decrease from Dividends and Distributions to Shareholders | | (477,194) | | | (3,257,820) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | 710,776 | | | 4,239,826 | |
| | Service Shares | | (2,287,624) | | | (1,267,723) | |
Net Increase/(Decrease) from Capital Share Transactions | | (1,576,848) | | | 2,972,103 | |
Net Increase/(Decrease) in Net Assets | | 20,466,169 | | | (1,432,617) | |
Net Assets: | | | | | | |
| Beginning of period | | 116,505,004 | | | 117,937,621 | |
| End of period | $ | 136,971,173 | | $ | 116,505,004 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Mid Cap Value Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $16.04 | | | $16.73 | | | $14.08 | | | $18.02 | | | $16.55 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.16 | | | 0.18 | | | 0.21 | | | 0.17 | | | 0.12 | |
| | Net realized and unrealized gain/(loss) | | 3.00 | | | (0.41) | | | 3.90 | | | (2.40) | | | 2.13 | |
| Total from Investment Operations | | 3.16 | | | (0.23) | | | 4.11 | | | (2.23) | | | 2.25 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.08) | | | (0.18) | | | (0.19) | | | (0.18) | | | (0.14) | |
| | Distributions (from capital gains) | | — | | | (0.28) | | | (1.27) | | | (1.53) | | | (0.64) | |
| Total Dividends and Distributions | | (0.08) | | | (0.46) | | | (1.46) | | | (1.71) | | | (0.78) | |
| Net Asset Value, End of Period | | $19.12 | | | $16.04 | | | $16.73 | | | $14.08 | | | $18.02 | |
| Total Return* | | 19.73% | | | (0.92)% | | | 30.35% | | | (13.63)% | | | 13.94% | |
| Net Assets, End of Period (in thousands) | | $58,536 | | | $48,538 | | | $45,771 | | | $36,265 | | | $43,609 | |
| Average Net Assets for the Period (in thousands) | | $54,542 | | | $40,480 | | | $41,788 | | | $42,219 | | | $46,007 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.67% | | | 0.81% | | | 0.81% | | | 0.81% | | | 0.70% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.67% | | | 0.81% | | | 0.81% | | | 0.81% | | | 0.70% | |
| | Ratio of Net Investment Income/(Loss) | | 0.90% | | | 1.24% | | | 1.32% | | | 1.03% | | | 0.71% | |
| Portfolio Turnover Rate | | 63% | | | 44% | | | 43% | | | 42% | | | 48% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $15.42 | | | $16.12 | | | $13.62 | | | $17.49 | | | $16.10 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.12 | | | 0.13 | | | 0.16 | | | 0.13 | | | 0.08 | |
| | Net realized and unrealized gain/(loss) | | 2.87 | | | (0.40) | | | 3.77 | | | (2.32) | | | 2.06 | |
| Total from Investment Operations | | 2.99 | | | (0.27) | | | 3.93 | | | (2.19) | | | 2.14 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.05) | | | (0.15) | | | (0.16) | | | (0.15) | | | (0.11) | |
| | Distributions (from capital gains) | | — | | | (0.28) | | | (1.27) | | | (1.53) | | | (0.64) | |
| Total Dividends and Distributions | | (0.05) | | | (0.43) | | | (1.43) | | | (1.68) | | | (0.75) | |
| Net Asset Value, End of Period | | $18.36 | | | $15.42 | | | $16.12 | | | $13.62 | | | $17.49 | |
| Total Return* | | 19.42% | | | (1.21)% | | | 30.05% | | | (13.82)% | | | 13.63% | |
| Net Assets, End of Period (in thousands) | | $78,435 | | | $67,967 | | | $72,167 | | | $62,334 | | | $76,123 | |
| Average Net Assets for the Period (in thousands) | | $74,166 | | | $62,469 | | | $68,198 | | | $72,480 | | | $74,099 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.92% | | | 1.06% | | | 1.05% | | | 1.06% | | | 0.95% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.92% | | | 1.06% | | | 1.05% | | | 1.06% | | | 0.95% | |
| | Ratio of Net Investment Income/(Loss) | | 0.68% | | | 0.97% | | | 1.06% | | | 0.78% | | | 0.47% | |
| Portfolio Turnover Rate | | 63% | | | 44% | | | 43% | | | 42% | | | 48% | |
| | | | | | | | | | | | | | | | | | | |
| |
* 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 Mid Cap Value Portfolio
Notes to Financial Statements
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
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 Portfolio’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 Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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,
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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 | $ | 3,400,000 | $ | — | $ | (3,400,000) | $ | — |
| | | | | | | | | |
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. |
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
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
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
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 the Adviser 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 the Adviser 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 the Adviser 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 the Adviser’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease the Adviser’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
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
Rate plus/minus any Performance Adjustment. For the year ended December 31, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.51%.
Perkins Investment Management LLC (“Perkins”) previously served as subadviser to the Portfolio. Effective April 30, 2021, the subadvisory agreement between the Adviser and Perkins on behalf of the Portfolio was terminated.
Prior to April 30, 2021, the Adviser paid Perkins a subadvisory fee equal to 50% of the investment advisory fee paid by the Portfolio to the Adviser (plus or minus half of any performance fee adjustment, and net of any reimbursement of expenses incurred or fees waived by the Adviser). The subadvisory fee paid by the Adviser to Perkins adjusts up or down based on the Portfolio's performance relative to the Portfolio’s benchmark index over the performance measurement period.
The Adviser 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 the Adviser are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 2021.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $75,466 in purchases and $52,610 in sales, resulting in a net realized gain of $9,505. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 537,024 | $ 9,457,095 | $ - | $ - | $ - | $ (3,113) | $ 35,213,519 | |
During the year ended December 31, 2021, capital loss carryovers of $2,963,575 were utilized by the Portfolio. There are no unused capital loss carryovers.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2021 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 102,066,579 | $ 36,738,756 | $ (1,525,237) | $ 35,213,519 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 477,194 | $ - | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 1,181,474 | $ 2,076,346 | $ - | $ - | |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ - | $ (142,822) | $ 142,822 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 714,567 | $12,784,490 | | 921,063 | $13,094,646 |
Reinvested dividends and distributions | 13,398 | 248,276 | | 93,880 | 1,291,851 |
Shares repurchased | (692,363) | (12,321,990) | | (723,995) | (10,146,671) |
Net Increase/(Decrease) | 35,602 | $ 710,776 | | 290,948 | $ 4,239,826 |
Service Shares: | | | | | |
Shares sold | 496,689 | $ 8,637,228 | | 695,052 | $ 9,283,333 |
Reinvested dividends and distributions | 12,864 | 228,918 | | 149,411 | 1,965,969 |
Shares repurchased | (645,292) | (11,153,770) | | (914,571) | (12,517,025) |
Net Increase/(Decrease) | (135,739) | $ (2,287,624) | | (70,108) | $ (1,267,723) |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$78,636,024 | $ 80,221,430 | - | - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Mid Cap Value Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Mid Cap Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Mid Cap Value Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Mid Cap Value Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Dividends Received Deduction Percentage | 100% |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Mid Cap Value Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Mid Cap Value Portfolio
Notes
NotesPage1
Janus Henderson VIT Mid Cap Value Portfolio
Notes
NotesPage2
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81122 03-22 |
| | | | | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Overseas Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Overseas Portfolio
Janus Henderson VIT Overseas Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT We believe that superior risk-adjusted returns depend on incorporating independent and uncorrelated sources of excess return, while executing fundamental and behavioral analyses to identify the most attractive investment opportunities. Our focus is to generate excess returns by capitalizing on the dislocation between market expectations and our assessment of free-cash-flow growth. | | | | 
Julian McManus co-portfolio manager | 
George Maris co-portfolio manager |
| | | |
PERFORMANCE OVERVIEW
For the 12-month period ended December 31, 2021, the Janus Henderson VIT Overseas Portfolio’s Institutional Shares and Service Shares returned 13.58% and 13.29%, respectively. The Portfolio’s benchmark, the MSCI All Country World ex U.S. IndexSM, returned 7.82% during the period.
MARKET ENVIRONMENT
The approval and rollout of COVID-19 vaccines at the start of the period, as well as ongoing accommodative policies from central banks around the world, put the global economy firmly on a path to recovery. While fiscal and monetary programs supported the recovery, increasing expectations for growth and inflation pushed global bond yields higher. European sovereign 10-year yields rose from negative 60 basis points to negative 10 basis points, and emerging markets saw even more pronounced moves, with Brazilian government bond 10-year yields jumping from 8% to 11%. This backup in interest rates fueled a widespread rotation out of long-duration growth and technology stocks, where high valuations had been supported by the notion that both macroeconomic growth and cost of capital would remain low, and into cyclical stocks that generally perform well in a robust macro backdrop associated with higher rates. Despite continued recovery in the global economy, rates temporarily retraced over the summer as markets were dismayed by the rapid spread of the Delta variant of the COVID-19 virus. Businesses and markets also were challenged by supply chain disruption. Some were self-inflicted (Brexit, for example, caused shortages of truck drivers and key supplies such as gasoline in the UK), but others were exogenous, ranging from natural gas shortages across Europe to semiconductor shortages globally. These were further exacerbated by new Chinese government policies aimed at reducing carbon emissions and energy intensity across China’s economy. This had the effect of restricting the supply of many critical upstream materials normally taken for granted, from silicon to magnesium. The resulting shortages and dislocation of logistics chains fueled a pronounced increase in inflation across most geographies, prompting a number of central banks to begin shifting away from ultra-loose monetary policies. Notably, the Bank of England (BoE) became the first G7 central bank to raise rates since the start of the pandemic. Markets also struggled to parameterize the burgeoning liquidity crisis in the Chinese property development sector, centered primarily on Evergrande. In the final weeks of the period, investors briefly worried that a resurgence in COVID-19 cases would jeopardize the global economic recovery. However, fears dissipated after it became apparent that, while highly contagious, the Omicron variant of COVID-19 was less severe than earlier variants of the virus. Despite these various challenges, international markets managed to hold onto solid gains for the period.
PERFORMANCE DISCUSSION
We employ a high-conviction investment approach seeking strong, risk-adjusted performance over the long term. Over time, we aim to generate excess returns by identifying companies whose free cash flow growth is underestimated by the market and combining them in a risk-efficient portfolio. We were pleased to see our conviction rewarded once again during the year, as many company- and industry-specific views we expressed in our portfolio crystallized and drove stocks associated with those views higher.
Top relative contributors included Ferguson, a leading global distributor of plumbing and HVAC supplies. Although Ferguson currently is a UK-listed stock, 95% of its revenue is generated in the U.S. This motivated the company to register for a secondary listing on the New York Stock Exchange (NYSE) in March 2021, and, more recently, to propose moving its primary listing from the UK to the U.S. Since trading on the NYSE, Ferguson has
Janus Henderson VIT Overseas Portfolio (unaudited)
attracted more analyst coverage, leading to multiple expansion, gradually bringing the stock closer to the higher valuations of Ferguson’s U.S. peers. Adding to stock gains were strong quarterly earnings driven by market share gains and substantial revenue growth.
Rising demand for crude oil, a surge in oil prices and a recovering economy drove share strength for natural gas and oil producer Canadian Natural Resources. Operationally, the company continued to execute well and generated strong free cash flow, which it plans to allocate to strategic growth and return of capital to shareholders. During the quarter, we were pleased to see Canadian Natural Resources boost its quarterly dividend by 25%, demonstrating its commitment to increasing shareholder returns. A targeted capital investment program yielding operating efficiencies further added to our conviction in the company.
While pleased with the Portfolio’s outperformance, select holdings weighed on results. Notable detractors were stocks caught in the downdraft caused by China’s increased regulation of private enterprises, including social media and gaming company Tencent Holdings and e-commerce giant Alibaba Group Holding. Under a common prosperity theme, the Chinese government implemented intrusive policy changes across a swath of industries. Although concerns about the impact of tighter regulation and signs of a slowdown in China’s economy led us to adjust our earnings estimates for China-exposed holdings, including Tencent and Alibaba, we retained positions in these companies as both are in alignment with government objectives and possess underrated free cash flow growth outlooks.
OUTLOOK
Looking ahead, we expect continued volatility in equity markets as the world adjusts to crosscurrents in central bank and fiscal policy. While inflation is likely to remain the key driver of policy change, not all central banks will take the same approach to managing inflation, as recently demonstrated by the diverging policy choices at the European Central Bank and BoE. Another dynamic that could continue to fuel near-term market volatility is the elevated level of systematic trading activity resulting from pandemic-related shifts in investors’ behaviors and ultra-loose monetary policies. Although rising interest rates may ultimately change this dynamic, we think equity returns could continue to be impacted in the short term.
