Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
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.
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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 June 30, 2023.
The following tables provide information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the period ended June 30, 2023.
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 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.
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
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 period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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 period ended June 30, 2023 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 period, the Portfolio entered into forward currency contracts with the obligation to purchase foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
During the period, the Portfolio entered into forward currency contracts with the obligation to sell foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
3. Other Investments and Strategies
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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 June 30, 2023, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $840,579. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2023 is $830,753, resulting in the net amount due to the counterparty of $9,826.
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 Offsetting Assets and Liabilities tables located in the Schedule of Investments present gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2023” table located in the Portfolio’s Schedule of Investments.
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.
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.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 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 period ended June 30, 2023, the Portfolio engaged in cross trades amounting to $642,737 in sales, resulting in a net realized loss of $96,630. The net realized loss is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
5. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
6. Capital Share Transactions
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 June 30, 2023 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.
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, 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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
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 fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
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| | | SEMIANNUAL REPORT June 30, 2023 |
| | |
| | Janus Henderson VIT Flexible Bond Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Flexible Bond Portfolio
| | | | | | |
| | | | | 
Greg Wilensky co-portfolio manager | 
Michael Keough co-portfolio manager |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
| | | |
Fund Profile | | |
30-day SEC Yield* | Without
Reimbursement | With
Reimbursement |
Institutional Shares | 3.28% | 3.33% |
Service Shares | 3.03% | 3.07% |
Weighted Average Maturity | 8.2 Years |
Average Effective Duration** | 6.3 Years |
* Yield will fluctuate. | |
** A theoretical measure of price volatility. |
| | |
Ratings† Summary - (% of Total Investments) | |
AAA | 1.9% |
AA | 54.3% |
A | 8.0% |
BBB | 15.8% |
BB | 1.5% |
B | 0.1% |
Not Rated | 16.1% |
Other | 2.3% |
† 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) | |
Mortgage-Backed Securities | | 29.0% | |
United States Treasury Notes/Bonds | | 23.8% | |
Corporate Bonds | | 23.4% | |
Asset-Backed/Commercial Mortgage-Backed Securities | | 20.9% | |
Investment Companies | | 9.4% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.2% | |
Other | | (6.7)% |
| | | 100.0% |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ | Net Annual Fund
Operating Expenses‡ |
Institutional Shares | | 1.67% | -1.56% | 1.18% | 1.68% | 5.28% | | | 0.60% | 0.57% |
Service Shares | | 1.58% | -1.72% | 0.94% | 1.43% | 5.05% | | | 0.85% | 0.82% |
Bloomberg U.S. Aggregate Bond Index | | 2.09% | -0.94% | 0.77% | 1.52% | 4.31% | | | | |
Morningstar Quartile - Institutional Shares | | - | 4th | 2nd | 3rd | 1st | | | | |
Morningstar Ranking - based on total returns for Intermediate Core - Plus Bond Funds | | - | 478/626 | 167/549 | 240/466 | 7/166 | | | | |
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.
For certain periods, the Portfolio’s performance may reflect the effects of expense waivers.
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.
© 2023 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 Flexible Bond 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. Net expense ratios reflect the expense waiver, if any, contractually agreed to for at least a one-year period commencing on April 28, 2023. This contractual waiver may be terminated or modified only at the discretion of the Board of Trustees. 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
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,016.70 | $2.90 | | $1,000.00 | $1,021.92 | $2.91 | 0.58% |
Service Shares | $1,000.00 | $1,015.80 | $4.15 | | $1,000.00 | $1,020.68 | $4.16 | 0.83% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– 20.9% | | | |
| | 208 Park Avenue Mortgage Trust 2017-280P, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.8800%, 6.0620%, 9/15/34 (144A)‡ | | $629,029 | | | $610,697 | |
| | A&D Mortgage Trust 2023-NQM2 A1, 6.1320%, 5/25/68 (144A)Ç | | 1,096,381 | | | 1,078,964 | |
| | ACC Auto Trust 2021-A A, 1.0800%, 4/15/27 (144A) | | 19,584 | | | 19,555 | |
| | ACC Auto Trust 2022-A A, 4.5800%, 7/15/26 (144A) | | 251,016 | | | 247,513 | |
| | Affirm Asset Securitization Trust 2020-Z2 A, 1.9000%, 1/15/25 (144A) | | 30,834 | | | 30,457 | |
| | Affirm Asset Securitization Trust 2021-B A, 1.0300%, 8/17/26 (144A) | | 801,000 | | | 779,192 | |
| | Aimco 2020-11A AR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1300%, 6.3903%, 10/17/34 (144A)‡ | | 330,000 | | | 323,957 | |
| | Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)‡ | | 71,768 | | | 68,615 | |
| | Angel Oak Mortgage Trust I LLC 2019-6, | | | | | | |
| | ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)‡ | | 64,943 | | | 61,377 | |
| | Angel Oak Mortgage Trust I LLC 2020-2, | | | | | | |
| | ICE LIBOR USD 12 Month + 2.2000%, 2.5310%, 1/26/65 (144A)‡ | | 201,790 | | | 181,244 | |
| | Angel Oak Mortgage Trust I LLC 2020-3, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)‡ | | 162,985 | | | 146,948 | |
| | Aqua Finance Trust 2021-A A, 1.5400%, 7/17/46 (144A) | | 317,791 | | | 281,100 | |
| | ARES CLO Ltd 2021-60A A, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1200%, 6.3817%, 7/18/34 (144A)‡ | | 278,000 | | | 271,691 | |
| | Arivo Acceptance Auto Loan Receivables 2022-1A A, 3.9300%, 5/15/28 (144A) | | 274,085 | | | 265,297 | |
| | Atalaya Equipment Leasing Fund I LP 2021-1A A2, 1.2300%, 5/15/26 (144A) | | 286,774 | | | 280,986 | |
| | Babson CLO Ltd 2018-3A A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 0.9500%, 6.2004%, 7/20/29 (144A)‡ | | 375,164 | | | 373,867 | |
| | Babson CLO Ltd 2019-3A A1R, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.0700%, 6.3204%, 4/20/31 (144A)‡ | | 1,208,000 | | | 1,198,654 | |
| | Babson CLO Ltd 2020-4A A, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.2200%, 6.4704%, 1/20/32 (144A)‡ | | 385,415 | | | 381,574 | |
| | Bank 2018-BN12 A4, 4.2550%, 5/15/61‡ | | 260,123 | | | 245,771 | |
| | Barclays Commercial Mortgage Securities LLC 2015-SRCH, | | | | | | |
| | 4.1970%, 8/10/35 (144A) | | 1,447,000 | | | 1,306,668 | |
| | BPR Trust 2022-OANA A, | | | | | | |
| | CME Term SOFR 1 Month + 1.8980%, 7.0450%, 4/15/37 (144A)‡ | | 2,104,000 | | | 2,048,448 | |
| | BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | | 309,000 | | | 264,969 | |
| | BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | | 614,000 | | | 520,173 | |
| | BX Commercial Mortgage Trust 2019-XL, | | | | | | |
| | CME Term SOFR 1 Month + 1.0345%, 6.1815%, 10/15/36 (144A)‡ | | 1,441,096 | | | 1,431,546 | |
| | BX Commercial Mortgage Trust 2019-XL, | | | | | | |
| | CME Term SOFR 1 Month + 1.1945%, 6.3415%, 10/15/36 (144A)‡ | | 444,550 | | | 440,088 | |
| | BX Commercial Mortgage Trust 2020-VKNG A, | | | | | | |
| | CME Term SOFR 1 Month + 1.0445%, 6.1915%, 10/15/37 (144A)‡ | | 188,443 | | | 186,068 | |
| | BX Commercial Mortgage Trust 2021-LBA AJV, | | | | | | |
| | CME Term SOFR 1 Month + 0.9145%, 6.0615%, 2/15/36 (144A)‡ | | 848,000 | | | 820,751 | |
| | BX Commercial Mortgage Trust 2021-LBA AV, | | | | | | |
| | CME Term SOFR 1 Month + 0.9145%, 6.0615%, 2/15/36 (144A)‡ | | 964,000 | | | 933,584 | |
| | BX Commercial Mortgage Trust 2021-VINO A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.6523%, 5.8453%, 5/15/38 (144A)‡ | | 268,000 | | | 260,593 | |
| | BX Commercial Mortgage Trust 2021-VOLT B, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9500%, 6.1433%, 9/15/36 (144A)‡ | | 1,043,000 | | | 998,047 | |
| | BX Commercial Mortgage Trust 2021-VOLT D, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 6.8433%, 9/15/36 (144A)‡ | | 1,096,000 | | | 1,039,089 | |
| | BX Commercial Mortgage Trust 2022-FOX2 A2, | | | | | | |
| | CME Term SOFR 1 Month + 0.7492%, 5.8962%, 4/15/39 (144A)‡ | | 1,197,714 | | | 1,145,091 | |
| | BX Commercial Mortgage Trust 2023-VLT2 A, | | | | | | |
| | CME Term SOFR 1 Month + 2.2810%, 7.4280%, 6/15/40 (144A)‡ | | 288,000 | | | 286,840 | |
| | BX Commercial Mortgage Trust 2023-VLT2 B, | | | | | | |
| | CME Term SOFR 1 Month + 3.1290%, 8.2760%, 6/15/40 (144A)‡ | | 639,000 | | | 635,430 | |
| | Carvana Auto Receivables Trust 2021-P4 A2, 0.8200%, 4/10/25 | | 56,174 | | | 56,097 | |
| | CBAM CLO Management 2019-11RA A1, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1800%, 6.4304%, 1/20/35 (144A)‡ | | 1,312,000 | | | 1,289,906 | |
| | CBAM CLO Management 2019-11RA B, | | | | | | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 5 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | ICE LIBOR USD 3 Month + 1.7500%, 7.0004%, 1/20/35 (144A)‡ | | $500,944 | | | $479,414 | |
| | Cedar Funding Ltd 2019-11A A1R, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.0500%, 6.0034%, 5/29/32 (144A)‡ | | 777,000 | | | 767,894 | |
| | CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | | 1,132,822 | | | 979,364 | |
| | CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | | 415,619 | | | 350,214 | |
| | CF Hippolyta Issuer LLC 2022-1A A1, 5.9700%, 8/15/62 (144A) | | 1,232,162 | | | 1,197,105 | |
| | CF Hippolyta Issuer LLC 2022-1A A2, 6.1100%, 8/15/62 (144A) | | 2,995,882 | | | 2,790,829 | |
| | Chase Auto Credit Linked Notes 2021-2 B, 0.8890%, 12/26/28 (144A) | | 303,987 | | | 293,727 | |
| | Chase Mortgage Finance Corp 2021-CL1 M1, | | | | | | |
| | US 30 Day Average SOFR + 1.2000%, 6.2666%, 2/25/50 (144A)‡ | | 518,609 | | | 474,297 | |
| | CIFC Funding Ltd 2021-4A A, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.0500%, 6.3103%, 7/15/33 (144A)‡ | | 1,057,088 | | | 1,045,325 | |
| | CIFC Funding Ltd 2021-7A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.6000%, 6.8727%, 1/23/35 (144A)‡ | | 383,807 | | | 371,523 | |
| | CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)Ç | | 476,755 | | | 458,090 | |
| | CIM Trust 2021-NR4 A1, 2.8160%, 10/25/61 (144A)Ç | | 272,028 | | | 253,812 | |
| | Cold Storage Trust 2020-ICE5 A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9000%, 6.0933%, 11/15/37 (144A)‡ | | 1,740,876 | | | 1,710,019 | |
| | Cold Storage Trust 2020-ICE5 B, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.3000%, 6.4933%, 11/15/37 (144A)‡ | | 774,597 | | | 760,596 | |
| | Cold Storage Trust 2020-ICE5 C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 6.8433%, 11/15/37 (144A)‡ | | 777,546 | | | 762,550 | |
| | COLT Funding LLC 2020-2, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)‡ | | 6,239 | | | 6,160 | |
| | COLT Funding LLC 2020-3, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)‡ | | 55,103 | | | 50,707 | |
| | Connecticut Avenue Securities Trust 2018-R07, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.4000%, 7.5504%, 4/25/31 (144A)‡ | | 21,398 | | | 21,465 | |
| | Connecticut Avenue Securities Trust 2019-R02, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.3000%, 7.4504%, 8/25/31 (144A)‡ | | 4,227 | | | 4,227 | |
| | Connecticut Avenue Securities Trust 2019-R03, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1500%, 7.3004%, 9/25/31 (144A)‡ | | 24,371 | | | 24,405 | |
| | Connecticut Avenue Securities Trust 2019-R07, | | | | | | |
| | ICE LIBOR USD 1 Month + 2.1000%, 7.2504%, 10/25/39 (144A)‡ | | 12,823 | | | 12,843 | |
| | Connecticut Avenue Securities Trust 2021-R02 2M2, | | | | | | |
| | US 30 Day Average SOFR + 2.0000%, 7.0666%, 11/25/41 (144A)‡ | | 1,922,000 | | | 1,871,258 | |
| | Connecticut Avenue Securities Trust 2021-R03 1M1, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 5.9166%, 12/25/41 (144A)‡ | | 477,402 | | | 471,861 | |
| | Connecticut Avenue Securities Trust 2021-R03 1M2, | | | | | | |
| | US 30 Day Average SOFR + 1.6500%, 6.7166%, 12/25/41 (144A)‡ | | 711,000 | | | 687,056 | |
| | Connecticut Avenue Securities Trust 2022-R01 1B1, | | | | | | |
| | US 30 Day Average SOFR + 3.1500%, 8.2166%, 12/25/41 (144A)‡ | | 2,186,000 | | | 2,141,520 | |
| | Connecticut Avenue Securities Trust 2022-R02 2M2, | | | | | | |
| | US 30 Day Average SOFR + 3.0000%, 8.0666%, 1/25/42 (144A)‡ | | 804,000 | | | 796,718 | |
| | Connecticut Avenue Securities Trust 2022-R03 1M1, | | | | | | |
| | US 30 Day Average SOFR + 2.1000%, 7.1666%, 3/25/42 (144A)‡ | | 1,290,688 | | | 1,293,812 | |
| | Connecticut Avenue Securities Trust 2022-R04 1M1, | | | | | | |
| | US 30 Day Average SOFR + 2.0000%, 7.0666%, 3/25/42 (144A)‡ | | 569,265 | | | 570,191 | |
| | Connecticut Avenue Securities Trust 2022-R06 1M1, | | | | | | |
| | US 30 Day Average SOFR + 2.7500%, 7.8166%, 5/25/42 (144A)‡ | | 386,186 | | | 393,185 | |
| | Connecticut Avenue Securities Trust 2022-R08 1M1, | | | | | | |
| | US 30 Day Average SOFR + 2.5500%, 7.6166%, 7/25/42 (144A)‡ | | 315,612 | | | 319,483 | |
| | Connecticut Avenue Securities Trust 2023-R01 1M1, | | | | | | |
| | US 30 Day Average SOFR + 2.4000%, 7.4666%, 12/25/42 (144A)‡ | | 557,539 | | | 560,194 | |
| | Connecticut Avenue Securities Trust 2023-R03 2M1, | | | | | | |
| | US 30 Day Average SOFR + 2.5000%, 7.5666%, 4/25/43 (144A)‡ | | 812,772 | | | 819,758 | |
| | Consumer Loan Underlying Bond Credit Trust 2019-P2 C, | | | | | | |
| | 4.4100%, 10/15/26 (144A) | | 68,272 | | | 68,228 | |
| | CP EF Asset Securitization I LLC 2002-1A A, 5.9600%, 4/15/30 (144A) | | 407,236 | | | 400,328 | |
| | Credit Suisse Commercial Mortgage Trust 2019-ICE4, | | | | | | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | ICE LIBOR USD 1 Month + 0.9800%, 6.1730%, 5/15/36 (144A)‡ | | $1,682,813 | | | $1,672,000 | |
| | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.4300%, 6.6230%, 5/15/36 (144A)‡ | | 828,938 | | | 819,600 | |
| | Credit Suisse Commercial Mortgage Trust 2021-WEHO A, | | | | | | |
| | CME Term SOFR 1 Month + 4.0838%, 9.2308%, 4/15/26 (144A)‡ | | 762,026 | | | 754,931 | |
| | Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | | 1,183,000 | | | 1,015,544 | |
| | Dryden Senior Loan Fund 2020-83A A, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.2200%, 6.4817%, 1/18/32 (144A)‡ | | 374,404 | | | 369,694 | |
| | Elmwood CLO VIII Ltd 2019-2A AR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.1500%, 5.9577%, 4/20/34 (144A)‡ | | 419,000 | | | 412,614 | |
| | Exeter Automobile Receivables Trust 2019-1, 5.2000%, 1/15/26 (144A) | | 545,000 | | | 543,210 | |
| | Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | | 580,000 | | | 544,605 | |
| | Fannie Mae REMICS, 3.0000%, 5/25/48 | | 898,853 | | | 798,198 | |
| | Fannie Mae REMICS, 3.0000%, 11/25/49 | | 888,594 | | | 785,282 | |
| | Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)‡ | | 3,374,589 | | | 2,828,724 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.9500%, 7.1004%, 10/25/49 (144A)‡ | | 10,118 | | | 10,132 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.0000%, 7.0666%, 12/25/50 (144A)‡ | | 714,617 | | | 721,295 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.6000%, 7.6666%, 11/25/50 (144A)‡ | | 783,486 | | | 794,678 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.3000%, 7.3666%, 8/25/33 (144A)‡ | | 1,110,002 | | | 1,110,568 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA6 M1, | | | | | | |