As seasoned investors, we strive to look through noise in the markets to identify buying opportunities resulting from market dislocations. In particular, we are focused on companies that our research indicates possess free cash flow growth that is underestimated by the market. In doing so, we are preparing for an environment where we believe the cost of capital will be higher while also positioning the Portfolio more defensively in anticipation of a continuation of speculative, non-fundamental trading activity.
Thank you for your continued investment in Janus Henderson VIT Overseas Portfolio.
Janus Henderson VIT Overseas Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Ferguson PLC | 5.17% | | 2.17% | | Tencent Holdings Ltd | 3.88% | | -0.81% |
| Canadian Natural Resources Ltd | 3.15% | | 1.76% | | Takeda Pharmaceutical Co Ltd | 2.16% | | -0.71% |
| Teck Resources Ltd | 3.41% | | 1.51% | | Alibaba Group Holding Ltd | 2.22% | | -0.70% |
| ASML Holding NV | 4.26% | | 1.48% | | AIA Group Ltd | 3.15% | | -0.70% |
| BNP Paribas SA | 3.80% | | 0.96% | | Nintendo Co Ltd | 1.80% | | -0.58% |
| | | | | | | |
| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World ex-U.S. Index |
| | | Contribution | | Average Weight | Average Weight |
| Materials | | 1.72% | | 9.09% | 8.24% |
| Energy | | 1.35% | | 5.04% | 4.57% |
| Information Technology | | 0.99% | | 14.33% | 13.05% |
| Consumer Staples | | 0.95% | | 7.19% | 8.49% |
| Industrials | | 0.91% | | 11.13% | 11.93% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World ex-U.S. Index |
| | | Contribution | | Average Weight | Average Weight |
| Communication Services | | -0.47% | | 9.16% | 6.69% |
| Health Care | | -0.37% | | 9.99% | 9.26% |
| Other** | | -0.13% | | 1.21% | 0.00% |
| Utilities | | 0.15% | | 0.00% | 3.10% |
| Real Estate | | 0.27% | | 0.00% | 2.53% |
| | | | | | | |
| 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | 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 Henderson VIT Overseas Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Ferguson PLC | |
Trading Companies & Distributors | 6.6% |
Taiwan Semiconductor Manufacturing Co Ltd | |
Semiconductor & Semiconductor Equipment | 4.5% |
BNP Paribas SA | |
Banks | 4.5% |
AstraZeneca PLC | |
Pharmaceuticals | 4.3% |
Teck Resources Ltd | |
Metals & Mining | 3.9% |
| | 23.8% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 98.8% | |
Investment Companies | | 1.0% | |
Other | | 0.2% |
| | | 100.0% |
Emerging markets comprised 18.7% of total net assets.
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
Janus Henderson VIT Overseas Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 13.58% | 13.35% | 6.25% | 8.88% | | | 0.83% |
Service Shares | | 13.29% | 13.08% | 5.98% | 8.71% | | | 1.08% |
MSCI All Country World ex-U.S. Index | | 7.82% | 9.61% | 7.28% | N/A** | | | |
Morningstar Quartile - Institutional Shares | | 1st | 1st | 4th | 1st | | | |
Morningstar Ranking - based on total returns for Foreign Large Blend Funds | | 75/776 | 24/682 | 508/554 | 7/126 | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
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.
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.
Janus Henderson VIT Overseas 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 – 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.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,009.60 | $4.46 | | $1,000.00 | $1,020.77 | $4.48 | 0.88% |
Service Shares | $1,000.00 | $1,008.30 | $5.72 | | $1,000.00 | $1,019.51 | $5.75 | 1.13% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 98.8% | | | |
Aerospace & Defense – 3.1% | | | |
| | Airbus SE* | | 176,472 | | | $22,572,537 | |
Banks – 10.6% | | | |
| | BNP Paribas SA | | 484,218 | | | 33,498,318 | |
| | China Construction Bank Corp | | 23,844,000 | | | 16,513,101 | |
| | Erste Group Bank AG | | 475,190 | | | 22,368,437 | |
| | Permanent TSB Group Holdings PLC* | | 3,507,426 | | | 6,388,536 | |
| | | 78,768,392 | |
Beverages – 7.8% | | | |
| | Diageo PLC | | 527,701 | | | 28,822,774 | |
| | Heineken NV | | 255,004 | | | 28,698,582 | |
| | | 57,521,356 | |
Biotechnology – 0.7% | | | |
| | Ascendis Pharma A/S (ADR)* | | 40,936 | | | 5,507,120 | |
Building Products – 1.2% | | | |
| | Assa Abloy AB | | 278,285 | | | 8,509,058 | |
Electronic Equipment, Instruments & Components – 2.7% | | | |
| | Hexagon AB - Class B | | 1,276,212 | | | 20,295,345 | |
Entertainment – 4.6% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 259,484 | | | 16,409,768 | |
| | Nintendo Co Ltd | | 25,400 | | | 11,848,622 | |
| | Sea Ltd (ADR)* | | 24,482 | | | 5,476,868 | |
| | | 33,735,258 | |
Hotels, Restaurants & Leisure – 4.9% | | | |
| | GVC Holdings PLC* | | 1,028,867 | | | 23,433,656 | |
| | Yum China Holdings Inc | | 266,150 | | | 13,059,519 | |
| | | 36,493,175 | |
Insurance – 9.9% | | | |
| | AIA Group Ltd | | 1,882,800 | | | 18,979,401 | |
| | Beazley PLC* | | 2,038,645 | | | 12,864,820 | |
| | NN Group NV | | 511,859 | | | 27,742,230 | |
| | Prudential PLC | | 725,885 | | | 12,520,001 | |
| | Prudential PLCž | | 59,500 | | | 1,014,140 | |
| | | 73,120,592 | |
Interactive Media & Services – 3.4% | | | |
| | NAVER Corp* | | 26,609 | | | 8,473,420 | |
| | Tencent Holdings Ltd | | 290,400 | | | 17,012,905 | |
| | | 25,486,325 | |
Internet & Direct Marketing Retail – 1.4% | | | |
| | Alibaba Group Holding Ltd* | | 693,016 | | | 10,567,710 | |
Machinery – 1.0% | | | |
| | Alstom SA | | 200,105 | | | 7,111,868 | |
Metals & Mining – 8.8% | | | |
| | Freeport-McMoRan Inc | | 334,775 | | | 13,970,161 | |
| | Hindustan Zinc Ltd | | 3,692,019 | | | 15,735,766 | |
| | Rio Tinto Ltd | | 90,151 | | | 6,564,794 | |
| | Teck Resources Ltd | | 1,012,362 | | | 29,159,035 | |
| | | 65,429,756 | |
Oil, Gas & Consumable Fuels – 5.7% | | | |
| | Canadian Natural Resources Ltd | | 657,542 | | | 27,781,150 | |
| | Total SE | | 283,876 | | | 14,422,761 | |
| | | 42,203,911 | |
Personal Products – 1.0% | | | |
| | Unilever PLC | | 137,732 | | | 7,354,169 | |
Pharmaceuticals – 9.2% | | | |
| | AstraZeneca PLC | | 272,225 | | | 31,970,126 | |
| | Novartis AG | | 172,127 | | | 15,170,003 | |
| | Sanofi | | 157,451 | | | 15,877,201 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Pharmaceuticals– (continued) | | | |
| | Takeda Pharmaceutical Co Ltd | | 199,474 | | | $5,440,831 | |
| | | 68,458,161 | |
Road & Rail – 2.1% | | | |
| | Central Japan Railway Co | | 118,300 | | | 15,783,962 | |
Semiconductor & Semiconductor Equipment – 8.3% | | | |
| | ASML Holding NV | | 34,918 | | | 28,091,653 | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 1,507,000 | | | 33,510,684 | |
| | | 61,602,337 | |
Specialty Retail – 1.2% | | | |
| | Industria de Diseno Textil SA | | 264,736 | | | 8,598,201 | |
Technology Hardware, Storage & Peripherals – 2.5% | | | |
| | Samsung Electronics Co Ltd | | 275,501 | | | 18,148,854 | |
Textiles, Apparel & Luxury Goods – 2.1% | | | |
| | Samsonite International SA (144A)* | | 7,721,100 | | | 15,685,202 | |
Trading Companies & Distributors – 6.6% | | | |
| | Ferguson PLC | | 275,003 | | | 48,772,067 | |
Total Common Stocks (cost $526,723,669) | | 731,725,356 | |
Investment Companies– 1.0% | | | |
Money Markets – 1.0% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $7,432,227) | | 7,431,484 | | | 7,432,227 | |
Total Investments (total cost $534,155,896) – 99.8% | | 739,157,583 | |
Cash, Receivables and Other Assets, net of Liabilities – 0.2% | | 1,502,701 | |
Net Assets – 100% | | $740,660,284 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United Kingdom | | $117,979,686 | | 16.0 | % |
France | | 93,482,685 | | 12.6 | |
United States | | 86,584,223 | | 11.7 | |
Netherlands | | 84,532,465 | | 11.4 | |
China | | 57,153,235 | | 7.7 | |
Canada | | 56,940,185 | | 7.7 | |
Taiwan | | 38,987,552 | | 5.3 | |
Hong Kong | | 34,664,603 | | 4.7 | |
Japan | | 33,073,415 | | 4.5 | |
Sweden | | 28,804,403 | | 3.9 | |
South Korea | | 26,622,274 | | 3.6 | |
Austria | | 22,368,437 | | 3.0 | |
India | | 15,735,766 | | 2.1 | |
Switzerland | | 15,170,003 | | 2.1 | |
Spain | | 8,598,201 | | 1.2 | |
Australia | | 6,564,794 | | 0.9 | |
Ireland | | 6,388,536 | | 0.9 | |
Denmark | | 5,507,120 | | 0.7 | |
| | | | | | |
| | | | | | |
Total | | $739,157,583 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments
December 31, 2021
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 1.0% |
Money Markets - 1.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 4,936 | $ | 27 | $ | (27) | $ | 7,432,227 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 153,369∆ | | - | | - | | - |
Total Affiliated Investments - 1.0% | $ | 158,305 | $ | 27 | $ | (27) | $ | 7,432,227 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 1.0% |
Money Markets - 1.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 7,542,930 | | 100,237,486 | | (100,348,189) | | 7,432,227 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | - | | 144,363,069 | | (144,363,069) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Overseas Portfolio
Notes to Schedule of Investments and Other Information
| | |
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 year ended December 31, 2021 is $15,685,202, which represents 2.1% of net assets. |
| | |
* | Non-income producing security. |
| | |
ž | Issued by the same entity and traded on separate exchanges. |
| | |
ºº | Rate shown is the 7-day yield as of December 31, 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 December 31, 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 | $ | 731,725,356 | $ | - | $ | - |
Investment Companies | | - | | 7,432,227 | | - |
Total Assets | $ | 731,725,356 | $ | 7,432,227 | $ | - |
| | | | | | | |
Janus Henderson VIT Overseas Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $526,723,669) | | $ | 731,725,356 | |
| Affiliated investments, at value (cost $7,432,227) | | | 7,432,227 | |
| Cash denominated in foreign currency (cost $135,208) | | | 135,208 | |
| Non-interested Trustees' deferred compensation | | | 19,301 | |
| Receivables: | | | | |
| | Portfolio shares sold | | | 1,119,659 | |
| | Foreign tax reclaims | | | 758,105 | |
| | Investments sold | | | 505,729 | |
| | Dividends | | | 458,848 | |
| | Dividends from affiliates | | | 246 | |
| Other assets | | | 69,173 | |
Total Assets | | | 742,223,852 | |
Liabilities: | | | | |
| Due to custodian | | | 107 | |
| Payables: | | | — | |
| | Advisory fees | | | 498,965 | |
| | Investments purchased | | | 449,971 | |
| | Portfolio shares repurchased | | | 285,280 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 125,129 | |
| | Printing fees | | | 57,019 | |
| | Professional fees | | | 45,536 | |
| | Transfer agent fees and expenses | | | 33,822 | |
| | Non-interested Trustees' deferred compensation fees | | | 19,301 | |
| | Custodian fees | | | 15,651 | |
| | Affiliated portfolio administration fees payable | | | 1,624 | |
| | Non-interested Trustees' fees and expenses | | | 388 | |
| | Accrued expenses and other payables | | | 30,775 | |
Total Liabilities | | | 1,563,568 | |
Net Assets | | $ | 740,660,284 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 772,378,149 | |
| Total distributable earnings (loss) (includes $85,314 of foreign capital gains tax) | | | (31,717,865) | |
Total Net Assets | | $ | 740,660,284 | |
Net Assets - Institutional Shares | | $ | 170,166,458 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,965,059 | |
Net Asset Value Per Share | | $ | 42.92 | |
Net Assets - Service Shares | | $ | 570,493,826 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 13,906,591 | |
Net Asset Value Per Share | | $ | 41.02 | |
| | |
See Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT Overseas Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 18,307,003 | |
| Affiliated securities lending income, net | | 153,369 | |
| Dividends from affiliates | | 4,936 | |
| Unaffiliated securities lending income, net | | 609 | |
| Other income | | 282 | |
| Foreign tax withheld | | (1,874,545) | |
Total Investment Income | | 16,591,654 | |
Expenses: | | | |
| Advisory fees | | 5,692,276 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 1,416,069 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 83,913 | |
| | Service Shares | | 283,214 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 5,979 | |
| | Service Shares | | 9,267 | |
| Shareholder reports expense | | 71,788 | |
| Custodian fees | | 67,299 | |
| Professional fees | | 58,820 | |
| Registration fees | | 21,551 | |
| Affiliated portfolio administration fees | | 20,599 | |
| Non-interested Trustees’ fees and expenses | | 11,835 | |
| Other expenses | | 74,975 | |
Total Expenses | | 7,817,585 | |
Net Investment Income/(Loss) | | 8,774,069 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 76,508,613 | |
| Investments in affiliates | | 27 | |
Total Net Realized Gain/(Loss) on Investments | | 76,508,640 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation | | 6,019,885 | |
| Investments in affiliates | | (27) | |