| | US 30 Day Average SOFR + 0.8000%, 5.8666%, 10/25/41 (144A)‡ | | 743,228 | | | 738,029 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, | | | | | | |
| | US 30 Day Average SOFR + 2.2500%, 7.3166%, 8/25/33 (144A)‡ | | 457,802 | | | 450,493 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A, | | | | | | |
| | US 30 Day Average SOFR + 2.9500%, 8.0166%, 6/25/42 (144A)‡ | | 791,866 | | | 804,851 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A, | | | | | | |
| | US 30 Day Average SOFR + 2.1500%, 7.2166%, 9/25/42 (144A)‡ | | 171,742 | | | 172,100 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A, | | | | | | |
| | US 30 Day Average SOFR + 2.1000%, 7.1666%, 3/25/42 (144A)‡ | | 591,636 | | | 592,315 | |
| | Freddie Mac Structured Agency Credit Risk Debt Notes 2023-DNA2 M1A, | | | | | | |
| | US 30 Day Average SOFR + 2.1000%, 7.1666%, 4/25/43 (144A)‡ | | 411,457 | | | 412,657 | |
| | GCAT 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡ | | 2,669,612 | | | 2,239,630 | |
| | Great Wolf Trust, | | | | | | |
| | CME Term SOFR 1 Month + 1.1485%, 6.2955%, 12/15/36 (144A)‡ | | 293,000 | | | 289,526 | |
| | Great Wolf Trust, | | | | | | |
| | CME Term SOFR 1 Month + 1.4485%, 6.5955%, 12/15/36 (144A)‡ | | 328,000 | | | 322,544 | |
| | Great Wolf Trust, | | | | | | |
| | CME Term SOFR 1 Month + 1.7475%, 6.8945%, 12/15/36 (144A)‡ | | 365,000 | | | 358,220 | |
| | GS Mortgage Securities Trust 2018-GS10, 4.1550%, 7/10/51‡ | | 371,605 | | | 345,793 | |
| | GS Mortgage Securities Trust 2018-GS9, 3.9920%, 3/10/51‡ | | 618,450 | | | 574,771 | |
| | Highbridge Loan Management Ltd 2021-16A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 6.9727%, 1/23/35 (144A)‡ | | 380,629 | | | 367,866 | |
| | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A, | | | | | | |
| | 3.2865%, 1/10/37 (144A) | | 1,213,000 | | | 1,129,800 | |
| | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B, | | | | | | |
| | 3.6401%, 1/10/37 (144A) | | 830,000 | | | 757,542 | |
| | LAD Auto Receivables Trust 2021-1A A, 1.3000%, 8/17/26 (144A) | | 248,743 | | | 242,272 | |
| | LAD Auto Receivables Trust 2022-1A A, 5.2100%, 6/15/27 (144A) | | 725,006 | | | 716,551 | |
| | LCM LP 24A AR, ICE LIBOR USD 3 Month + 0.9800%, 6.2304%, 3/20/30 (144A)‡ | | 336,480 | | | 332,157 | |
| | Lendbuzz Securitization Trust 2021-1A A, 4.2200%, 5/17/27 (144A)‡ | | 718,086 | | | 693,721 | |
| | Lendbuzz Securitization Trust 2023-1A A2, 6.9200%, 8/15/28 (144A) | | 522,000 | | | 519,439 | |
| | Life Financial Services Trust 2021-BMR A, | | | | | | |
| | CME Term SOFR 1 Month + 0.8145%, 5.9615%, 3/15/38 (144A)‡ | | 1,851,916 | | | 1,803,807 | |
| | Life Financial Services Trust 2021-BMR C, | | | | | | |
| | CME Term SOFR 1 Month + 1.2145%, 6.3615%, 3/15/38 (144A)‡ | | 1,034,085 | | | 995,575 | |
| | Life Financial Services Trust 2022-BMR2 A1, | | | | | | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | CME Term SOFR 1 Month + 1.2952%, 6.4422%, 5/15/39 (144A)‡ | | $1,237,000 | | | $1,208,250 | |
| | Madison Park Funding Ltd 2019-35A A1R, | | | | | | |
| | ICE LIBOR USD 3 Month + 0.9900%, 6.2404%, 4/20/32 (144A)‡ | | 1,050,000 | | | 1,035,142 | |
| | Marlette Funding Trust 2023-2A B, 6.5400%, 6/15/33 (144A) | | 342,000 | | | 341,492 | |
| | MED Trust 2021-MDLN E, | | | | | | |
| | ICE LIBOR USD 1 Month + 3.1500%, 8.3440%, 11/15/38 (144A)‡ | | 1,491,840 | | | 1,409,711 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.9500%, 5.0000%, 8/25/51 (144A)‡ | | 713,619 | | | 654,597 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.9500%, 5.0000%, 10/25/51 (144A)‡ | | 922,077 | | | 845,830 | |
| | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3, | | | | | | |
| | 2.5000%, 12/25/51 (144A)‡ | | 835,149 | | | 670,393 | |
| | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2, | | | | | | |
| | 3.0000%, 3/25/52 (144A)‡ | | 1,830,421 | | | 1,537,044 | |
| | Mercury Financial Credit Card Master Trust 2023-1A A, | | | | | | |
| | 8.0400%, 9/20/27 (144A) | | 890,000 | | | 890,735 | |
| | MHC Commercial Mortgage Trust 2021-MHC A, | | | | | | |
| | CME Term SOFR 1 Month + 0.9154%, 6.0624%, 4/15/38 (144A)‡ | | 1,691,503 | | | 1,661,013 | |
| | MHC Commercial Mortgage Trust 2021-MHC C, | | | | | | |
| | CME Term SOFR 1 Month + 1.4654%, 6.6124%, 4/15/38 (144A)‡ | | 954,704 | | | 930,060 | |
| | Morgan Stanley Capital I Trust 2016-UB11, 2.7820%, 8/15/49 | | 594,000 | | | 537,883 | |
| | Morgan Stanley Capital I Trust 2015-UBS8, 3.8090%, 12/15/48 | | 447,000 | | | 419,734 | |
| | Morgan Stanley Capital I Trust 2018-H3, 4.1770%, 7/15/51 | | 590,372 | | | 549,495 | |
| | Morgan Stanley Capital I Trust 2018-H4, 4.3100%, 12/15/51 | | 883,008 | | | 821,684 | |
| | New Residential Mortgage Loan Trust 2018-2, | | | | | | |
| | ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)‡ | | 194,854 | | | 183,498 | |
| | NRZ Excess Spread Collateralized Notes 2020-PLS1 A, | | | | | | |
| | 3.8440%, 12/25/25 (144A) | | 180,372 | | | 166,959 | |
| | NRZ Excess Spread Collateralized Notes 2021-FHT1 A, 3.1040%, 7/25/26 (144A) | | 553,225 | | | 495,157 | |
| | Oak Street Investment Grade Net Lease Fund 2020-1A A1, | | | | | | |
| | 1.8500%, 11/20/50 (144A) | | 737,221 | | | 665,325 | |
| | Oasis Securitization 2022-1A A, 4.7500%, 5/15/34 (144A) | | 234,216 | | | 230,539 | |
| | Oceanview Mortgage Trust 2021-4 A11, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 5.0000%, 10/25/51 (144A)‡ | | 1,008,344 | | | 916,981 | |
| | Oceanview Mortgage Trust 2021-5 AF, | | | | | | |
| | US 30 Day Average SOFR + 0.8500%, 5.0000%, 11/25/51 (144A)‡ | | 1,037,813 | | | 944,208 | |
| | Oceanview Mortgage Trust 2022-1 A1, 3.0000%, 12/25/51 (144A)‡ | | 1,082,137 | | | 907,918 | |
| | Oceanview Mortgage Trust 2022-2 A1, 3.0000%, 12/25/51 (144A)‡ | | 2,095,222 | | | 1,757,905 | |
| | Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)‡ | | 983,496 | | | 788,767 | |
| | Onslow Bay Financial LLC 2022-INV1 A1, 3.0000%, 12/25/51 (144A)‡ | | 2,121,575 | | | 1,779,763 | |
| | Onslow Bay Financial LLC 2022-INV1 A18, 3.0000%, 12/25/51 (144A)‡ | | 899,953 | | | 734,159 | |
| | Pagaya AI Debt Selection Trust 2021-1 A, 1.1800%, 11/15/27 (144A) | | 96,433 | | | 96,265 | |
| | Pagaya AI Debt Selection Trust 2022-1 A, 2.0300%, 10/15/29 (144A) | | 344,946 | | | 335,496 | |
| | Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)Ç | | 474,555 | | | 456,135 | |
| | Preston Ridge Partners Mortgage Trust 2021-10 A1, 2.4870%, 10/25/26 (144A)Ç | | 997,176 | | | 918,556 | |
| | Preston Ridge Partners Mortgage Trust 2021-9 A1, 2.3630%, 10/25/26 (144A)Ç | | 1,856,159 | | | 1,721,148 | |
| | Preston Ridge Partners Mortgage Trust 2021-RPL2 A1, | | | | | | |
| | 1.4550%, 10/25/51 (144A)‡ | | 1,098,083 | | | 948,048 | |
| | Preston Ridge Partners Mortgage Trust 2022-2 A1, 5.0000%, 3/25/27 (144A)Ç | | 1,329,288 | | | 1,278,122 | |
| | Provident Funding Mortgage Trust 2021-INV1 A1, 2.5000%, 8/25/51 (144A)‡ | | 883,384 | | | 708,704 | |
| | Regatta XXIII Funding Ltd 2021-4A B, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.7000%, 6.9504%, 1/20/35 (144A)‡ | | 393,948 | | | 382,702 | |
| | Saluda Grade Alternative Mortgage Trust 2023-SEQ3 A1, | | | | | | |
| | 7.1620%, 6/1/53 (144A)‡ | | 445,313 | | | 444,112 | |
| | Santander Bank Auto Credit-Linked Notes 2021-1A B, 1.8330%, 12/15/31 (144A) | | 163,111 | | | 156,851 | |
| | Santander Bank Auto Credit-Linked Notes 2022-A B, 5.2810%, 5/15/32 (144A) | | 609,387 | | | 600,219 | |
| | Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | | 1,405,785 | | | 1,369,492 | |
| | Santander Drive Auto Receivables Trust 2021-1 D, 1.1300%, 11/16/26 | | 2,418,000 | | | 2,311,937 | |
| | Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)‡ | | 97,014 | | | 82,991 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | | | |
| | SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 6.1470%, 1/15/39 (144A)‡ | | $696,000 | | | $675,415 | |
| | Sound Point CLO Ltd 2019-1A AR, | | | | | | |
| | ICE LIBOR USD 3 Month + 1.0800%, 5.8877%, 1/20/32 (144A)‡ | | 1,208,000 | | | 1,187,277 | |