Total Change in Unrealized Net Appreciation/Depreciation | | 6,019,858 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 91,302,567 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Overseas Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 8,774,069 | | $ | 5,909,225 | |
| Net realized gain/(loss) on investments | | 76,508,640 | | | 49,866,866 | |
| Change in unrealized net appreciation/depreciation | | 6,019,858 | | | 38,061,460 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 91,302,567 | | | 93,837,551 | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (1,925,877) | | | (1,836,451) | |
| | Service Shares | | (5,828,741) | | | (5,650,130) | |
Net Decrease from Dividends and Distributions to Shareholders | | (7,754,618) | | | (7,486,581) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (8,149,662) | | | (26,538,144) | |
| | Service Shares | | (34,092,164) | | | (61,562,845) | |
Net Increase/(Decrease) from Capital Share Transactions | | (42,241,826) | | | (88,100,989) | |
Net Increase/(Decrease) in Net Assets | | 41,306,123 | | | (1,750,019) | |
Net Assets: | | | | | | |
| Beginning of period | | 699,354,161 | | | 701,104,180 | |
| End of period | $ | 740,660,284 | | $ | 699,354,161 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Overseas Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $38.21 | | | $33.29 | | | $26.71 | | | $31.98 | | | $24.79 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.58 | | | 0.36 | | | 0.60 | | | 0.53 | | | 0.48 | |
| | Net realized and unrealized gain/(loss) | | 4.62 | | | 4.99 | | | 6.56 | | | (5.25) | | | 7.20 | |
| Total from Investment Operations | | 5.20 | | | 5.35 | | | 7.16 | | | (4.72) | | | 7.68 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.49) | | | (0.43) | | | (0.58) | | | (0.55) | | | (0.49) | |
| | Distributions (from capital gains) | | — | | | — | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.49) | | | (0.43) | | | (0.58) | | | (0.55) | | | (0.49) | |
| Net Asset Value, End of Period | | $42.92 | | | $38.21 | | | $33.29 | | | $26.71 | | | $31.98 | |
| Total Return* | | 13.61% | | | 16.30% | | | 27.02% | | | (14.94)% | | | 31.12% | |
| Net Assets, End of Period (in thousands) | | $170,166 | | | $159,005 | | | $165,881 | | | $143,912 | | | $184,546 | |
| Average Net Assets for the Period (in thousands) | | $168,216 | | | $138,082 | | | $154,209 | | | $172,398 | | | $176,815 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.87% | | | 0.83% | | | 0.75% | | | 0.60% | | | 0.57% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.87% | | | 0.83% | | | 0.75% | | | 0.60% | | | 0.57% | |
| | Ratio of Net Investment Income/(Loss) | | 1.38% | | | 1.15% | | | 2.00% | | | 1.71% | | | 1.65% | |
| Portfolio Turnover Rate | | 21% | | | 21% | | | 23% | | | 25% | | | 33% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $36.57 | | | $31.90 | | | $25.63 | | | $30.74 | | | $23.87 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.46 | | | 0.27 | | | 0.50 | | | 0.44 | | | 0.39 | |
| | Net realized and unrealized gain/(loss) | | 4.41 | | | 4.77 | | | 6.30 | | | (5.05) | | | 6.93 | |
| Total from Investment Operations | | 4.87 | | | 5.04 | | | 6.80 | | | (4.61) | | | 7.32 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.42) | | | (0.37) | | | (0.53) | | | (0.50) | | | (0.45) | |
| | Distributions (from capital gains) | | — | | | — | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.42) | | | (0.37) | | | (0.53) | | | (0.50) | | | (0.45) | |
| Net Asset Value, End of Period | | $41.02 | | | $36.57 | | | $31.90 | | | $25.63 | | | $30.74 | |
| Total Return* | | 13.32% | | | 15.99% | | | 26.76% | | | (15.17)% | | | 30.80% | |
| Net Assets, End of Period (in thousands) | | $570,494 | | | $540,349 | | | $535,223 | | | $483,432 | | | $636,671 | |
| Average Net Assets for the Period (in thousands) | | $567,812 | | | $468,995 | | | $508,303 | | | $587,476 | | | $598,500 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 1.12% | | | 1.08% | | | 0.99% | | | 0.85% | | | 0.82% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 1.12% | | | 1.08% | | | 0.99% | | | 0.85% | | | 0.82% | |
| | Ratio of Net Investment Income/(Loss) | | 1.14% | | | 0.92% | | | 1.76% | | | 1.46% | | | 1.40% | |
| Portfolio Turnover Rate | | 21% | | | 21% | | | 23% | | | 25% | | | 33% | |
| | | | | | | | | | | | | | | | | | | |
| |
* 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 Overseas Portfolio
Notes to Financial Statements
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Overseas Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Overseas Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. 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 Portfolio’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
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
States. These disruptions could prevent a Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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. Emerging market countries in which the Portfolio may invest include frontier market countries, the economies of which are less developed than other emerging market countries. To the extent that the Portfolio invests a significant amount of its assets in one or more of these countries, its returns and net asset value may be affected to a large degree by events and economic conditions in such countries. The risks of foreign investing are heightened when investing in emerging markets, which may result in the price of investments in emerging markets experiencing sudden and sharp price swings. In many developing markets, there is less government supervision and regulation of 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
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
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 Portfolio invests in Chinese local market securities.
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of December 31, 2021.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pay the Adviser 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 the Adviser 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 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 the Adviser’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease the Adviser’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 year ended December 31, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.77%.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent is not compensated for these
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser 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
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $432,945 in sales, resulting in a net realized loss of $66,314. The net realized loss is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes (reduced by foreign tax liability).
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 2,082,468 | $ - | $(235,589,532) | $ - | $ - | $ (20,221) | $201,809,420 | |
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2021, 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, 2021 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(42,918,086) | $(192,671,446) | $ (235,589,532) | | |
During the year ended December 31, 2021, capital loss carryovers of $76,621,589 were utilized by the Portfolio.
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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 straddle loss deferrals.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 537,433,477 | $ 224,043,483 | $ (22,319,377) | $ 201,724,106 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 7,754,618 | $ - | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 7,486,581 | $ - | $ - | $ - | |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ - | $ (71,194) | $ 71,194 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 363,203 | $ 15,114,342 | | 333,061 | $ 10,228,781 |
Reinvested dividends and distributions | 45,156 | 1,925,877 | | 56,583 | 1,836,451 |
Shares repurchased | (604,659) | (25,189,881) | | (1,211,285) | (38,603,376) |
Net Increase/(Decrease) | (196,300) | $ (8,149,662) | | (821,641) | $(26,538,144) |
Service Shares: | | | | | |
Shares sold | 1,115,065 | $ 44,799,979 | | 901,527 | $ 24,892,739 |
Reinvested dividends and distributions | 142,890 | 5,828,741 | | 181,432 | 5,650,130 |
Shares repurchased | (2,126,505) | (84,720,884) | | (3,088,372) | (92,105,714) |
Net Increase/(Decrease) | (868,550) | $(34,092,164) | | (2,005,413) | $(61,562,845) |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$147,369,718 | $ 188,800,793 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Overseas Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Overseas Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Overseas Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Overseas Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Foreign Taxes Paid | $1,653,710 |
Foreign Source Income | $13,752,112 |
Dividends Received Deduction Percentage | 1% |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
George P. Maris
151 Detroit Street
Denver, CO 80206
DOB: 1968 | Executive Vice President and Co-Portfolio Manager Janus Henderson Overseas Portfolio | 1/16-Present | Co-Head of Equities - Americas of Janus Henderson Investors and Portfolio Manager for other Janus Henderson accounts. |
Julian McManus
151 Detroit Street
Denver, CO 80206
DOB: 1970 | Executive Vice President and Co-Portfolio Manager
Janus Henderson Overseas Portfolio | 1/18-Present | Portfolio Manager for other Janus
Henderson accounts and Analyst for Janus Capital. |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
| | | | |
| |
Janus Henderson VIT Overseas Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Overseas Portfolio
Notes
NotesPage1
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81120 03-22 |
| | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT Research Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Research Portfolio
Janus Henderson VIT Research Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT We believe that the best way to generate consistent excess returns is stock picking based on independent research. We focus the risks of the Portfolio on what we feel are our strengths – research and stock selection – and seek to avoid unnecessary risks, specifically macro risks and other portfolio biases. Therefore, we let sector experts drive the process and pick their best ideas and use a portfolio oversight team to monitor the risk of the Portfolio and keep it focused on stock selection. | | | | | Team-Based Approach Led by Matthew Peron, Director of Research |
| | | |
PERFORMANCE OVERVIEW
For the 12-month period ending December 31, 2021, the Janus Henderson VIT Research Portfolio’s Institutional Shares and Service Shares returned 20.33% and 20.05%, respectively. The Portfolio’s primary benchmark, the Russell 1000® Growth Index, returned 27.60% and its secondary benchmark, the S&P 500® Index, returned 28.71%. Another benchmark we use to measure performance, the Core Growth Index, returned 28.22%. The Core Growth Index is an internally calculated benchmark combining returns from the Russell 1000 Growth Index (50%) and S&P 500 Index (50%).
INVESTMENT ENVIRONMENT
The approval and rollout of COVID-19 vaccines at the start of the period, as well as ongoing accommodative policies from central banks around the world, put the global economy firmly on a path to recovery. While fiscal and monetary programs supported the recovery, increasing expectations for growth and inflation pushed global bond yields higher, with the widely watched 10-year U.S. Treasury yield rising sharply in March. This fueled a rotation out of technology stocks, where high valuations were supported by the notion that growth and cost of capital will remain low, and into stocks that generally perform well in a rising rate environment. Despite continued growth in the global economy, the yield on the 10-year U.S. Treasury note pulled back in August. In November, after several months of describing the inflationary environment as “transitory,” the U.S. Federal Reserve (Fed) acknowledged that inflation was a greater concern than originally thought and announced that it would aggressively dial back its large-scale bond buying in response to rising inflation. The Fed also indicated it may raise interest rates as many as three times in 2022. Although rising consumer prices, persistent inflation, supply chain bottlenecks and the emergence of new variants of the COVID-19 virus fueled market volatility in the final months of the reporting period, markets finished the period with strong gains.
PERFORMANCE DISCUSSION
Our seven sector teams employ a bottom-up, fundamental approach to identify what we consider the best investment opportunities. Our analysts take a long-term view of companies with a focus on value creation and duration of growth, which may lead to high returns on invested capital. The Portfolio directly captures the insights of our teams through their highest-conviction ideas. In building a diversified portfolio, we seek to minimize macroeconomic risks while generating strong performance over longer periods.
Notable detractors during the period included select technology holdings, including ZenDesk. The customer service firm’s stock declined on concerns that its proposed acquisition of Momentive, operator of cloud-based survey tool Survey Monkey, would dilute ZenDesk’s financial performance. Stockholders of both companies will vote on the proposed merger in February. We maintained our position in the stock and will closely monitor developments.
The Portfolio’s underweight position in strong-performing Apple led to it being a relative detractor in the period. Despite ongoing supply chain constraints, Apple continued to report solid results. The market seems to be looking past these supply constraints and toward future strong product sales, including smartphones, wearables, personal computers and, potentially, virtual reality devices. Apple’s services business remains strong and continues to contribute to a more durable, recurring revenue model.
Software as a Service company RingCentral also detracted from relative results. Despite topping analysts’ quarterly earnings estimates and demonstrating accelerating growth, rising vaccination rates and a subsequent return to the office by workers led to
Janus Henderson VIT Research Portfolio (unaudited)
concerns that demand for RingCentral’s cloud-based communications products could slow. Heightened competition, pricing issues, and the departure of three executives over three months also weighed on the stock. With leadership in flux, we believe it will be difficult for RingCentral to execute on its strategy and we liquidated our position in the stock.
Although we are disappointed with the performance of these stocks, a number of our holdings delivered solid results, including technology holdings Nvidia and Atlassian. Nvidia’s stock jumped following an announcement by social media giant Meta Platforms (formerly Facebook), which also is a Portfolio holding, that it will significantly increase its capital spending plans for 2022 as it bolsters its data center network and infrastructure. As a leading producer of graphics processing units used in data centers, we believe Nvidia could benefit. Atlassian continued to report quarterly earnings that handily beat consensus estimates and issued second quarter fiscal 2022 guidance above estimates. The developer of enterprise software products plays a valuable role in enabling developers and IT teams to collaborate with each other more effectively.
Alternative asset management firm Blackstone Group also contributed. Performance in the company’s portfolios has been strong as a result of economic reopening, and Blackstone has been favorably positioned to capture capital migrating to alternatives, a long-term secular trend we believe is likely to continue.
OUTLOOK
Our outlook for 2022 is framed around our belief that the economic recovery will continue. With that said, the persistence of above-average inflation and shifting monetary policy could fuel market volatility. COVID-19 remains a risk to derail the expansion in 2022, but a lesser one than in 2021 given that we now have a broader set of tools that make it less likely outbreaks will be as disruptive as they were earlier in the pandemic. Notably, global supply chain disruptions remain an overhang from the pandemic, but we are optimistic they will stabilize by mid-2022. Greater concerns are inflation and Fed policy. While our view is that inflation will moderate, we are mindful that if it runs too hot for too long, central bankers globally may respond by scaling back the massive liquidity programs they introduced during the pandemic more aggressively and more quickly than initially projected. Against this backdrop, investors could find themselves navigating the market’s choppy waters in the first half of 2022 before finding solid footing in the second half.
Despite the potential for a bumpy start to 2022, we believe any market volatility would indicate a transition to the mid-cycle stage of the economic cycle – a stage in which we feel we are positioned to participate. Specifically, our holdings include companies believed to be driving or benefiting from secular growth trends such as e-commerce, cloud computing, digital payments and health care innovation. Furthermore, we are optimistic that a transition to the mid-cycle stage will likely favor our investment strategy of emphasizing quality and growth at a reasonable price and also allow broader sector participation in market gains.
Thank you for your investment in Janus Henderson VIT Research Portfolio.
Janus Henderson VIT Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| NVIDIA Corp | 4.07% | | 1.43% | | Zendesk Inc | 1.47% | | -0.94% |
| Atlassian Corp PLC - Class A | 1.23% | | 0.38% | | Apple Inc | 5.95% | | -0.90% |
| Blackstone Group Inc | 0.64% | | 0.29% | | RingCentral Inc | 0.87% | | -0.89% |
| Lam Research Corp | 1.62% | | 0.26% | | Vroom Inc | 0.23% | | -0.60% |
| Marvell Technology Inc | 0.31% | | 0.26% | | CoStar Group Inc | 1.25% | | -0.54% |
| | | | | | | |
| 3 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Other** | | 0.22% | | 0.98% | 0.77% |
| Energy | | 0.06% | | 0.26% | 0.22% |
| Financials | | -0.13% | | 8.83% | 8.84% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Technology | | -2.38% | | 38.00% | 38.10% |
| Consumer | | -2.11% | | 18.43% | 18.48% |
| Healthcare | | -1.00% | | 11.16% | 11.12% |
| Communications | | -0.61% | | 14.28% | 14.09% |
| Industrials | | -0.60% | | 8.06% | 8.38% |
| | | | | | | |
| 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.
Performance attribution reflects returns gross of advisory fees and may differ from actual returns as they are based on end of day holdings. Attribution is calculated by geometrically linking daily returns for the portfolio and index. |
* | 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 Henderson VIT Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 10.2% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 7.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 6.5% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 5.5% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 5.5% |
| | 34.7% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 99.7% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.3% | |
Investment Companies | | 0.3% | |
Other | | (0.3)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
Janus Henderson VIT Research Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | |
Average Annual Total Return - for the periods ended December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 20.33% | 21.99% | 17.45% | 10.10% | | | 0.60% |
Service Shares | | 20.05% | 21.68% | 17.16% | 9.81% | | | 0.85% |
Russell 1000 Growth Index | | 27.60% | 25.32% | 19.79% | 11.38% | | | |
S&P 500 Index | | 28.71% | 18.47% | 16.55% | 10.73% | | | |
Core Growth Index | | 28.22% | 21.89% | 18.18% | 11.09% | | | |
Morningstar Quartile - Institutional Shares | | 3rd | 3rd | 3rd | 3rd | | | |
Morningstar Ranking - based on total returns for Large Growth Funds | | 732/1,244 | 674/1,124 | 641/1,022 | 246/367 | | | |
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), Environmental, Social and Governance (ESG) factors, 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 Henderson VIT Research 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 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Institutional Shares | $1,000.00 | $1,076.10 | $3.19 | | $1,000.00 | $1,022.13 | $3.11 | 0.61% |
Service Shares | $1,000.00 | $1,074.80 | $4.50 | | $1,000.00 | $1,020.87 | $4.38 | 0.86% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 99.7% | | | |
Aerospace & Defense – 1.3% | | | |
| | Howmet Aerospace Inc | | 134,419 | | | $4,278,557 | |
| | Teledyne Technologies Inc* | | 10,278 | | | 4,490,355 | |
| | | 8,768,912 | |
Air Freight & Logistics – 1.6% | | | |
| | United Parcel Service Inc | | 53,983 | | | 11,570,716 | |
Auto Components – 0.8% | | | |
| | Aptiv PLC* | | 32,331 | | | 5,332,998 | |
Automobiles – 0.7% | | | |
| | Rivian Automotive Inc - Class A* | | 44,830 | | | 4,648,423 | |
Beverages – 1.4% | | | |
| | Constellation Brands Inc | | 39,198 | | | 9,837,522 | |
Biotechnology – 2.2% | | | |
| | AbbVie Inc | | 69,817 | | | 9,453,222 | |
| | Neurocrine Biosciences Inc* | | 5,638 | | | 480,188 | |
| | Sarepta Therapeutics Inc* | | 32,377 | | | 2,915,549 | |
| | Vertex Pharmaceuticals Inc* | | 11,135 | | | 2,445,246 | |
| | | 15,294,205 | |
Capital Markets – 1.3% | | | |
| | Apollo Global Management Inc | | 58,191 | | | 4,214,774 | |
| | Blackstone Group Inc | | 39,735 | | | 5,141,312 | |
| | | 9,356,086 | |
Chemicals – 1.0% | | | |
| | Sherwin-Williams Co | | 20,650 | | | 7,272,104 | |
Commercial Services & Supplies – 0.6% | | | |
| | Copart Inc* | | 27,991 | | | 4,243,995 | |
Entertainment – 2.7% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 122,338 | | | 7,736,655 | |
| | Netflix Inc* | | 18,763 | | | 11,303,582 | |
| | | 19,040,237 | |
Health Care Equipment & Supplies – 3.7% | | | |
| | Abbott Laboratories | | 17,958 | | | 2,527,409 | |
| | Align Technology Inc* | | 10,231 | | | 6,723,609 | |
| | Danaher Corp | | 8,209 | | | 2,700,843 | |
| | DexCom Inc* | | 3,857 | | | 2,071,016 | |
| | Edwards Lifesciences Corp* | | 50,978 | | | 6,604,200 | |
| | Intuitive Surgical Inc* | | 15,030 | | | 5,400,279 | |
| | | 26,027,356 | |
Health Care Providers & Services – 0.4% | | | |
| | UnitedHealth Group Inc | | 5,876 | | | 2,950,575 | |
Hotels, Restaurants & Leisure – 1.6% | | | |
| | Aramark | | 131,520 | | | 4,846,512 | |
| | Caesars Entertainment Inc* | | 70,901 | | | 6,631,371 | |
| | | 11,477,883 | |
Household Durables – 0.5% | | | |
| | Roku Inc* | | 14,171 | | | 3,233,822 | |
Household Products – 1.7% | | | |
| | Procter & Gamble Co | | 72,511 | | | 11,861,349 | |
Industrial Conglomerates – 0.7% | | | |
| | Honeywell International Inc | | 23,027 | | | 4,801,360 | |
Information Technology Services – 7.5% | | | |
| | Fidelity National Information Services Inc | | 40,856 | | | 4,459,432 | |
| | Mastercard Inc | | 55,021 | | | 19,770,146 | |
| | Okta Inc* | | 19,286 | | | 4,323,343 | |
| | Snowflake Inc - Class A* | | 18,818 | | | 6,374,598 | |
| | Visa Inc | | 82,809 | | | 17,945,538 | |
| | | 52,873,057 | |
Insurance – 0.7% | | | |
| | Aon PLC - Class A | | 15,208 | | | 4,570,916 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Interactive Media & Services – 10.4% | | | |
| | Alphabet Inc - Class C* | | 15,829 | | | $45,802,636 | |
| | Facebook Inc* | | 65,036 | | | 21,874,859 | |
| | Match Group Inc* | | 24,783 | �� | | 3,277,552 | |
| | Snap Inc - Class A* | | 54,811 | | | 2,577,761 | |
| | | 73,532,808 | |
Internet & Direct Marketing Retail – 9.5% | | | |
| | Amazon.com Inc* | | 14,840 | | | 49,481,606 | |
| | Booking Holdings Inc* | | 3,384 | | | 8,118,994 | |
| | DoorDash Inc - Class A* | | 19,541 | | | 2,909,655 | |
| | Farfetch Ltd - Class A* | | 85,865 | | | 2,870,467 | |
| | Wayfair Inc - Class A*,# | | 19,212 | | | 3,649,704 | |
| | | 67,030,426 | |
Life Sciences Tools & Services – 0.9% | | | |
| | Illumina Inc* | | 7,835 | | | 2,980,747 | |
| | Thermo Fisher Scientific Inc | | 5,106 | | | 3,406,927 | |
| | | 6,387,674 | |
Machinery – 1.2% | | | |
| | Deere & Co | | 9,757 | | | 3,345,578 | |
| | Ingersoll Rand Inc | | 86,507 | | | 5,352,188 | |
| | | 8,697,766 | |
Oil, Gas & Consumable Fuels – 0.4% | | | |
| | EOG Resources Inc | | 31,611 | | | 2,808,005 | |
Pharmaceuticals – 1.8% | | | |
| | AstraZeneca PLC (ADR) | | 103,271 | | | 6,015,536 | |
| | Eli Lilly & Co | | 15,262 | | | 4,215,670 | |
| | Horizon Therapeutics PLC* | | 20,293 | | | 2,186,774 | |
| | | 12,417,980 | |
Professional Services – 1.0% | | | |
| | CoStar Group Inc* | | 90,056 | | | 7,117,126 | |
Real Estate Management & Development – 0.3% | | | |
| | Redfin Corp* | | 55,144 | | | 2,116,978 | |
Road & Rail – 1.9% | | | |
| | JB Hunt Transport Services Inc | | 25,152 | | | 5,141,069 | |
| | Uber Technologies Inc* | | 202,193 | | | 8,477,952 | |
| | | 13,619,021 | |
Semiconductor & Semiconductor Equipment – 12.1% | | | |
| | Advanced Micro Devices Inc* | | 53,678 | | | 7,724,264 | |
| | ASML Holding NV | | 12,365 | | | 9,844,271 | |
| | Lam Research Corp | | 13,840 | | | 9,953,036 | |
| | Marvell Technology Inc | | 65,138 | | | 5,698,924 | |
| | NVIDIA Corp | | 130,891 | | | 38,496,352 | |
| | Texas Instruments Inc | | 46,484 | | | 8,760,839 | |
| | Xilinx Inc | | 22,272 | | | 4,722,332 | |
| | | 85,200,018 | |
Software – 20.1% | | | |
| | Adobe Inc* | | 30,644 | | | 17,376,987 | |