| | Spruce Hill Mortgage Loan Trust 2020-SH1 A1, | | | | | | |
| | ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)‡ | | 4,525 | | | 4,467 | |
| | Spruce Hill Mortgage Loan Trust 2020-SH1 A2, | | | | | | |
| | ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)‡ | | 20,183 | | | 19,939 | |
| | SREIT Trust 2021-MFP A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.7308%, 5.9241%, 11/15/38 (144A)‡ | | 151,000 | | | 146,567 | |
| | Tesla Auto Lease Trust 2021-B A3, 0.6000%, 9/22/25 (144A) | | 561,000 | | | 539,938 | |
| | Tesla Auto Lease Trust 2021-B B, 0.9100%, 9/22/25 (144A) | | 288,000 | | | 272,591 | |
| | Theorem Funding Trust 2021-1A A, 1.2100%, 12/15/27 (144A) | | 138,010 | | | 137,379 | |
| | TPI Re-Remic Trust 2022-FRR1 AK33, 0%, 7/25/46 (144A)◊ | | 565,000 | | | 562,134 | |
| | TPI Re-Remic Trust 2022-FRR1 AK34, 0%, 7/25/46 (144A)◊ | | 465,000 | | | 462,641 | |
| | TPI Re-Remic Trust 2022-FRR1 AK35, 0%, 8/25/46 (144A)◊ | | 631,000 | | | 624,033 | |
| | Tricolor Auto Securitization Trust 2022-1A A, 3.3000%, 2/18/25 (144A) | | 48,346 | | | 48,073 | |
| | UNIFY Auto Receivables Trust 2021-1A A4, 0.9800%, 7/15/26 (144A) | | 610,000 | | | 591,782 | |
| | United Wholesale Mortgage LLC 2021-INV1 A9, | | | | | | |
| | US 30 Day Average SOFR + 0.9000%, 5.0000%, 8/25/51 (144A)‡ | | 859,112 | | | 783,019 | |
| | United Wholesale Mortgage LLC 2021-INV4 A3, 2.5000%, 12/25/51 (144A)‡ | | 642,142 | | | 515,462 | |
| | Upstart Securitization Trust 2021-4 A, 0.8400%, 9/20/31 (144A) | | 175,452 | | | 172,745 | |
| | Upstart Securitization Trust 2021-5 A, 1.3100%, 11/20/31 (144A) | | 141,169 | | | 138,204 | |
| | Upstart Securitization Trust 2022-1 A, 3.1200%, 3/20/32 (144A) | | 693,687 | | | 679,245 | |
| | Upstart Securitization Trust 2022-2 A, 4.3700%, 5/20/32 (144A) | | 884,756 | | | 874,645 | |
| | Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | | 982,000 | | | 879,999 | |
| | Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | | 634,000 | | | 534,855 | |
| | VASA Trust 2021-VASA A, | | | | | | |
| | ICE LIBOR USD 1 Month + 0.9000%, 6.0930%, 7/15/39 (144A)‡ | | 605,000 | | | 531,485 | |
| | VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | | 115,110 | | | 110,057 | |
| | VMC Finance LLC 2021-HT1 A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.6500%, 6.8066%, 1/18/37 (144A)‡ | | 701,122 | | | 678,679 | |
| | Wells Fargo Commercial Mortgage Trust 2021-SAVE A, | | | | | | |
| | ICE LIBOR USD 1 Month + 1.1500%, 6.3430%, 2/15/40 (144A)‡ | | 305,431 | | | 287,259 | |
| | Westgate Resorts 2022-1A A, 1.7880%, 8/20/36 (144A) | | 302,183 | | | 284,120 | |
| | Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | | 466,074 | | | 461,506 | |
| | Woodward Capital Management 2021-3 A21, | | | | | | |
| | US 30 Day Average SOFR + 0.8000%, 5.0000%, 7/25/51 (144A)‡ | | 686,573 | | | 627,342 | |
| | Woodward Capital Management 2023-CES1 A1A, 6.5150%, 6/25/43 (144A)‡ | | 855,000 | | | 851,445 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $127,819,660) | | 120,337,062 | |
Corporate Bonds– 23.4% | | | |
Banking – 6.6% | | | |
| | American Express Co, SOFR + 1.8350%, 5.0430%, 5/1/34‡ | | 1,331,000 | | | 1,301,880 | |
| | Bank of America Corp, SOFR + 1.9900%, 6.2040%, 11/10/28‡ | | 481,000 | | | 494,395 | |
| | Bank of America Corp, CME Term SOFR 3 Month + 3.9666%, 6.2500%‡,µ | | 1,613,000 | | | 1,592,837 | |
| | Bank of New York Mellon Corp/The, SOFR + 1.0260%, 4.9470%, 4/26/27‡ | | 826,000 | | | 815,810 | |
| | Bank of New York Mellon Corp/The, SOFR + 1.6060%, 4.9670%, 4/26/34‡ | | 508,000 | | | 496,102 | |
| | Bank of Montreal, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 1.4000%, 3.0880%, 1/10/37‡ | | 3,379,000 | | | 2,653,822 | |
| | BNP Paribas SA, SOFR + 1.2280%, 2.5910%, 1/20/28 (144A)‡ | | 800,000 | | | 714,968 | |
| | BNP Paribas SA, | | | | | | |
| | US Treasury Yield Curve Rate 1 Year + 1.4500%, 5.1250%, 1/13/29 (144A)‡ | | 1,275,000 | | | 1,247,599 | |
| | Capital One Financial Corp, SOFR + 2.6400%, 6.3120%, 6/8/29‡ | | 1,472,000 | | | 1,462,084 | |
| | Citigroup Inc, CME Term SOFR 3 Month + 4.1666%, 5.9500%‡,µ | | 877,000 | | | 841,068 | |
| | Citigroup Inc, CME Term SOFR 3 Month + 3.6846%, 6.3000%‡,µ | | 152,000 | | | 147,820 | |
| | Cooperatieve Rabobank UA, | | | | | | |
| | US Treasury Yield Curve Rate 1 Year + 1.4000%, 5.5640%, 2/28/29 (144A)‡ | | 1,973,000 | | | 1,946,655 | |
| | Deutsche Bank AG / New York, SOFR + 3.0430%, 3.5470%, 9/18/31‡ | | 272,000 | | | 225,899 | |
| | Deutsche Bank AG / New York, SOFR + 3.6500%, 7.0790%, 2/10/34‡ | | 699,000 | | | 646,599 | |
| | JPMorgan Chase & Co, CME Term SOFR 3 Month + 2.5150%, 2.9560%, 5/13/31‡ | | 1,723,000 | | | 1,477,387 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Banking– (continued) | | | |
| | JPMorgan Chase & Co, SOFR + 2.5800%, 5.7170%, 9/14/33‡ | | $642,000 | | | $651,305 | |
| | JPMorgan Chase & Co, CME Term SOFR 3 Month + 3.3800%, 5.0000%‡,µ | | 548,000 | | | 535,327 | |
| | Mitsubishi UFJ Financial Group Inc, | | | | | | |
| | US Treasury Yield Curve Rate 1 Year + 1.7000%, 4.7880%, 7/18/25‡ | | 852,000 | | | 839,768 | |
| | Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26‡ | | 1,856,000 | | | 1,742,242 | |
| | Morgan Stanley, SOFR + 1.2950%, 5.0500%, 1/28/27‡ | | 389,000 | | | 385,759 | |
| | Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27‡ | | 808,000 | | | 723,336 | |
| | Morgan Stanley, CME Term SOFR 3 Month + 1.4016%, 3.7720%, 1/24/29‡ | | 137,000 | | | 127,900 | |
| | Morgan Stanley, SOFR + 1.7300%, 5.1230%, 2/1/29‡ | | 872,000 | | | 859,999 | |
| | Morgan Stanley, SOFR + 1.5900%, 5.1640%, 4/20/29‡ | | 1,297,000 | | | 1,281,158 | |
| | Morgan Stanley, SOFR + 1.2900%, 2.9430%, 1/21/33‡ | | 1,031,000 | | | 856,996 | |
| | Morgan Stanley, SOFR + 1.8700%, 5.2500%, 4/21/34‡ | | 412,000 | | | 406,829 | |
| | Morgan Stanley, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 2.4300%, 5.9480%, 1/19/38‡ | | 332,000 | | | 327,698 | |
| | PNC Financial Services Group Inc/The, SOFR + 1.8410%, 5.5820%, 6/12/29‡ | | 2,047,000 | | | 2,037,367 | |
| | PNC Financial Services Group Inc/The, SOFR + 2.1400%, 6.0370%, 10/28/33‡ | | 568,000 | | | 581,275 | |
| | PNC Financial Services Group Inc/The, SOFR + 1.9330%, 5.0680%, 1/24/34‡ | | 879,000 | | | 842,926 | |
| | Royal Bank of Canada, 5.0000%, 5/2/33 | | 2,090,000 | | | 2,039,464 | |
| | State Street Corp, SOFR + 1.5670%, 4.8210%, 1/26/34‡ | | 391,000 | | | 379,649 | |
| | Sumitomo Mitsui Financial Group Inc, 5.7100%, 1/13/30 | | 1,562,000 | | | 1,580,708 | |
| | Truist Financial Corp, SOFR + 2.0500%, 6.0470%, 6/8/27‡ | | 790,000 | | | 790,328 | |
| | Truist Financial Corp, SOFR + 2.3610%, 5.8670%, 6/8/34‡ | | 918,000 | | | 918,378 | |
| | US Bancorp, SOFR + 2.0200%, 5.7750%, 6/12/29‡ | | 1,532,000 | | | 1,531,542 | |
| | US Bancorp, SOFR + 2.1100%, 4.9670%, 7/22/33‡ | | 1,503,000 | | | 1,361,683 | |
| | Westpac Banking Corp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35‡ | | 1,504,000 | | | 1,154,149 | |
| | | 38,020,711 | |
Brokerage – 0.6% | | | |
| | Nasdaq Inc, 5.3500%, 6/28/28 | | 287,000 | | | 287,414 | |
| | Nasdaq Inc, 5.5500%, 2/15/34 | | 1,922,000 | | | 1,929,559 | |
| | Nasdaq Inc, 5.9500%, 8/15/53 | | 908,000 | | | 929,692 | |
| | Nasdaq Inc, 6.1000%, 6/28/63 | | 386,000 | | | 394,705 | |
| | | 3,541,370 | |
Capital Goods – 0.4% | | | |
| | Lockheed Martin Corp, 4.4500%, 5/15/28 | | 547,000 | | | 539,187 | |
| | Lockheed Martin Corp, 4.7500%, 2/15/34 | | 814,000 | | | 812,035 | |
| | Regal Rexnord Corp, 6.0500%, 4/15/28 (144A) | | 953,000 | | | 946,050 | |
| | | 2,297,272 | |
Communications – 0.5% | | | |
| | AT&T Inc, 5.4000%, 2/15/34 | | 1,450,000 | | | 1,458,815 | |
| | Comcast Corp, 4.5500%, 1/15/29 | | 888,000 | | | 872,012 | |
| | Comcast Corp, 4.8000%, 5/15/33 | | 683,000 | | | 675,784 | |
| | | 3,006,611 | |
Consumer Cyclical – 1.1% | | | |
| | CBRE Services Inc, 5.9500%, 8/15/34 | | 2,482,000 | | | 2,450,788 | |
| | GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | | 100,000 | | | 95,215 | |
| | LKQ Corp, 5.7500%, 6/15/28 (144A) | | 1,320,000 | | | 1,315,706 | |
| | LKQ Corp, 6.2500%, 6/15/33 (144A) | | 1,242,000 | | | 1,251,363 | |
| | Lowe's Cos Inc, 5.1500%, 7/1/33 | | 1,371,000 | | | 1,370,504 | |