| | Atlassian Corp PLC - Class A* | | 19,541 | | | 7,450,788 | |
| | Autodesk Inc* | | 28,077 | | | 7,894,972 | |
| | Avalara Inc* | | 30,982 | | | 4,000,086 | |
| | Cadence Design Systems Inc* | | 22,653 | | | 4,221,387 | |
| | Microsoft Corp | | 214,459 | | | 72,126,851 | |
| | ServiceNow Inc* | | 5,285 | | | 3,430,546 | |
| | SS&C Technologies Holdings Inc | | 16,892 | | | 1,384,806 | |
| | Tyler Technologies Inc* | | 11,855 | | | 6,377,397 | |
| | Workday Inc - Class A* | | 33,504 | | | 9,152,623 | |
| | Zendesk Inc* | | 78,929 | | | 8,231,505 | |
| | | 141,647,948 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Research Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Specialty Retail – 1.6% | | | |
| | Burlington Stores Inc* | | 21,332 | | | $6,218,491 | |
| | Olaplex Holdings Inc* | | 139,138 | | | 4,053,090 | |
| | Vroom Inc* | | 96,009 | | | 1,035,937 | |
| | | 11,307,518 | |
Technology Hardware, Storage & Peripherals – 5.5% | | | |
| | Apple Inc | | 219,363 | | | 38,952,288 | |
Textiles, Apparel & Luxury Goods – 1.4% | | | |
| | NIKE Inc - Class B | | 60,205 | | | 10,034,367 | |
Trading Companies & Distributors – 0.9% | | | |
| | Ferguson PLC | | 35,858 | | | 6,359,453 | |
Wireless Telecommunication Services – 0.3% | | | |
| | T-Mobile US Inc* | | 17,399 | | | 2,017,936 | |
Total Common Stocks (cost $357,616,965) | | 702,408,828 | |
Investment Companies– 0.3% | | | |
Money Markets – 0.3% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $1,878,692) | | 1,878,504 | | | 1,878,692 | |
Investments Purchased with Cash Collateral from Securities Lending– 0.3% | | | |
Investment Companies – 0.3% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº,£ | | 1,920,280 | | | 1,920,280 | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 0.0400%, 1/3/22 | | $480,070 | | | 480,070 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $2,400,350) | | 2,400,350 | |
Total Investments (total cost $361,896,007) – 100.3% | | 706,687,870 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.3)% | | (2,367,630) | |
Net Assets – 100% | | $704,320,240 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $680,506,808 | | 96.3 | % |
Netherlands | | 9,844,271 | | 1.4 | |
United Kingdom | | 8,886,003 | | 1.3 | |
Australia | | 7,450,788 | | 1.0 | |
| | | | | | |
| | | | | | |
Total | | $706,687,870 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | DECEMBER 31, 2021 |
Janus Henderson VIT Research Portfolio
Schedule of Investments
December 31, 2021
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 0.3% |
Money Markets - 0.3% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 666 | $ | - | $ | - | $ | 1,878,692 |
Investments Purchased with Cash Collateral from Securities Lending - 0.3% |
Investment Companies - 0.3% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 7,700∆ | | - | | - | | 1,920,280 |
Total Affiliated Investments - 0.6% | $ | 8,366 | $ | - | $ | - | $ | 3,798,972 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 0.3% |
Money Markets - 0.3% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 1,551,134 | | 75,154,228 | | (74,826,670) | | 1,878,692 |
Investments Purchased with Cash Collateral from Securities Lending - 0.3% |
Investment Companies - 0.3% | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 1,318,917 | | 56,461,425 | | (55,860,062) | | 1,920,280 |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Research Portfolio
Notes to Schedule of Investments and Other Information
| | |
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
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 December 31, 2021. |
| | |
# | Loaned security; a portion of the security is on loan at December 31, 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 December 31, 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 | $ | 702,408,828 | $ | - | $ | - |
Investment Companies | | - | | 1,878,692 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 2,400,350 | | - |
Total Assets | $ | 702,408,828 | $ | 4,279,042 | $ | - |
| | | | | | | |
Janus Henderson VIT Research Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $358,097,035)(1) | | $ | 702,888,898 | |
| Affiliated investments, at value (cost $3,798,972) | | | 3,798,972 | |
| Cash denominated in foreign currency (cost $25) | | | 25 | |
| Non-interested Trustees' deferred compensation | | | 18,382 | |
| Receivables: | | | | |
| | Investments sold | | | 765,875 | |
| | Dividends | | | 34,056 | |
| | Portfolio shares sold | | | 5,346 | |
| | Foreign tax reclaims | | | 1,931 | |
| | Dividends from affiliates | | | 73 | |
| Other assets | | | 6,872 | |
Total Assets | | | 707,520,430 | |
Liabilities: | | | | |
| Due to custodian | | | 56 | |
| Collateral for securities loaned (Note 2) | | | 2,400,350 | |
| Payables: | | | — | |
| | Advisory fees | | | 332,397 | |
| | Portfolio shares repurchased | | | 194,619 | |
| | Investments purchased | | | 85,150 | |
| | Professional fees | | | 43,155 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 41,449 | |
| | Transfer agent fees and expenses | | | 33,309 | |
| | Non-interested Trustees' deferred compensation fees | | | 18,382 | |
| | Custodian fees | | | 1,613 | |
| | Affiliated portfolio administration fees payable | | | 1,581 | |
| | Non-interested Trustees' fees and expenses | | | 235 | |
| | Accrued expenses and other payables | | | 47,894 | |
Total Liabilities | | | 3,200,190 | |
Net Assets | | $ | 704,320,240 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 266,140,998 | |
| Total distributable earnings (loss) | | | 438,179,242 | |
Total Net Assets | | $ | 704,320,240 | |
Net Assets - Institutional Shares | | $ | 519,678,766 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 9,229,624 | |
Net Asset Value Per Share | | $ | 56.31 | |
Net Assets - Service Shares | | $ | 184,641,474 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,398,130 | |
Net Asset Value Per Share | | $ | 54.34 | |
| |
(1) Includes $2,317,634 of securities on loan. See Note 2 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Research Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 3,974,724 | |
| Affiliated securities lending income, net | | 7,700 | |
| Dividends from affiliates | | 666 | |
| Unaffiliated securities lending income, net | | 366 | |
| Other income | | 16 | |
| Foreign tax withheld | | (7,631) | |
Total Investment Income | | 3,975,841 | |
Expenses: | | | |
| Advisory fees | | 3,482,270 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 445,884 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 247,916 | |
| | Service Shares | | 89,177 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 17,338 | |
| | Service Shares | | 2,923 | |
| Professional fees | | 49,050 | |
| Shareholder reports expense | | 25,211 | |
| Registration fees | | 23,385 | |
| Affiliated portfolio administration fees | | 18,799 | |
| Non-interested Trustees’ fees and expenses | | 10,573 | |
| Custodian fees | | 8,017 | |
| Other expenses | | 76,019 | |
Total Expenses | | 4,496,562 | |
Net Investment Income/(Loss) | | (520,721) | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 95,600,133 | |
Total Net Realized Gain/(Loss) on Investments | | 95,600,133 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and non-interested Trustees’ deferred compensation | | 29,592,907 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 29,592,907 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 124,672,319 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | DECEMBER 31, 2021 |
Janus Henderson VIT Research Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | (520,721) | | $ | 1,465,477 | |
| Net realized gain/(loss) on investments | | 95,600,133 | | | 34,158,380 | |
| Change in unrealized net appreciation/depreciation | | 29,592,907 | | | 129,988,619 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 124,672,319 | | | 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 | | (21,249,949) | | | (10,891,213) | |
| | Service Shares | | (10,930,490) | | | (9,193,039) | |
Net Increase/(Decrease) from Capital Share Transactions | | (32,180,439) | | | (20,084,252) | |
Net Increase/(Decrease) in Net Assets | | 57,597,358 | | | 97,220,953 | |
Net Assets: | | | | | | |
| Beginning of period | | 646,722,882 | | | 549,501,929 | |
| End of period | $ | 704,320,240 | | $ | 646,722,882 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $49.35 | | | $40.79 | | | $33.70 | | | $36.51 | | | $28.93 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.01) | | | 0.14 | | | 0.21 | | | 0.19 | | | 0.16 | |
| | Net realized and unrealized gain/(loss) | | 9.73 | | | 12.20 | | | 11.26 | | | (0.94) | | | 7.87 | |
| Total from Investment Operations | | 9.72 | | | 12.34 | | | 11.47 | | | (0.75) | | | 8.03 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.05) | | | (0.18) | | | (0.18) | | | (0.21) | | | (0.13) | |
| | Distributions (from capital gains) | | (2.71) | | | (3.60) | | | (4.20) | | | (1.85) | | | (0.32) | |
| Total Dividends and Distributions | | (2.76) | | | (3.78) | | | (4.38) | | | (2.06) | | | (0.45) | |
| Net Asset Value, End of Period | | $56.31 | | | $49.35 | | | $40.79 | | | $33.70 | | | $36.51 | |
| Total Return* | | 20.33% | | | 32.95% | | | 35.52% | | | (2.58)% | | | 27.88% | |
| Net Assets, End of Period (in thousands) | | $519,679 | | | $474,525 | | | $398,888 | | | $328,803 | | | $379,048 | |
| Average Net Assets for the Period (in thousands) | | $496,858 | | | $414,413 | | | $374,004 | | | $380,194 | | | $360,896 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.60% | | | 0.60% | | | 0.59% | | | 0.58% | | | 0.61% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.60% | | | 0.60% | | | 0.59% | | | 0.58% | | | 0.61% | |
| | Ratio of Net Investment Income/(Loss) | | (0.01)% | | | 0.33% | | | 0.55% | | | 0.50% | | | 0.48% | |
| Portfolio Turnover Rate | | 33% | | | 33% | | | 38% | | | 47% | | | 55% | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $47.78 | | | $39.64 | | | $32.87 | | | $35.68 | | | $28.31 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.13) | | | 0.03 | | | 0.11 | | | 0.09 | | | 0.08 | |
| | Net realized and unrealized gain/(loss) | | 9.41 | | | 11.80 | | | 10.98 | | | (0.92) | | | 7.69 | |
| Total from Investment Operations | | 9.28 | | | 11.83 | | | 11.09 | | | (0.83) | | | 7.77 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.01) | | | (0.09) | | | (0.12) | | | (0.13) | | | (0.08) | |
| | Distributions (from capital gains) | | (2.71) | | | (3.60) | | | (4.20) | | | (1.85) | | | (0.32) | |
| Total Dividends and Distributions | | (2.72) | | | (3.69) | | | (4.32) | | | (1.98) | | | (0.40) | |
| Net Asset Value, End of Period | | $54.34 | | | $47.78 | | | $39.64 | | | $32.87 | | | $35.68 | |
| Total Return* | | 20.05% | | | 32.58% | | | 35.22% | | | (2.84)% | | | 27.55% | |
| Net Assets, End of Period (in thousands) | | $184,641 | | | $172,198 | | | $150,614 | | | $126,817 | | | $160,439 | |
| Average Net Assets for the Period (in thousands) | | $178,748 | | | $151,973 | | | $141,550 | | | $148,101 | | | $155,006 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.85% | | | 0.85% | | | 0.84% | | | 0.83% | | | 0.86% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.85% | | | 0.85% | | | 0.84% | | | 0.83% | | | 0.86% | |
| | Ratio of Net Investment Income/(Loss) | | (0.26)% | | | 0.08% | | | 0.30% | | | 0.25% | | | 0.23% | |
| Portfolio Turnover Rate | | 33% | | | 33% | | | 38% | | | 47% | | | 55% | |
| | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
16 | DECEMBER 31, 2021 |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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 Henderson VIT Research Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT Research Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. 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 Portfolio’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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
States. These disruptions could prevent a Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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 Henderson VIT Research Portfolio
Notes to Financial Statements
| | | | | | | | | | |
Offsetting of Financial Assets and Derivative Assets |
| |
| | | Gross Amounts | | | | | | |
| | | of Recognized | | Offsetting Asset | | Collateral | | |
Counterparty | | Assets | | or Liability(a) | | Pledged(b) | | Net Amount |
| | | | | | | | | |
JPMorgan Chase Bank, National Association | $ | 2,317,634 | $ | — | $ | (2,317,634) | $ | — |
| | | | | | | | | |
(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.
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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
Collateral Fund LLC, the Adviser 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, the Adviser 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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2021, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $2,317,634. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2021 is $2,400,350, resulting in the net amount due to the counterparty of $82,716.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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 the Adviser 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 the Adviser’s fee even if the Portfolio’s Shares lose value during the performance measurement period and could decrease the Adviser’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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
Rate plus/minus any Performance Adjustment. For the year ended December 31, 2021, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.52%.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, 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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 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 the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2021, the Portfolio engaged in cross trades amounting to $483,570 in purchases and $184,512 in sales, resulting in a net realized gain of $1,253. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 2,904,324 | $ 91,934,988 | $ - | $ - | $ - | $ (16,525) | $343,356,455 | |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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 straddle loss deferrals.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 363,331,415 | $ 352,437,837 | $ (9,081,382) | $ 343,356,455 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 523,535 | $ 34,370,987 | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 2,763,758 | $ 45,543,513 | $ - | $ - | |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ - | $ 520,943 | $ (520,943) |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 151,828 | $ 7,960,660 | | 202,327 | $ 8,569,372 |
Reinvested dividends and distributions | 503,363 | 25,510,438 | | 921,801 | 35,272,315 |
Shares repurchased | (1,041,978) | (54,721,047) | | (1,285,622) | (54,732,900) |
Net Increase/(Decrease) | (386,787) | $(21,249,949) | | (161,494) | $(10,891,213) |
Service Shares: | | | | | |
Shares sold | 129,269 | $ 6,465,528 | | 258,558 | $ 10,480,986 |
Reinvested dividends and distributions | 191,590 | 9,384,084 | | 352,420 | 13,034,956 |
Shares repurchased | (526,614) | (26,780,102) | | (807,058) | (32,708,981) |
Net Increase/(Decrease) | (205,755) | $(10,930,490) | | (196,080) | $ (9,193,039) |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$220,390,889 | $ 288,439,404 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 Henderson VIT Research Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Research Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Research Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT Research Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Capital Gain Distributions | $34,370,987 |
Dividends Received Deduction Percentage | 94% |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT Research Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-93078 03-22 |
| | | |
| | | |
| | | ANNUAL REPORT December 31, 2021 |
| | |
| | Janus Henderson VIT U.S. Low Volatility Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | |
| | | HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT U.S. Low Volatility Portfolio
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
| | | | | | |
PORTFOLIO SNAPSHOT An all equity portfolio that targets returns similar to the S&P 500® Index with lower absolute volatility over a market cycle. We seek to add value using natural stock price volatility through a mathematically based, risk-managed process. We do not pick individual stocks or forecast excess returns, but use natural stock price volatility and correlation characteristics. | | | | | Sub-advised by Intech Investment Management LLC |
| | | |
PERFORMANCE OVERVIEW
For the 12-month period ended December 31, 2021, the VIT U.S. Low Volatility Portfolio’s Service Shares returned 21.34%. This compares to the 28.71% return posted by the S&P 500 Index, the Portfolio’s benchmark.
INVESTMENT STRATEGY
Intech’s mathematical investment process is designed to determine potentially more efficient equity weightings of the securities in the benchmark index, utilizing a specific mathematical optimization and disciplined rebalancing routine. Rather than trying to predict the future direction of stock prices, the process seeks to use the risk characteristics of stocks to construct portfolios with similar returns to the S&P 500 Index over time, but with lower return volatility. In particular, the Portfolio attempts to achieve market-like returns over the long term and lower the volatility of the Portfolio’s absolute returns.
The investment process begins with the stocks in the Portfolio’s benchmark, the S&P 500 Index. Within specific risk constraints, Intech’s mathematical process attempts to use the risk characteristics of stocks to build portfolios that are well diversified. Once the stocks are identified and the portfolio of stocks is constructed, it is then rebalanced and re-optimized periodically. The Portfolio aims to generate market-like returns over time with significantly lower return fluctuations. Although the Portfolio may underperform its benchmark in strong up markets, the strategy seeks to reduce losses in down markets. Therefore, while some downside protection and a more consistent experience are expected over the long term, the tracking error (a measure of the divergence between the price behavior of the Portfolio versus its benchmark) relative to the S&P 500 Index is expected to be high.
PERFORMANCE REVIEW
U.S. equity markets recorded substantial gains in 2021. While it experienced occasional pullbacks due to rising inflation and increased cases of COVID-19 infections, the S&P 500 Index recorded its seventh consecutive quarter of gains in the fourth quarter of 2021 and posted a return of over 26% for the year. While defensive segments generally underperformed for the year, lower-beta stocks outperformed their higher-beta counterparts within the index in the fourth quarter.
On average, the Portfolio was overweight lower-beta stocks, or stocks with lower sensitivity to market movements. During the period, higher-beta stocks outperformed lower-beta stocks and the overall market, on average. Consequently, the Portfolio’s overweight to lower-beta stocks detracted from the Portfolio’s relative return for the period.
From a sector perspective, while the Portfolio benefited from an average underweight to communication services, which was one of the weakest-performing segments during the period, average overweights to the defensive utilities and consumer staples sectors were headwinds to overall relative performance during the year. An overall negative selection effect also detracted from the Portfolio’s relative performance during the period, especially within the communication services and information technology sectors.
OUTLOOK
Because Intech does not conduct traditional economic or fundamental analysis, Intech has no view on individual stocks, sectors, economic, or market conditions.
Going forward, we will continue building portfolios in a disciplined and deliberate manner, with risk management remaining the hallmark of our investment process. As Intech’s ongoing research efforts yield modest improvements, we will continue implementing changes
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
that we believe are likely to improve the long-term results for our Portfolio shareholders.
Thank you for your investment in the VIT U.S. Low Volatility Portfolio.
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Portfolio At A Glance
December 31, 2021
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 5.0% |
Microsoft Corp | |
Software | 4.8% |
Procter & Gamble Co | |
Household Products | 3.7% |
Costco Wholesale Corp | |
Food & Staples Retailing | 3.4% |
Walmart Inc | |
Food & Staples Retailing | 2.9% |
| | 19.8% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 99.1% | |
Investment Companies | | 1.0% | |
Other | | (0.1)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of December 31, 2021 
| As of December 31, 2020 
|
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 December 31, 2021 | | | Prospectus Expense Ratios |
| | One
Year | Five
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Service Shares | | 21.34% | 12.12% | 12.35% | | | 0.83% |
S&P 500 Index | | 28.71% | 18.47% | 16.04% | | | |
Morningstar Quartile - Service Shares | | 4th | 2nd | 2nd | | | |
Morningstar Ranking - based on total returns for Large Value Funds | | 1,088/1,219 | 422/1,136 | 368/1,011 | | | |
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), Environmental, Social and Governance (ESG) factors, 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.
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.”
Janus Henderson VIT U.S. Low Volatility Portfolio (unaudited)
Performance
*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 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
(5% return before expenses) | |
| Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | | Beginning
Account
Value
(7/1/21) | Ending
Account
Value
(12/31/21) | Expenses
Paid During
Period
(7/1/21 - 12/31/21)† | Net Annualized
Expense Ratio
(7/1/21 - 12/31/21) |
Service Shares | $1,000.00 | $1,107.80 | $4.46 | | $1,000.00 | $1,020.97 | $4.28 | 0.84% |
† | Expenses Paid During Period is equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectus for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 99.1% | | | |
Aerospace & Defense – 0.1% | | | |
| | L3Harris Technologies Inc | | 141 | | | $30,067 | |
Automobiles – 0.8% | | | |
| | Tesla Inc* | | 240 | | | 253,627 | |
Biotechnology – 6.1% | | | |
| | AbbVie Inc | | 1,481 | | | 200,527 | |
| | Amgen Inc | | 1,125 | | | 253,091 | |
| | Biogen Inc* | | 2,560 | | | 614,195 | |
| | Gilead Sciences Inc | | 11,124 | | | 807,714 | |
| | | 1,875,527 | |
Commercial Services & Supplies – 3.0% | | | |
| | Copart Inc* | | 594 | | | 90,062 | |
| | Republic Services Inc | | 5,642 | | | 786,777 | |
| | Waste Management Inc | | 258 | | | 43,060 | |
| | | 919,899 | |
Communications Equipment – 1.6% | | | |
| | Motorola Solutions Inc | | 1,779 | | | 483,354 | |
Diversified Telecommunication Services – 1.2% | | | |
| | Verizon Communications Inc | | 7,157 | | | 371,878 | |
Electric Utilities – 4.2% | | | |
| | Duke Energy Corp | | 3,496 | | | 366,730 | |
| | Eversource Energy | | 3,832 | | | 348,635 | |
| | FirstEnergy Corp | | 11,201 | | | 465,850 | |
| | Xcel Energy Inc | | 1,585 | | | 107,304 | |
| | | 1,288,519 | |
Food & Staples Retailing – 7.7% | | | |
| | Costco Wholesale Corp | | 1,834 | | | 1,041,162 | |
| | Kroger Co | | 8,833 | | | 399,782 | |
| | Walmart Inc | | 6,208 | | | 898,235 | |
| | | 2,339,179 | |
Food Products – 6.9% | | | |
| | Campbell Soup Co | | 3,934 | | | 170,972 | |
| | Hershey Co | | 3,256 | | | 629,938 | |
| | Hormel Foods Corp | | 4,908 | | | 239,559 | |
| | JM Smucker Co | | 806 | | | 109,471 | |
| | Kellogg Co | | 3,513 | | | 226,307 | |
| | Mondelez International Inc | | 10,896 | | | 722,514 | |
| | | 2,098,761 | |
Health Care Equipment & Supplies – 8.1% | | | |
| | Danaher Corp | | 2,541 | | | 836,014 | |
| | ResMed Inc | | 2,964 | | | 772,063 | |
| | STERIS PLC | | 2,688 | | | 654,286 | |
| | West Pharmaceutical Services Inc | | 462 | | | 216,683 | |
| | | 2,479,046 | |
Health Care Providers & Services – 1.9% | | | |
| | CVS Health Corp | | 449 | | | 46,319 | |
| | McKesson Corp | | 109 | | | 27,094 | |
| | Quest Diagnostics Inc | | 17 | | | 2,941 | |
| | UnitedHealth Group Inc | | 1,002 | | | 503,144 | |
| | | 579,498 | |
Health Care Technology – 2.2% | | | |
| | Cerner Corp | | 7,065 | | | 656,127 | |
Hotels, Restaurants & Leisure – 3.4% | | | |
| | Domino's Pizza Inc | | 1,079 | | | 608,912 | |
| | McDonald's Corp | | 1,633 | | | 437,758 | |
| | | 1,046,670 | |
Household Durables – 1.3% | | | |
| | Garmin Ltd | | 3,006 | | | 409,327 | |
| | |
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
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Household Products – 6.4% | | | |
| | Church & Dwight Co Inc | | 1,783 | | | $182,757 | |
| | Colgate-Palmolive Co | | 7,756 | | | 661,897 | |
| | Procter & Gamble Co | | 6,813 | | | 1,114,471 | |
| | | 1,959,125 | |
Information Technology Services – 2.0% | | | |
| | Akamai Technologies Inc* | | 2,451 | | | 286,865 | |
| | International Business Machines Corp | | 2,293 | | | 306,482 | |
| | | 593,347 | |
Insurance – 5.3% | | | |
| | Aon PLC - Class A | | 232 | | | 69,730 | |
| | Arthur J Gallagher & Co | | 674 | | | 114,358 | |
| | Assurant Inc | | 1,686 | | | 262,780 | |
| | Marsh & McLennan Cos Inc | | 2,758 | | | 479,396 | |
| | Progressive Corp | | 3,765 | | | 386,477 | |
| | Willis Towers Watson PLC | | 1,248 | | | 296,388 | |
| | | 1,609,129 | |
Interactive Media & Services – 2.3% | | | |
| | Alphabet Inc - Class A* | | 117 | | | 338,954 | |
| | Alphabet Inc - Class C* | | 79 | | | 228,594 | |
| | Facebook Inc* | | 391 | | | 131,513 | |