| | | 6,483,576 | |
Consumer Non-Cyclical – 4.1% | | | |
| | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC, | | | | | | |
| | 6.5000%, 2/15/28 (144A) | | 868,000 | | | 869,441 | |
| | Amgen Inc, 5.1500%, 3/2/28 | | 1,064,000 | | | 1,063,042 | |
| | Amgen Inc, 5.2500%, 3/2/30 | | 848,000 | | | 849,692 | |
| | Amgen Inc, 5.2500%, 3/2/33 | | 562,000 | | | 562,717 | |
| | CSL Finance Ltd, 3.8500%, 4/27/27 (144A) | | 341,000 | | | 325,442 | |
| | GE HealthCare Technologies Inc, 5.6500%, 11/15/27 | | 1,086,000 | | | 1,099,306 | |
| | GE HealthCare Technologies Inc, 5.8570%, 3/15/30 | | 1,297,000 | | | 1,331,152 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Consumer Non-Cyclical– (continued) | | | |
| | GE HealthCare Technologies Inc, 5.9050%, 11/22/32 | | $785,000 | | | $821,249 | |
| | Hasbro Inc, 3.9000%, 11/19/29 | | 3,636,000 | | | 3,285,636 | |
| | Hasbro Inc, 5.1000%, 5/15/44 | | 326,000 | | | 286,790 | |
| | HCA Inc, 5.2000%, 6/1/28 | | 695,000 | | | 689,348 | |
| | HCA Inc, 3.6250%, 3/15/32 (144A) | | 1,591,000 | | | 1,381,001 | |
| | HCA Inc, 5.9000%, 6/1/53 | | 682,000 | | | 675,622 | |
| | Illumina Inc, 5.7500%, 12/13/27 | | 1,679,000 | | | 1,686,398 | |
| | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | | | | | | |
| | 5.5000%, 1/15/30 (144A) | | 1,754,000 | | | 1,682,612 | |
| | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | | | | | | |
| | 3.6250%, 1/15/32 (144A) | | 649,000 | | | 526,625 | |
| | Pfizer Investment Enterprises Pte Ltd, 4.4500%, 5/19/28 | | 1,453,000 | | | 1,428,141 | |
| | Pfizer Investment Enterprises Pte Ltd, 4.6500%, 5/19/30 | | 872,000 | | | 861,591 | |
| | Pfizer Investment Enterprises Pte Ltd, 4.7500%, 5/19/33 | | 1,063,000 | | | 1,058,995 | |
| | Pilgrim's Pride Corp, 6.2500%, 7/1/33 | | 1,475,000 | | | 1,428,673 | |
| | Universal Health Services Inc, 2.6500%, 1/15/32 | | 2,059,000 | | | 1,623,022 | |
| | | 23,536,495 | |
Electric – 1.6% | | | |
| | American Electric Power Co Inc, 5.6250%, 3/1/33 | | 1,326,000 | | | 1,348,090 | |
| | CMS Energy Corp, | | | | | | |
| | US Treasury Yield Curve Rate 5 Year + 4.1160%, 4.7500%, 6/1/50‡ | | 1,351,000 | | | 1,161,495 | |
| | Duke Energy Corp, 4.3000%, 3/15/28 | | 899,000 | | | 863,579 | |
| | Exelon Corp, 5.1500%, 3/15/28 | | 634,000 | | | 631,116 | |
| | Exelon Corp, 5.3000%, 3/15/33 | | 1,015,000 | | | 1,011,758 | |
| | Georgia Power Co, 4.6500%, 5/16/28 | | 691,000 | | | 677,031 | |
| | Georgia Power Co, 4.9500%, 5/17/33 | | 1,091,000 | | | 1,076,923 | |
| | National Grid PLC, 5.6020%, 6/12/28 | | 486,000 | | | 488,036 | |
| | National Grid PLC, 5.8090%, 6/12/33 | | 1,019,000 | | | 1,036,923 | |
| | Southern California Edison Co, 5.8500%, 11/1/27 | | 1,171,000 | | | 1,197,439 | |
| | | 9,492,390 | |
Energy – 1.2% | | | |
| | Enbridge Inc, 5.7000%, 3/8/33 | | 1,426,000 | | | 1,445,581 | |
| | Energy Transfer LP, 5.5500%, 2/15/28 | | 779,000 | | | 776,812 | |
| | Energy Transfer Operating LP, 4.9500%, 6/15/28 | | 172,000 | | | 166,835 | |
| | EQT Corp, 3.1250%, 5/15/26 (144A) | | 2,447,000 | | | 2,249,796 | |
| | EQT Corp, 5.7000%, 4/1/28# | | 403,000 | | | 397,748 | |
| | Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | | 580,000 | | | 542,817 | |
| | Kinder Morgan Inc, 5.2000%, 6/1/33 | | 1,258,000 | | | 1,219,099 | |
| | | 6,798,688 | |
Finance Companies – 0.6% | | | |
| | Ares Capital Corp, 3.2000%, 11/15/31 | | 1,264,000 | | | 968,937 | |
| | OWL Rock Core Income Corp, 4.7000%, 2/8/27 | | 140,000 | | | 127,039 | |
| | OWL Rock Core Income Corp, 7.7500%, 9/16/27 (144A) | | 840,000 | | | 835,748 | |
| | OWL Rock Core Income Corp, 7.9500%, 6/13/28 (144A) | | 702,000 | | | 703,377 | |
| | Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | �� | 783,000 | | | 634,901 | |
| | | 3,270,002 | |
Government Sponsored – 0.4% | | | |
| | Electricite de France SA, 5.7000%, 5/23/28 (144A) | | 556,000 | | | 555,160 | |
| | Electricite de France SA, 6.2500%, 5/23/33 (144A) | | 901,000 | | | 915,938 | |
| | Electricite de France SA, 6.9000%, 5/23/53 (144A) | | 865,000 | | | 896,334 | |
| | | 2,367,432 | |
Insurance – 1.5% | | | |
| | Athene Global Funding, 2.7170%, 1/7/29 (144A) | | 1,299,000 | | | 1,057,853 | |
| | Athene Global Funding, 2.6460%, 10/4/31 (144A) | | 1,087,000 | | | 822,848 | |
| | Brown & Brown Inc, 4.2000%, 3/17/32 | | 404,000 | | | 362,803 | |
| | Centene Corp, 4.2500%, 12/15/27 | | 3,107,000 | | | 2,904,905 | |
| | Centene Corp, 2.4500%, 7/15/28 | | 1,180,000 | | | 1,008,612 | |
| | Centene Corp, 3.0000%, 10/15/30 | | 1,023,000 | | | 852,463 | |
| | Elevance Health Inc, 4.7500%, 2/15/33 | | 1,144,000 | | | 1,111,116 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Corporate Bonds– (continued) | | | |
Insurance– (continued) | | | |
| | UnitedHealth Group Inc, 5.2500%, 2/15/28 | | $527,000 | | | $537,290 | |
| | | 8,657,890 | |
Real Estate Investment Trusts (REITs) – 0.9% | | | |
| | Agree LP, 2.9000%, 10/1/30 | | 1,220,000 | | | 1,016,422 | |
| | Alexandria Real Estate Equities Inc, 4.7500%, 4/15/35 | | 852,000 | | | 790,514 | |
| | American Tower Trust I, 5.4900%, 3/15/28 (144A) | | 2,070,000 | | | 2,065,464 | |
| | Sun Communities Operating LP, 2.7000%, 7/15/31 | | 1,501,000 | | | 1,186,034 | |
| | | 5,058,434 | |
Technology – 3.7% | | | |
| | Broadcom Inc, 2.6000%, 2/15/33 (144A) | | 719,000 | | | 561,894 | |
| | Broadcom Inc, 3.4690%, 4/15/34 (144A) | | 1,163,000 | | | 954,019 | |
| | Broadcom Inc, 3.1370%, 11/15/35 (144A) | | 1,445,000 | | | 1,108,380 | |
| | Cadence Design Systems Inc, 4.3750%, 10/15/24 | | 3,327,000 | | | 3,273,797 | |
| | CoStar Group Inc, 2.8000%, 7/15/30 (144A) | | 1,018,000 | | | 839,649 | |
| | Fiserv Inc, 5.4500%, 3/2/28 | | 1,106,000 | | | 1,111,400 | |
| | Foundry JV Holdco LLC, 5.8750%, 1/25/34 (144A) | | 2,036,000 | | | 2,027,951 | |
| | Leidos Inc, 2.3000%, 2/15/31 | | 249,000 | | | 196,199 | |
| | Leidos Inc, 5.7500%, 3/15/33 | | 850,000 | | | 844,427 | |
| | Marvell Technology Inc, 1.6500%, 4/15/26 | | 956,000 | | | 861,056 | |
| | Marvell Technology Inc, 4.8750%, 6/22/28# | | 1,296,000 | | | 1,257,556 | |
| | Microchip Technology Inc, 2.6700%, 9/1/23 | | 1,585,000 | | | 1,578,466 | |
| | Micron Technology Inc, 6.7500%, 11/1/29 | | 615,000 | | | 639,287 | |
| | Micron Technology Inc, 5.8750%, 9/15/33 | | 697,000 | | | 690,680 | |
| | Total System Services Inc, 4.8000%, 4/1/26 | | 571,000 | | | 557,404 | |
| | Trimble Inc, 4.7500%, 12/1/24 | | 2,018,000 | | | 1,980,617 | |
| | Trimble Inc, 4.9000%, 6/15/28 | | 480,000 | | | 468,473 | |
| | Trimble Inc, 6.1000%, 3/15/33 | | 2,141,000 | | | 2,169,326 | |
| | | 21,120,581 | |
Transportation – 0.2% | | | |
| | GXO Logistics Inc, 1.6500%, 7/15/26 | | 1,035,000 | | | 899,971 | |
Total Corporate Bonds (cost $140,380,479) | | 134,551,423 | |
Mortgage-Backed Securities– 29.0% | | | |
Fannie Mae: | | | |
| | 3.0000%, TBA, 15 Year Maturity | | 4,295,000 | | | 4,007,939 | |
| | 3.5000%, TBA, 15 Year Maturity | | 4,103,000 | | | 3,901,949 | |
| | 4.0000%, TBA, 15 Year Maturity | | 4,029,000 | | | 3,890,173 | |
| | 2.5000%, TBA, 30 Year Maturity | | 1,932,564 | | | 1,640,084 | |
| | 4.5000%, TBA, 30 Year Maturity | | 5,500,626 | | | 5,290,821 | |
| | 5.0000%, TBA, 30 Year Maturity | | 2,614,954 | | | 2,562,325 | |
| | 5.5000%, TBA, 30 Year Maturity | | 2,152,330 | | | 2,141,906 | |
| | 6.0000%, TBA, 30 Year Maturity | | 2,869,000 | | | 2,892,956 | |
| | | 26,328,153 | |
Fannie Mae Pool: | | | |
| | 3.0000%, 10/1/34 | | 86,227 | | | 80,846 | |
| | 2.5000%, 11/1/34 | | 136,360 | | | 125,077 | |
| | 3.0000%, 11/1/34 | | 22,166 | | | 20,783 | |
| | 3.0000%, 12/1/34 | | 22,985 | | | 21,550 | |
| | 2.5000%, 12/1/36 | | 1,505,029 | | | 1,380,915 | |
| | 6.0000%, 2/1/37 | | 60,933 | | | 63,953 | |
| | 4.5000%, 11/1/42 | | 43,475 | | | 42,866 | |
| | 3.0000%, 1/1/43 | | 18,768 | | | 16,967 | |
| | 3.0000%, 2/1/43 | | 19,717 | | | 17,825 | |
| | 3.0000%, 5/1/43 | | 140,480 | | | 126,988 | |
| | 5.0000%, 7/1/44 | | 311,321 | | | 313,238 | |
| | 4.5000%, 10/1/44 | | 100,802 | | | 99,550 | |
| | 4.5000%, 3/1/45 | | 152,809 | | | 150,911 | |
| | 4.0000%, 5/1/45 | | 42,232 | | | 40,475 | |
| | 4.5000%, 6/1/45 | | 75,435 | | | 74,444 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Fannie Mae Pool– (continued) | | | |