| | | 699,061 | |
Internet & Direct Marketing Retail – 2.3% | | | |
| | Amazon.com Inc* | | 213 | | | 710,214 | |
Life Sciences Tools & Services – 0.8% | | | |
| | Waters Corp* | | 669 | | | 249,269 | |
Machinery – 0.2% | | | |
| | Trane Technologies PLC | | 259 | | | 52,326 | |
Multiline Retail – 3.5% | | | |
| | Dollar General Corp | | 1,906 | | | 449,492 | |
| | Target Corp | | 2,727 | | | 631,137 | |
| | | 1,080,629 | |
Multi-Utilities – 2.5% | | | |
| | Ameren Corp | | 344 | | | 30,619 | |
| | Consolidated Edison Inc | | 6,057 | | | 516,783 | |
| | Dominion Energy Inc | | 2,819 | | | 221,461 | |
| | | 768,863 | |
Personal Products – 1.3% | | | |
| | Estee Lauder Cos Inc | | 1,085 | | | 401,667 | |
Pharmaceuticals – 4.9% | | | |
| | Bristol-Myers Squibb Co | | 1,899 | | | 118,403 | |
| | Eli Lilly & Co | | 1,793 | | | 495,262 | |
| | Johnson & Johnson | | 5,066 | | | 866,641 | |
| | | 1,480,306 | |
Professional Services – 0.5% | | | |
| | Leidos Holdings Inc | | 1,822 | | | 161,976 | |
Semiconductor & Semiconductor Equipment – 0.5% | | | |
| | NVIDIA Corp | | 542 | | | 159,408 | |
Software – 10.3% | | | |
| | Citrix Systems Inc | | 3,720 | | | 351,875 | |
| | Microsoft Corp | | 4,391 | | | 1,476,781 | |
| | NortonLifeLock Inc | | 17,372 | | | 451,325 | |
| | Oracle Corp | | 9,914 | | | 864,600 | |
| | | 3,144,581 | |
Technology Hardware, Storage & Peripherals – 5.1% | | | |
| | Apple Inc | | 8,675 | | | 1,540,420 | |
Water Utilities – 0.1% | | | |
| | American Water Works Co Inc | | 183 | | | 34,561 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | DECEMBER 31, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Schedule of Investments
December 31, 2021
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Wireless Telecommunication Services – 2.6% | | | |
| | T-Mobile US Inc* | | 6,815 | | | $790,404 | |
Total Common Stocks (cost $25,579,998) | | 30,266,765 | |
Investment Companies– 1.0% | | | |
Money Markets – 1.0% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº,£((cost $296,637) | | 296,607 | | | 296,637 | |
Total Investments (total cost $25,876,635) – 100.1% | | 30,563,402 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | | (22,352) | |
Net Assets – 100% | | $30,541,050 | |
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/21 |
Investment Companies - 1.0% |
Money Markets - 1.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | $ | 1,996 | $ | 85 | $ | (85) | $ | 296,637 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 12,136∆ | | - | | - | | - |
Total Affiliated Investments - 1.0% | $ | 14,132 | $ | 85 | $ | (85) | $ | 296,637 |
| | | | | | | | | | | |
| | Value at 12/31/20 | Purchases | Sales Proceeds | Value at 12/31/21 |
Investment Companies - 1.0% |
Money Markets - 1.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 0.0570%ºº | | 7,489,512 | | 70,586,743 | | (77,779,618) | | 296,637 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 0%ºº | | 1,951,837 | | 4,557,196 | | (6,509,033) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Schedule of Investments and Other Information
| | |
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 December 31, 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 December 31, 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 | $ | 30,266,765 | $ | - | $ | - |
Investment Companies | | - | | 296,637 | | - |
Total Assets | $ | 30,266,765 | $ | 296,637 | $ | - |
| | | | | | | |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statement of Assets and Liabilities
December 31, 2021
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $25,579,998) | | $ | 30,266,765 | |
| Affiliated investments, at value (cost $296,637) | | | 296,637 | |
| Non-interested Trustees' deferred compensation | | | 796 | |
| Receivables: | | | | |
| | Dividends | | | 61,836 | |
| | Portfolio shares sold | | | 60,482 | |
| | Foreign tax reclaims | | | 403 | |
| | Dividends from affiliates | | | 21 | |
| Other assets | | | 700 | |
Total Assets | | | 30,687,640 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Investments purchased | | | 70,779 | |
| | Professional fees | | | 35,270 | |
| | Non-affiliated portfolio administration fees payable | | | 15,908 | |
| | Advisory fees | | | 8,151 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 6,438 | |
| | Printing fees | | | 3,679 | |
| | Custodian fees | | | 1,497 | |
| | Transfer agent fees and expenses | | | 1,458 | |
| | Portfolio shares repurchased | | | 829 | |
| | Non-interested Trustees' deferred compensation fees | | | 796 | |
| | Affiliated portfolio administration fees payable | | | 64 | |
| | Accrued expenses and other payables | | | 1,721 | |
Total Liabilities | | | 146,590 | |
Net Assets | | $ | 30,541,050 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 9,084,644 | |
| Total distributable earnings (loss) | | | 21,456,406 | |
Total Net Assets | | $ | 30,541,050 | |
Net Assets - Service Shares | | $ | 30,541,050 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 1,726,858 | |
Net Asset Value Per Share | | $ | 17.69 | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statement of Operations
For the year ended December 31, 2021
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 7,942,474 | |
| Affiliated securities lending income, net | | 12,136 | |
| Dividends from affiliates | | 1,996 | |
| Unaffiliated securities lending income, net | | 46 | |
| Foreign tax withheld | | (590) | |
Total Investment Income | | 7,956,062 | |
Expenses: | | | |
| Advisory fees | | 2,458,849 | |
| 12b-1 Distribution and shareholder servicing fees | | 1,214,786 | |
| Transfer agent administrative fees and expenses | | 245,885 | |
| Other transfer agent fees and expenses | | 10,296 | |
| Professional fees | | 39,202 | |
| Affiliated portfolio administration fees | | 15,297 | |
| Custodian fees | | 5,741 | |
| Non-interested Trustees’ fees and expenses | | 3,298 | |
| Shareholder reports expense | | 45 | |
| Registration fees | | 36 | |
| Other expenses | | 63,171 | |
Total Expenses | | 4,056,606 | |
Less: Excess Expense Reimbursement and Waivers | | (26,915) | |
Net Expenses | | 4,029,691 | |
Net Investment Income/(Loss) | | 3,926,371 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments(1) | | 322,510,125 | |
| Investments in affiliates | | 85 | |
Total Net Realized Gain/(Loss) on Investments | | 322,510,210 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments and non-interested Trustees’ deferred compensation | | (233,625,497) | |
| Investments in affiliates | | (85) | |
Total Change in Unrealized Net Appreciation/Depreciation | | (233,625,582) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 92,810,999 | |
| | | | | |
| |
(1) Includes $191,581,620 of net realized gains resulting from a redemption-in-kind during the year ended December 31, 2021. |
| | |
See Notes to Financial Statements. |
| |
12 | DECEMBER 31, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Year ended
December 31, 2021 | | Year ended
December 31, 2020 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 3,926,371 | | $ | 16,637,645 | |
| Net realized gain/(loss) on investments | | 322,510,210 | | | 72,947,608 | |
| Change in unrealized net appreciation/depreciation | | (233,625,582) | | | (56,687,787) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 92,810,999 | | | 32,897,466 | |
Dividends and Distributions to Shareholders: | | | | | | |
| Dividends and Distributions to Shareholders | | (195,526,910) | | | (88,541,700) | |
Net Decrease from Dividends and Distributions to Shareholders | | (195,526,910) | | | (88,541,700) | |
Capital Shares Transactions | | (859,947,363) | | | (38,479,019) | |
Net Increase/(Decrease) in Net Assets | | (962,663,274) | | | (94,123,253) | |
Net Assets: | | | | | | |
| Beginning of period | | 993,204,324 | | | 1,087,327,577 | |
| End of period | $ | 30,541,050 | | $ | 993,204,324 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | |
For a share outstanding during the year ended December 31 | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| Net Asset Value, Beginning of Period | | $18.30 | | | $19.43 | | | $16.05 | | | $17.43 | | | $15.30 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.15 | | | 0.30 | | | 0.34 | | | 0.28 | | | 0.24 | |
| | Net realized and unrealized gain/(loss) | | 3.28 | | | 0.20 | | | 4.07 | | | (1.05) | | | 2.11 | |
| Total from Investment Operations | | 3.43 | | | 0.50 | | | 4.41 | | | (0.77) | | | 2.35 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.38) | | | (0.35) | | | (0.31) | | | (0.30) | | | (0.22) | |
| | Distributions (from capital gains) | | (3.66) | | | (1.28) | | | (0.72) | | | (0.31) | | | — | |
| Total Dividends and Distributions | | (4.04) | | | (1.63) | | | (1.03) | | | (0.61) | | | (0.22) | |
| Net Asset Value, End of Period | | $17.69 | | | $18.30 | | | $19.43 | | | $16.05 | | | $17.43 | |
| Total Return* | | 21.20% | | | 3.51% | | | 28.05% | | | (4.58)% | | | 15.44% | |
| Net Assets, End of Period (in thousands) | | $30,541 | | | $993,204 | | | $1,087,328 | | | $1,004,693 | | | $1,150,778 | |
| Average Net Assets for the Period (in thousands) | | $499,685 | | | $996,571 | | | $1,073,019 | | | $1,106,198 | | | $1,059,734 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.81% | | | 0.83% | | | 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% | |
| | Ratio of Net Investment Income/(Loss) | | 0.79% | | | 1.67% | | | 1.85% | | | 1.61% | | | 1.50% | |
| Portfolio Turnover Rate | | 157% | | | 44% | | | 15% | | | 20% | | | 18% | |
| | | | | | | | | | | | | | | | | | | |
| |
* 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 | DECEMBER 31, 2021 |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
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 10 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. Janus Henderson Investors US LLC (formerly Janus Capital Management LLC) is the investment adviser (the “Adviser”) to the Portfolio.
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:
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 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. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
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 Portfolio’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 Portfolio from executing advantageous investment decisions in a timely manner and negatively impact a Portfolio’s ability to achieve its investment objective(s). Any such event(s) could have a significant adverse impact on the value of a Portfolio. In addition, these disruptions could also impair the information technology and other operational systems upon which the Portfolio’s service providers, including the Adviser") or the subadviser (as applicable), rely, and could otherwise disrupt the ability of employees of the Portfolio’s service providers to perform essential tasks on behalf of the Portfolio. 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. Among other things, these developments have adversely affected the
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
value and exchange rate of the euro and pound sterling, and may continue to significantly affect the economies of all EU countries, which in turn may have a material adverse effect on the Portfolio’s investments in such countries, other countries that depend on EU countries for significant amounts of trade or investment, or issuers with exposure to debt issued by certain EU countries.
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 the Adviser Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’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, the Adviser 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, the Adviser 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. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser 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, the Adviser 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, the Adviser 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.
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
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. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of December 31, 2021.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays the Adviser 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 the Adviser. The Adviser owns approximately 97% of Intech.
The Adviser pays Intech a subadvisory fee rate equal to 50% of the investment advisory fee paid by the Portfolio to the Adviser (calculated after any fee waivers and expense reimbursement).
The Adviser 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 the Adviser are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Henderson Services US LLC (formerly Janus Services LLC) (the “Transfer Agent”), a wholly-owned subsidiary of the Adviser, is the Portfolio’s transfer agent. The Transfer Agent 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. The Transfer Agent 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, the Transfer Agent provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. The Transfer Agent 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 Henderson Distributors US LLC (formerly Janus Distributors LLC) (the “Distributor”), a wholly-owned subsidiary of the Adviser, a fee for the sale and distribution and/or
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
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 the Distributor 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.