| | 3.5000%, 12/1/45 | | $106,450 | | | $98,737 | |
| | 4.5000%, 2/1/46 | | 148,456 | | | 146,375 | |
| | 3.5000%, 7/1/46 | | 527,039 | | | 489,213 | |
| | 3.0000%, 2/1/47 | | 5,191,381 | | | 4,692,762 | |
| | 3.5000%, 3/1/47 | | 93,522 | | | 86,745 | |
| | 3.5000%, 7/1/47 | | 82,717 | | | 76,723 | |
| | 3.5000%, 8/1/47 | | 148,455 | | | 137,003 | |
| | 4.0000%, 10/1/47 | | 224,825 | | | 214,035 | |
| | 4.0000%, 11/1/47 | | 333,837 | | | 317,814 | |
| | 3.5000%, 1/1/48 | | 113,638 | | | 105,199 | |
| | 4.0000%, 1/1/48 | | 827,579 | | | 793,267 | |
| | 4.0000%, 1/1/48 | | 334,604 | | | 318,545 | |
| | 3.0000%, 2/1/48 | | 85,033 | | | 76,395 | |
| | 4.0000%, 3/1/48 | | 254,051 | | | 243,515 | |
| | 5.0000%, 5/1/48 | | 78,429 | | | 78,034 | |
| | 4.5000%, 6/1/48 | | 232,685 | | | 227,085 | |
| | 3.5000%, 7/1/48 | | 2,101,397 | | | 1,940,198 | |
| | 4.0000%, 7/1/48 | | 275,492 | | | 262,091 | |
| | 4.0000%, 8/1/48 | | 224,580 | | | 213,655 | |
| | 4.0000%, 9/1/48 | | 535,985 | | | 510,260 | |
| | 4.0000%, 10/1/48 | | 103,086 | | | 98,410 | |
| | 4.0000%, 11/1/48 | | 321,512 | | | 305,872 | |
| | 4.0000%, 12/1/48 | | 51,011 | | | 48,529 | |
| | 3.5000%, 5/1/49 | | 566,113 | | | 521,232 | |
| | 3.5000%, 6/1/49 | | 1,571,868 | | | 1,450,610 | |
| | 4.0000%, 6/1/49 | | 40,821 | | | 38,711 | |
| | 4.5000%, 6/1/49 | | 19,973 | | | 19,466 | |
| | 3.0000%, 8/1/49 | | 155,254 | | | 137,040 | |
| | 4.5000%, 8/1/49 | | 30,000 | | | 29,239 | |
| | 3.0000%, 9/1/49 | | 83,404 | | | 74,064 | |
| | 3.0000%, 9/1/49 | | 43,053 | | | 38,595 | |
| | 4.0000%, 9/1/49 | | 219,559 | | | 208,210 | |
| | 4.0000%, 11/1/49 | | 666,687 | | | 634,257 | |
| | 4.0000%, 11/1/49 | | 59,283 | | | 56,568 | |
| | 3.5000%, 12/1/49 | | 1,711,297 | | | 1,579,283 | |
| | 4.5000%, 1/1/50 | | 541,046 | | | 528,025 | |
| | 4.5000%, 1/1/50 | | 39,340 | | | 38,342 | |
| | 4.0000%, 3/1/50 | | 977,753 | | | 933,406 | |
| | 4.0000%, 3/1/50 | | 527,648 | | | 501,981 | |
| | 4.0000%, 3/1/50 | | 200,994 | | | 191,217 | |
| | 4.0000%, 4/1/50 | | 95,259 | | | 90,341 | |
| | 2.5000%, 8/1/50 | | 148,651 | | | 128,073 | |
| | 4.0000%, 8/1/50 | | 129,126 | | | 122,459 | |
| | 4.0000%, 9/1/50 | | 1,120,499 | | | 1,062,579 | |
| | 4.0000%, 10/1/50 | | 1,070,727 | | | 1,021,685 | |
| | 4.5000%, 10/1/50 | | 658,951 | | | 643,092 | |
| | 3.5000%, 2/1/51 | | 601,475 | | | 553,225 | |
| | 4.0000%, 3/1/51 | | 2,754,127 | | | 2,611,765 | |
| | 4.0000%, 3/1/51 | | 52,821 | | | 50,091 | |
| | 4.0000%, 3/1/51 | | 26,246 | | | 24,970 | |
| | 4.0000%, 10/1/51 | | 2,382,601 | | | 2,259,443 | |
| | 4.0000%, 10/1/51 | | 391,739 | | | 371,490 | |
| | 3.0000%, 12/1/51 | | 1,591,923 | | | 1,411,782 | |
| | 2.5000%, 1/1/52 | | 928,288 | | | 794,061 | |
| | 3.5000%, 1/1/52 | | 407,354 | | | 376,837 | |
| | 2.5000%, 2/1/52 | | 4,496,492 | | | 3,841,786 | |
| | 3.5000%, 2/1/52 | | 1,058,292 | | | 978,683 | |
| | 2.5000%, 3/1/52 | | 1,931,417 | | | 1,648,839 | |
| | 2.5000%, 3/1/52 | | 1,872,476 | | | 1,599,837 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Fannie Mae Pool– (continued) | | | |
| | 2.5000%, 3/1/52 | | $696,355 | | | $595,053 | |
| | 2.5000%, 3/1/52 | | 158,820 | | | 135,498 | |
| | 2.5000%, 3/1/52 | | 152,384 | | | 130,089 | |
| | 2.5000%, 3/1/52 | | 133,575 | | | 114,126 | |
| | 2.5000%, 3/1/52 | | 54,764 | | | 46,797 | |
| | 3.0000%, 3/1/52 | | 733,822 | | | 651,313 | |
| | 3.5000%, 3/1/52 | | 2,535,495 | | | 2,340,801 | |
| | 3.5000%, 3/1/52 | | 1,316,085 | | | 1,216,437 | |
| | 3.5000%, 3/1/52 | | 978,929 | | | 901,382 | |
| | 3.0000%, 4/1/52 | | 631,318 | | | 561,711 | |
| | 3.0000%, 4/1/52 | | 531,563 | | | 471,688 | |
| | 3.0000%, 4/1/52 | | 150,416 | | | 133,481 | |
| | 3.5000%, 4/1/52 | | 543,491 | | | 498,209 | |
| | 3.5000%, 4/1/52 | | 369,715 | | | 341,326 | |
| | 3.5000%, 4/1/52 | | 305,161 | | | 279,497 | |
| | 3.5000%, 4/1/52 | | 181,487 | | | 166,366 | |
| | 3.5000%, 4/1/52 | | 107,536 | | | 98,506 | |
| | 3.5000%, 4/1/52 | | 88,187 | | | 80,771 | |
| | 4.0000%, 4/1/52 | | 399,883 | | | 379,861 | |
| | 4.5000%, 4/1/52 | | 74,652 | | | 71,765 | |
| | 4.5000%, 4/1/52 | | 63,136 | | | 60,694 | |
| | 4.5000%, 4/1/52 | | 36,201 | | | 34,801 | |
| | 4.5000%, 4/1/52 | | 32,867 | | | 31,595 | |
| | 4.5000%, 4/1/52 | | 28,740 | | | 27,628 | |
| | 4.5000%, 4/1/52 | | 18,506 | | | 17,787 | |
| | 3.5000%, 5/1/52 | | 450,386 | | | 414,428 | |
| | 3.5000%, 5/1/52 | | 283,229 | | | 259,588 | |
| | 4.5000%, 5/1/52 | | 100,166 | | | 96,291 | |
| | 3.5000%, 6/1/52 | | 1,599,477 | | | 1,475,169 | |
| | 3.5000%, 6/1/52 | | 917,092 | | | 846,801 | |
| | 4.0000%, 6/1/52 | | 308,879 | | | 290,167 | |
| | 4.0000%, 6/1/52 | | 86,980 | | | 81,711 | |
| | 3.5000%, 7/1/52 | | 2,026,842 | | | 1,864,397 | |
| | 3.5000%, 7/1/52 | | 232,587 | | | 214,511 | |
| | 3.5000%, 7/1/52 | | 81,920 | | | 75,615 | |
| | 4.0000%, 7/1/52 | | 138,701 | | | 130,298 | |
| | 4.5000%, 7/1/52 | | 415,680 | | | 400,029 | |
| | 3.5000%, 8/1/52 | | 401,812 | | | 369,483 | |
| | 3.5000%, 8/1/52 | | 147,374 | | | 135,874 | |
| | 4.5000%, 8/1/52 | | 1,566,130 | | | 1,507,165 | |
| | 3.5000%, 9/1/52 | | 828,897 | | | 762,721 | |
| | 5.0000%, 9/1/52 | | 755,010 | | | 739,619 | |
| | 5.5000%, 9/1/52 | | 1,951,023 | | | 1,945,137 | |
| | 5.0000%, 10/1/52 | | 324,514 | | | 320,594 | |
| | 5.0000%, 10/1/52 | | 142,678 | | | 140,954 | |
| | 5.5000%, 10/1/52 | | 2,746,498 | | | 2,768,659 | |
| | 4.5000%, 11/1/52 | | 567,400 | | | 551,210 | |
| | 5.0000%, 11/1/52 | | 799,400 | | | 789,744 | |
| | 5.5000%, 11/1/52 | | 728,157 | | | 734,033 | |
| | 4.5000%, 12/1/52 | | 495,634 | | | 478,339 | |
| | 5.0000%, 1/1/53 | | 688,369 | | | 676,629 | |
| | 5.0000%, 3/1/53 | | 198,835 | | | 194,796 | |
| | 5.5000%, 3/1/53 | | 112,079 | | | 112,255 | |
| | 5.0000%, 4/1/53 | | 261,201 | | | 255,895 | |
| | 5.0000%, 4/1/53 | | 62,170 | | | 60,907 | |
| | 5.0000%, 4/1/53 | | 52,168 | | | 51,109 | |
| | 5.5000%, 4/1/53 | | 53,410 | | | 53,493 | |
| | 5.5000%, 5/1/53 | | 100,341 | | | 100,499 | |
| | 5.5000%, 5/1/53 | | 51,808 | | | 51,890 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Fannie Mae Pool– (continued) | | | |
| | 5.0000%, 6/1/53 | | $75,486 | | | $74,254 | |
| | 3.5000%, 8/1/56 | | 1,570,372 | | | 1,437,708 | |
| | 3.0000%, 2/1/57 | | 1,081,243 | | | 952,640 | |
| | 3.0000%, 6/1/57 | | 5,103 | | | 4,496 | |
| | | 71,434,424 | |
Freddie Mac Gold Pool: | | | |
| | 3.5000%, 1/1/47 | | 62,960 | | | 58,883 | |
| | 4.0000%, 8/1/48 | | 145,693 | | | 138,762 | |
| | 4.0000%, 9/1/48 | | 99,274 | | | 94,551 | |
| | | 292,196 | |
Freddie Mac Pool: | | | |
| | 3.0000%, 5/1/31 | | 793,445 | | | 753,267 | |
| | 3.0000%, 9/1/32 | | 158,548 | | | 149,578 | |
| | 3.0000%, 10/1/32 | | 48,525 | | | 45,780 | |
| | 3.0000%, 1/1/33 | | 96,883 | | | 91,402 | |
| | 2.5000%, 12/1/33 | | 929,881 | | | 862,060 | |
| | 3.0000%, 10/1/34 | | 216,579 | | | 203,052 | |
| | 3.0000%, 10/1/34 | | 95,146 | | | 89,203 | |
| | 2.5000%, 11/1/34 | | 139,625 | | | 128,075 | |
| | 2.5000%, 11/1/34 | | 103,335 | | | 94,787 | |
| | 6.0000%, 4/1/40 | | 92,626 | | | 97,467 | |
| | 3.5000%, 7/1/42 | | 5,643 | | | 5,272 | |
| | 3.5000%, 8/1/42 | | 6,302 | | | 5,888 | |
| | 3.5000%, 8/1/42 | | 5,798 | | | 5,416 | |
| | 3.5000%, 2/1/43 | | 176,350 | | | 164,630 | |
| | 3.0000%, 3/1/43 | | 187,065 | | | 169,090 | |
| | 3.0000%, 6/1/43 | | 9,008 | | | 8,007 | |
| | 3.5000%, 2/1/44 | | 305,336 | | | 285,045 | |
| | 4.5000%, 5/1/44 | | 68,433 | | | 67,535 | |
| | 3.0000%, 1/1/45 | | 293,644 | | | 264,664 | |
| | 4.0000%, 2/1/46 | | 257,244 | | | 248,140 | |
| | 3.5000%, 7/1/46 | | 171,186 | | | 158,543 | |
| | 4.0000%, 3/1/47 | | 64,017 | | | 61,328 | |
| | 3.0000%, 4/1/47 | | 189,319 | | | 169,445 | |
| | 3.5000%, 2/1/48 | | 94,431 | | | 87,375 | |
| | 4.0000%, 4/1/48 | | 239,040 | | | 228,609 | |
| | 4.0000%, 4/1/48 | | 43,009 | | | 40,917 | |
| | 4.5000%, 7/1/48 | | 43,696 | | | 42,643 | |
| | 5.0000%, 9/1/48 | | 11,391 | | | 11,333 | |
| | 4.0000%, 11/1/48 | | 28,965 | | | 27,556 | |
| | 4.0000%, 12/1/48 | | 336,880 | | | 320,489 | |
| | 4.5000%, 6/1/49 | | 22,247 | | | 21,682 | |
| | 4.0000%, 7/1/49 | | 278,686 | | | 264,280 | |
| | 4.5000%, 7/1/49 | | 198,463 | | | 193,431 | |
| | 4.5000%, 7/1/49 | | 28,176 | | | 27,462 | |