The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser 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 the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser 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 the Adviser 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 the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser (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 the Adviser and/or its affiliates, are shared with the Portfolio. Total compensation of $32,683 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 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 December 31, 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 year ended December 31, 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 $512,700 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 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, the Adviser 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,
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2021 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
| | | | | | | | |
| | | Loss Deferrals | Other Book | Net Tax | |
Undistributed
Ordinary Income | Undistributed
Long-Term Gains | Accumulated
Capital Losses | Late-Year
Ordinary Loss | Post-October
Capital Loss | to Tax
Differences | Appreciation/
(Depreciation) | |
$ 5,456,742 | $ 11,396,483 | $ - | $ - | $ - | $ (206) | $ 4,603,387 | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 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
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 25,960,015 | $ 5,138,008 | $ (534,621) | $ 4,603,387 |
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, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
| | | | | |
For the year ended December 31, 2021 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 30,803,423 | $ 164,723,487 | $ - | $ - | |
| | | | | |
For the year ended December 31, 2020 | |
Distributions | | |
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 19,670,877 | $ 68,870,823 | $ - | $ - | |
Janus Henderson VIT U.S. Low Volatility Portfolio
Notes to Financial Statements
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
| | | |
| | |
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed
Net Investment Income/Loss | Increase/(Decrease) to Undistributed
Net Realized Gain/Loss |
$ 191,300,828 | $ 400,451 | $ (191,701,279) |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Year ended December 31, 2021 | | Year ended December 31, 2020 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Service Shares: | | | | | |
Shares sold | 2,387,902 | $ 43,378,501 | | 4,637,335 | $ 80,955,490 |
Reinvested dividends and distributions | 12,143,315 | 195,526,909 | | 5,341,690 | 88,541,700 |
Shares repurchased | (67,080,283) | (1,098,852,773) | | (11,652,479) | (207,976,209) |
Net Increase/(Decrease) | (52,549,066) | $ (859,947,363) | | (1,673,454) | $(38,479,019) |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 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
Securities | Proceeds from Sales
of Securities | Purchases of Long-
Term U.S. Government
Obligations | Proceeds from Sales
of Long-Term U.S.
Government Obligations |
$736,595,462 | $1,778,710,863 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 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 other than the following:.
On February 3, 2022, Janus Henderson Group plc (“Janus Henderson”) announced it will be selling its majority interest in Intech Investment Management LLC (“Intech”), the subadviser to the Portfolio. The completion of the transaction is anticipated during the first half of 2022. The Adviser and Intech are assessing options with respect to the continued management of the Portfolio. Intech will continue to provide subadvisory services to the Portfolio in the interim.
Janus Henderson VIT U.S. Low Volatility Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT U.S. Low Volatility Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT U.S. Low Volatility Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2021, the related statement of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2021 and the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian, transfer agent, and broker; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 15, 2022
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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 (each, a “Fund,” and collectively, the “Funds” and together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Fund that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Henderson Investors US LLC (formerly, Janus Capital Management LLC) (the “Adviser”) and the subadviser in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At meetings held on November 3-4, 2021 and December 7-8, 2021, the Trustees’ evaluated the information provided by the Adviser, the subadviser, and the independent fee consultant, as well as other information addressed during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by the Adviser, its affiliates and the subadviser, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment and 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, 2022 through February 1, 2023, 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 the Adviser and the subadviser to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of the Adviser and the 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 the Adviser or the subadviser, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered the Adviser’s role as administrator to the Janus Henderson Funds, noting that the Adviser generally does not receive a fee for its services as administrator, but is reimbursed for its out-of-pocket costs. The Trustees considered the role of the Adviser 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 the Adviser 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, the Adviser is a capable provider of those services. The independent fee consultant also provided its belief that the Adviser 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 the Adviser and 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 the Adviser and the subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and each 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, 2021, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance versus Broadridge peers, and for the 12 months ended September 30, 2021, approximately 45% 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, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 second Broadridge quartile for the 36 months ended May 31, 2021 and the second Broadridge quartile for the 12 months ended May 31, 2021.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser had taken or was taking to improve performance.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2021 and the first Broadridge quartile for the 12 months ended May 31, 2021.
· 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, 2021 and the third Broadridge quartile for the 12 months ended May 31, 2021. 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 the Adviser 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 bottom Broadridge quartile for the 36 months ended May 31, 2021 and the bottom Broadridge quartile for the 12 months ended May 31, 2021. The Trustees noted the reasons for the Fund’s underperformance and the steps the Adviser and subadviser had taken or were taking to improve performance.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the 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 the Adviser out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by the Adviser to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by the Adviser. 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 8% 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 6% under the average management fees for the respective Broadridge Expense Group. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group 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
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
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 the Adviser and 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 the Adviser and subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser or subadviser (for which the Adviser 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 the Adviser noted that, under the terms of the management agreements with the Janus Henderson Funds, the Adviser 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, the Adviser assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees the Adviser charges to the Janus Henderson Funds are reasonable in relation to the management fees the Adviser charges to funds subadvised by the Adviser and to the fees the Adviser 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; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; and (4) as part of its 2020 review, 9 of 10 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2020, 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 the Adviser has contractually agreed to limit the Fund’s expenses.
· 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 the Adviser 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 Overseas 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 Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
· 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 the Adviser and its affiliates from their relationships 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 the Adviser from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether the Adviser and 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 the Adviser 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 the Adviser 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 the Adviser’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 the Adviser and its affiliates, as well as the fees paid by the Adviser to the subadviser 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 the Adviser and the subadviser 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 the Adviser and subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by the Adviser.
Economies of Scale
The Trustees considered information about the potential for the Adviser 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 75% of these Janus Henderson Funds’ have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. The Trustees also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of the Adviser, the Adviser is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such 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 (3) 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 the Adviser 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.
Janus Henderson VIT U.S. Low Volatility Portfolio
Additional Information (unaudited)
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 the Adviser, the Adviser’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, the Adviser 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 the Adviser.
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 the Adviser 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 the Adviser
The Trustees also considered benefits that accrue to the Adviser and its affiliates and subadviser to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of the Adviser 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 the Adviser and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered the Adviser’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 the Adviser and/or the Adviser, and/or subadviser to a Janus Henderson Fund. The Trustees concluded that the Adviser’s and the subadviser’s 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 the Adviser and its affiliates and subadviser pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser and the subadviser may potentially benefit from their relationship with each other in other ways. They concluded that the Adviser 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 the Adviser and its affiliates. They also concluded that the Adviser and the subadviser 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 the Adviser’s and/or the subadviser’s receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser and/or other clients of the subadviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser, the subadviser or other Janus Henderson funds, and that the success of the Adviser and the subadviser could enhance the Adviser’s and the subadviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
Management Commentary
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2021. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of the Adviser and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Bloomberg 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.
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
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.
Janus Henderson VIT U.S. Low Volatility Portfolio
Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
Janus Henderson VIT U.S. Low Volatility Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2021:
| | |
| | |
Capital Gain Distributions | $164,723,487 |
Dividends Received Deduction Percentage | 23% |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years). The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by the Adviser: Janus Investment Fund. Collectively, these two registered investment companies consist of 52 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of the Adviser. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant (since 2019) and Chief Operating Officer, muun chi LLC (organic food business) (since 2020). Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 52 | Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 1 fund) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). Formerly, Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (2016-2021). |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 52 | Advisory Board Member of AEW Core Property Trust (open-end property fund) (since 2020), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 52 | Member, Limited Partner Advisory Committee, Karmel Capital Fund III (since 2022), Member of the Investmtnet Committee for the Orange Country Community Foundation (a grantmaking foundation) (since 2020), Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), and Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016). Formerly, Senior Vice President and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (2011-2021), and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 52 | Member of the Investment Committee for Cooper Union (private college) (since 2021), Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 52 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013). Formerly, Director, West Bend Mutual Insurance Company (property/casualty insurance) (2013-2021), Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | | | |
TRUSTEES |
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | | | | |
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. Formerly, Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006) and Treasurer for Driehaus Mutual Funds (1996-2002). | 52 | Formerly, Director of Family Service of Lake County (2019-2021), Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 52 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), and Shirley Ryan Ability Lab. Formerly, Director of Wrapports, LLC (until 2022), Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019) and Director of Walmart (until 2017). |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michelle Rosenberg
151 Detroit Street
Denver, CO 80206
DOB: 1973 | Interim President and Chief Executive Officer | 1/22-Present | General Counsel and Corporate Secretary of Janus Henderson Investors (since 2018). Formerly, Senior Vice President and Head of Legal, North America of Janus Henderson Investors (2017-2018) and Deputy General Counsel of Janus Henderson US (Holdings), Inc. (2015-2018). |
Kristin Mariani
151 Detroit Street
Denver, CO 80206
DOB: 1966 | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 7/20-Present | Head of Compliance, North America for Janus Henderson Investors (since September 2020), and Chief Compliance Officer for Janus Henderson Investors US LLC (since September 2017). Formerly, Global Head of Investment Management Compliance for Janus Henderson Investors (February 2019-August 2020), Vice President, Head of Global Distribution Compliance and Chief Compliance Officer of Janus Henderson Distributors US LLC (May 2017-September 2017), Vice President, Compliance at Janus Henderson US (Holdings) Inc., Janus Henderson Investors US LLC, and Janus Henderson Distributors US LLC (2009-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Henderson VIT U.S. Low Volatility Portfolio
Trustees and Officers (unaudited)
| | | | |
OFFICERS |
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Jesper Nergaard
151 Detroit Street
Denver, CO 80206
DOB: 1962 | Chief Financial Officer
Vice President, Treasurer, and Principal Accounting Officer | 3/05-Present
2/05-Present | Head of U.S. Fund Administration, Janus Henderson Investors and Janus Henderson Services US LLC. |
Abigail J. Murray
151 Detroit Street
Denver, CO 80206
DOB: 1975 | Vice President, Chief Legal Officer, and Secretary | 12/20-Present | Managing Counsel (2020-present). Formerly, Senior Counsel for Invesco Ltd. (2017-2020), and Vice President and Senior Counsel, ALPS Fund Services, Inc. and Assistant General Counsel, ALPS Advisors, Inc. (2015-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
| | | | | | | | |
| | | | | |
| | | | |
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 US LLC |
| | | | 109-02-81127 03-22 |
Item 2 - Code of Ethics
As of the end of the period covered by this Form N-CSR, the Registrant has adopted a Code of Ethics (as defined in Item 2(b) of Form N-CSR), which is posted on the Registrant's website: janushenderson.com. Registrant intends to post any amendments to, or waivers from (as defined in Item 2 of Form N-CSR), such code on janushenderson.com within five business days following the date of such amendment or waiver.
Item 3 - Audit Committee Financial Expert
The Registrant's Board of Trustees has determined that the following members of the Board's Audit Committee are "audit committee financial experts," as defined in Item 3 to Form N-CSR: William D. Cvengros, Gary A. Poliner, and Diane L. Wallace who are each "independent" under the standards set forth in Item 3 to Form N-CSR.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees
The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Portfolios' annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $386,925 in fiscal 2021 and $375,653 in fiscal 2020.
(b) Audit-Related Fees
The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Portfolios' financial statements and are not reported under paragraph (a) of this Item were $0 in fiscal 2021 and $0 in fiscal 2020.
The nature of the services comprising the fees disclosed under this category includes agreed upon procedures.
(c) Tax Fees
The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $59,104 in fiscal 2021 and $57,382 in fiscal 2020.
The nature of the services comprising the fees disclosed under this category includes tax compliance, tax planning, tax advice, and corporate actions review.
(d) All Other Fees
The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 in fiscal 2021 and $0 in fiscal 2020.
(e) (1) The registrant's Audit Committee Charter requires the registrant's Audit Committee to pre-approve any engagement of the principal accountant (i) to provide audit or non-audit services to the registrant or (ii) to provide non-audit services to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X. The Chairman of the Audit Committee or, if the Chairman is unavailable, another member of the Audit Committee who is an independent Trustee, may grant the pre-approval. All
such delegated pre-approvals must be presented to the Audit Committee no later than the next Audit Committee meeting.
(2) 0%
(f) Not applicable as less than 50%
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $59,104 in fiscal 2021 and $57,382 in fiscal 2020.
(h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.
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/ Michelle Rosenberg
Michelle Rosenberg, Interim President and Chief Executive Officer of Janus Aspen Series
(Principal Executive Officer)
Date: March 1, 2022
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/ Michelle Rosenberg
Michelle Rosenberg, Interim President and Chief Executive Officer of Janus Aspen Series
(Principal Executive Officer)
Date: March 1, 2022
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: March 1, 2022