| | 3.0000%, 8/1/49 | | 56,655 | | | 50,011 | |
| | 4.5000%, 8/1/49 | | 170,532 | | | 166,208 | |
| | 3.0000%, 12/1/49 | | 134,905 | | | 119,804 | |
| | 3.0000%, 12/1/49 | | 69,373 | | | 61,608 | |
| | 4.5000%, 1/1/50 | | 112,894 | | | 110,032 | |
| | 4.5000%, 1/1/50 | | 31,509 | | | 30,710 | |
| | 4.0000%, 3/1/50 | | 341,132 | | | 324,534 | |
| | 4.0000%, 6/1/50 | | 552,142 | | | 527,736 | |
| | 2.5000%, 8/1/50 | | 76,702 | | | 66,111 | |
| | 2.5000%, 8/1/50 | | 27,348 | | | 23,562 | |
| | 2.5000%, 9/1/50 | | 139,030 | | | 119,734 | |
| | 4.5000%, 9/1/50 | | 1,012,600 | | | 988,205 | |
| | 4.0000%, 10/1/50 | | 94,778 | | | 89,879 | |
| | 2.5000%, 11/1/51 | | 760,215 | | | 652,219 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Freddie Mac Pool– (continued) | | | |
| | 2.5000%, 1/1/52 | | $284,539 | | | $243,535 | |
| | 2.5000%, 1/1/52 | | 175,050 | | | 149,671 | |
| | 2.5000%, 2/1/52 | | 421,968 | | | 360,536 | |
| | 3.0000%, 2/1/52 | | 197,974 | | | 175,747 | |
| | 3.0000%, 2/1/52 | | 146,801 | | | 130,678 | |
| | 2.5000%, 3/1/52 | | 67,081 | | | 57,260 | |
| | 3.0000%, 3/1/52 | | 264,039 | | | 234,979 | |
| | 4.5000%, 3/1/52 | | 15,563 | | | 14,961 | |
| | 3.5000%, 4/1/52 | | 438,933 | | | 406,079 | |
| | 3.5000%, 4/1/52 | | 212,530 | | | 194,821 | |
| | 3.5000%, 4/1/52 | | 203,788 | | | 186,807 | |
| | 3.5000%, 4/1/52 | | 71,912 | | | 65,872 | |
| | 3.5000%, 4/1/52 | | 65,405 | | | 59,904 | |
| | 3.0000%, 6/1/52 | | 2,689,729 | | | 2,394,322 | |
| | 3.5000%, 6/1/52 | | 1,669,409 | | | 1,543,937 | |
| | 3.5000%, 6/1/52 | | 929,194 | | | 855,290 | |
| | 3.5000%, 7/1/52 | | 3,232,427 | | | 2,973,329 | |
| | 4.0000%, 7/1/52 | �� | 311,591 | | | 292,709 | |
| | 3.5000%, 8/1/52 | | 606,370 | | | 557,765 | |
| | 4.0000%, 8/1/52 | | 353,752 | | | 332,793 | |
| | 4.5000%, 8/1/52 | | 3,423,325 | | | 3,294,411 | |
| | 4.5000%, 8/1/52 | | 1,451,496 | | | 1,397,263 | |
| | 4.5000%, 8/1/52 | | 756,190 | | | 727,714 | |
| | 4.0000%, 9/1/52 | | 835,761 | | | 786,245 | |
| | 5.5000%, 9/1/52 | | 484,472 | | | 486,224 | |
| | 4.5000%, 10/1/52 | | 688,508 | | | 668,858 | |
| | 5.0000%, 10/1/52 | | 981,480 | | | 969,622 | |
| | 5.0000%, 10/1/52 | | 646,348 | | | 638,539 | |
| | 5.0000%, 10/1/52 | | 19,617 | | | 19,380 | |
| | 5.5000%, 11/1/52 | | 2,214,081 | | | 2,231,952 | |
| | 5.0000%, 3/1/53 | | 323,227 | | | 316,661 | |
| | 5.0000%, 3/1/53 | | 58,455 | | | 57,268 | |
| | 5.0000%, 5/1/53 | | 941,143 | | | 925,781 | |
| | 5.0000%, 5/1/53 | | 382,589 | | | 376,344 | |
| | 5.0000%, 5/1/53 | | 216,105 | | | 212,577 | |
| | 5.5000%, 5/1/53 | | 409,925 | | | 411,405 | |
| | 5.5000%, 5/1/53 | | 231,468 | | | 231,831 | |
| | 5.0000%, 6/1/53 | | 463,658 | | | 456,090 | |
| | 5.0000%, 6/1/53 | | 150,929 | | | 147,837 | |
| | 5.0000%, 6/1/53 | | 141,848 | | | 138,938 | |
| | 5.0000%, 6/1/53 | | 137,862 | | | 135,061 | |
| | 5.0000%, 6/1/53 | | 112,494 | | | 110,192 | |
| | 5.0000%, 6/1/53 | | 85,233 | | | 83,502 | |
| | 5.0000%, 6/1/53 | | 79,469 | | | 77,855 | |
| | 5.0000%, 6/1/53 | | 60,963 | | | 59,712 | |
| | 5.5000%, 6/1/53 | | 512,362 | | | 513,165 | |
| | 5.5000%, 6/1/53 | | 153,412 | | | 152,771 | |
| | 5.5000%, 6/1/53 | | 118,869 | | | 118,373 | |
| | 5.5000%, 6/1/53 | | 107,461 | | | 107,012 | |
| | 5.5000%, 6/1/53 | | 102,707 | | | 102,207 | |
| | 5.0000%, 7/1/53 | | 175,831 | | | 172,259 | |
| | 5.5000%, 7/1/53 | | 268,845 | | | 267,722 | |
| | | 36,349,570 | |
Ginnie Mae: | | | |
| | 2.5000%, TBA, 30 Year Maturity | | 8,124,909 | | | 7,029,956 | |
| | 3.5000%, TBA, 30 Year Maturity | | 5,935,736 | | | 5,478,025 | |
| | 4.0000%, TBA, 30 Year Maturity | | 2,347,727 | | | 2,218,884 | |
| | 4.5000%, TBA, 30 Year Maturity | | 664,009 | | | 640,685 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
16 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Mortgage-Backed Securities– (continued) | | | |
Ginnie Mae– (continued) | | | |
| | 5.0000%, TBA, 30 Year Maturity | | $982,425 | | | $964,885 | |
| | | 16,332,435 | |
Ginnie Mae I Pool: | | | |
| | 4.0000%, 1/15/45 | | 972,704 | | | 939,686 | |
| | 4.5000%, 8/15/46 | | 1,183,786 | | | 1,152,294 | |
| | 4.0000%, 8/15/47 | | 39,326 | | | 37,569 | |
| | 4.0000%, 11/15/47 | | 35,197 | | | 33,625 | |
| | 4.0000%, 12/15/47 | | 114,360 | | | 109,251 | |
| | | 2,272,425 | |
Ginnie Mae II Pool: | | | |
| | 3.0000%, 11/20/46 | | 2,122,227 | | | 1,929,311 | |
| | 4.0000%, 8/20/47 | | 122,769 | | | 117,459 | |
| | 4.0000%, 8/20/47 | | 27,050 | | | 25,880 | |
| | 4.0000%, 8/20/47 | | 12,397 | | | 11,861 | |
| | 4.5000%, 2/20/48 | | 153,042 | | | 149,736 | |
| | 4.0000%, 5/20/48 | | 189,731 | | | 181,821 | |
| | 4.5000%, 5/20/48 | | 178,134 | | | 174,199 | |
| | 4.5000%, 5/20/48 | | 51,020 | | | 49,893 | |
| | 4.0000%, 6/20/48 | | 281,310 | | | 269,494 | |
| | 5.0000%, 8/20/48 | | 248,096 | | | 247,149 | |
| | 3.5000%, 5/20/49 | | 2,845,382 | | | 2,658,141 | |
| | 2.5000%, 3/20/51 | | 2,656,166 | | | 2,306,212 | |
| | 3.0000%, 4/20/51 | | 1,437,728 | | | 1,291,218 | |
| | 3.0000%, 7/20/51 | | 1,335,544 | | | 1,198,334 | |
| | 3.0000%, 8/20/51 | | 3,640,539 | | | 3,265,509 | |
| | | 13,876,217 | |
Total Mortgage-Backed Securities (cost $173,848,077) | | 166,885,420 | |
United States Treasury Notes/Bonds– 23.8% | | | |
| | 4.6250%, 2/28/25 | | 457,000 | | | 453,448 | |
| | 4.2500%, 5/31/25 | | 442,000 | | | 436,440 | |
| | 4.1250%, 6/15/26 | | 13,202,000 | | | 13,068,949 | |
| | 1.2500%, 11/30/26 | | 2,897,300 | | | 2,610,399 | |
| | 1.2500%, 12/31/26 | | 3,166,000 | | | 2,849,400 | |
| | 3.5000%, 4/30/28 | | 5,437,600 | | | 5,283,818 | |
| | 3.6250%, 5/31/28 | | 12,028,300 | | | 11,765,181 | |
| | 4.0000%, 6/30/28 | | 14,963,000 | | | 14,881,171 | |
| | 1.1250%, 8/31/28 | | 8,600,600 | | | 7,410,290 | |
| | 3.7500%, 6/30/30 | | 9,411,000 | | | 9,286,010 | |
| | 3.3750%, 5/15/33 | | 8,371,000 | | | 8,072,783 | |
| | 3.8750%, 2/15/43 | | 23,537,000 | | | 22,948,575 | |
| | 3.8750%, 5/15/43 | | 18,477,000 | | | 18,029,510 | |
| | 3.6250%, 2/15/53 | | 20,790,700 | | | 19,952,575 | |
Total United States Treasury Notes/Bonds (cost $139,099,206) | | 137,048,549 | |
Investment Companies– 9.4% | | | |
Money Markets – 9.4% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $54,162,279) | | 54,157,443 | | | 54,168,274 | |
Investments Purchased with Cash Collateral from Securities Lending– 0.2% | | | |
Investment Companies – 0.1% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº,£ | | 677,798 | | | 677,798 | |
Time Deposits – 0.1% | | | |
| | Royal Bank of Canada, 5.0600%, 7/3/23 | | $169,450 | | | 169,450 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $847,248) | | 847,248 | |
Total Investments (total cost $636,156,949) – 106.7% | | 613,837,976 | |
Liabilities, net of Cash, Receivables and Other Assets – (6.7)% | | (38,323,239) | |
Net Assets – 100% | | $575,514,737 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 17 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $595,124,931 | | 97.0 | % |
Canada | | 6,138,867 | | 1.0 | |
France | | 4,329,999 | | 0.7 | |
Japan | | 2,420,476 | | 0.4 | |
Netherlands | | 1,946,655 | | 0.3 | |
United Kingdom | | 1,524,959 | | 0.3 | |
Australia | | 1,479,591 | | 0.2 | |
Germany | | 872,498 | | 0.1 | |
| | | | | | |
| | | | | | |
Total | | $613,837,976 | | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 9.4% |
Money Markets - 9.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 1,587,563 | $ | 962 | $ | (947) | $ | 54,168,274 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 20,595∆ | | - | | - | | 677,798 |
Total Affiliated Investments - 9.5% | $ | 1,608,158 | $ | 962 | $ | (947) | $ | 54,846,072 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 9.4% |
Money Markets - 9.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 62,116,369 | | 135,688,034 | | (143,636,144) | | 54,168,274 |
Investments Purchased with Cash Collateral from Securities Lending - 0.1% |
Investment Companies - 0.1% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 15,117,312 | | 61,232,894 | | (75,672,408) | | 677,798 |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
18 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedule of Futures
| | | | | | | | | | | | | | | |
Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value and Unrealized Appreciation/(Depreciation) | | |
Futures Long: | | | | | | | | | | |
10 Year US Treasury Note | | 132 | | 9/29/23 | $ | 14,819,063 | $ | (281,457) | |
2 Year US Treasury Note | | 675 | | 10/4/23 | | 137,257,031 | | (1,727,643) | |
5 Year US Treasury Note | | 679 | | 10/4/23 | | 72,716,656 | | (999,811) | |
Total - Futures Long | | | | | | | | (3,008,911) | |
Futures Short: | | | | | | | | | | |
Ultra 10-Year Treasury Note | | 81 | | 9/29/23 | | (9,593,438) | | 115,805 | |
Ultra Long Term US Treasury Bond | | 5 | | 9/29/23 | | (681,094) | | (1,252) | |
Total - Futures Short | | | | | | | | 114,553 | |
Total | | | | | | | $ | (2,894,358) | | |
The following table, grouped by derivative type, provides information about the fair value and location of derivatives within the Statement of Assets and Liabilities as of June 30, 2023.
| | | | | | |
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2023 |
| | | | | |
| | | | | Interest Rate
Contracts |
Asset Derivatives: | | | |
*Futures contracts | | | $ 115,805 |
| | | | |
Liability Derivatives: | | | |
*Futures contracts | | | $3,010,163 |
| | | | |
*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). |
| | |
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 (unaudited)
June 30, 2023
The following tables provides information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the period ended June 30, 2023.
| | | | | | | | | |
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the period ended June 30, 2023 |
| | | | | | | | |
Amount of Realized Gain/(Loss) Recognized on Derivatives |
Derivative | | Credit
Contracts | | Interest Rate
Contracts | | Total |
Futures contracts | | $ - | | $ (379,003) | | $ (379,003) |
Swap contracts | | (184,176) | | - | | $ (184,176) |
| | | | | | | | | |
Total | | $(184,176) | | $ (379,003) | | $ (563,179) |
| | | | | | | | | |
| | | | | | | | | |
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives |
Derivative | | Credit
Contracts | | Interest Rate
Contracts | | Total |
Futures contracts | | $ - | | $(2,695,500) | | $(2,695,500) |
| | | | | | | | | |
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
| | |
Average Ending Monthly Value of Derivative Instruments During the Period Ended June 30, 2023 |
| |
| |
Futures contracts: | |
Average notional amount of contracts - long | $147,813,354 |
Average notional amount of contracts - short | (8,832,578) |
| | |
| |
| |
| |
| | | | | | | | | | |
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 | $ | 823,016 | $ | — | $ | (823,016) | $ | — |
| | | | | | | | | |
(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. |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
20 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
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. |
| | |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2023 is $139,955,911, which represents 24.3% of net assets. |
| | |
‡ | Variable or floating rate security. Rate shown is the current rate as of June 30, 2023. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
# | Loaned security; a portion of the security is on loan at June 30, 2023. |
| | |
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 (unaudited)
| | | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | - | $ | 120,337,062 | $ | - |
Corporate Bonds | | - | | 134,551,423 | | - |
Mortgage-Backed Securities | | - | | 166,885,420 | | - |
United States Treasury Notes/Bonds | | - | | 137,048,549 | | - |
Investment Companies | | - | | 54,168,274 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 847,248 | | - |
Total Investments in Securities | $ | - | $ | 613,837,976 | $ | - |
Other Financial Instruments(a): | | | | | | |
Futures Contracts | | 115,805 | | - | | - |
Total Assets | $ | 115,805 | $ | 613,837,976 | $ | - |
Liabilities | | | | | | |
Other Financial Instruments(a): | | | | | | |
Futures Contracts | $ | 3,010,163 | $ | - | $ | - |
| | | | | | | |
(a) | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $581,316,872)(1) | | $ | 558,991,904 | |
| Affiliated investments, at value (cost $54,840,077) | | | 54,846,072 | |
| Deposits with brokers for futures | | | 2,050,000 | |
| Variation margin receivable on futures contracts | | | 18,563 | |
| Trustees' deferred compensation | | | 14,608 | |
| Receivables: | | | | |
| | Investments sold | | | 25,029,101 | |
| | Interest | | | 3,221,192 | |
| | Portfolio shares sold | | | 499,760 | |
| | Dividends from affiliates | | | 258,652 | |
| Other assets | | | 16,357 | |
Total Assets | | | 644,946,209 | |
Liabilities: | | | | |
| Due to custodian | | | 960,666 | |
| Collateral for securities loaned (Note 3) | | | 847,248 | |
| Variation margin payable on futures contracts | | | 51,396 | |
| Payables: | | | — | |
| | TBA investments purchased | | | 42,749,799 | |
| | Investments purchased | | | 24,164,314 | |
| | Advisory fees | | | 230,832 | |
| | Portfolio shares repurchased | | | 125,090 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 101,631 | |
| | Professional fees | | | 30,735 | |
| | Transfer agent fees and expenses | | | 26,085 | |
| | Trustees' deferred compensation fees | | | 14,608 | |
| | Trustees' fees and expenses | | | 3,499 | |
| | Custodian fees | | | 2,301 | |
| | Affiliated portfolio administration fees payable | | | 1,264 | |
| | Accrued expenses and other payables | | | 122,004 | |
Total Liabilities | | | 69,431,472 | |
Net Assets | | $ | 575,514,737 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 677,250,884 | |
| Total distributable earnings (loss) | | | (101,736,147) | |
Total Net Assets | | $ | 575,514,737 | |
Net Assets - Institutional Shares | | $ | 112,888,666 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 11,399,539 | |
Net Asset Value Per Share | | $ | 9.90 | |
Net Assets - Service Shares | | $ | 462,626,071 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 42,161,633 | |
Net Asset Value Per Share | | $ | 10.97 | |
| |
(1) Includes $823,016 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 (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: | | | |
| Interest | $ | 10,796,563 | |
| Dividends from affiliates | | 1,587,563 | |
| Affiliated securities lending income, net | | 20,595 | |
| Unaffiliated securities lending income, net | | 5,357 | |
| Other income | | 33,312 | |
Total Investment Income | | 12,443,390 | |
Expenses: | | | |
| Advisory fees | | 1,433,647 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 573,179 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 28,093 | |
| | Service Shares | | 114,672 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 1,087 | |
| | Service Shares | | 2,567 | |
| Pricing valuation Fee | | 197,012 | |
| Professional fees | | 32,395 | |
| Shareholder reports expense | | 20,189 | |
| Affiliated portfolio administration fees | | 11,254 | |
| Trustees’ fees and expenses | | 7,032 | |
| Custodian fees | | 5,507 | |
| Registration fees | | 1,313 | |
| Other expenses | | 38,299 | |
Total Expenses | | 2,466,246 | |
Less: Excess Expense Reimbursement and Waivers | | (245,838) | |
Net Expenses | | 2,220,408 | |
Net Investment Income/(Loss) | | 10,222,982 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments | | (13,557,931) | |
| Investments in affiliates | | 962 | |
| Futures contracts | | (379,003) | |
| Swap contracts | | (184,176) | |
Total Net Realized Gain/(Loss) on Investments | | (14,120,148) | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments and Trustees’ deferred compensation | | 15,355,686 | |
| Investments in affiliates | | (947) | |
| Futures contracts | | (2,695,500) | |
Total Change in Unrealized Net Appreciation/Depreciation | | 12,659,239 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 8,762,073 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
24 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 10,222,982 | | $ | 12,880,471 | |
| Net realized gain/(loss) on investments | | (14,120,148) | | | (62,569,826) | |
| Change in unrealized net appreciation/depreciation | | 12,659,239 | | | (42,692,111) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 8,762,073 | | | (92,381,466) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (2,311,422) | | | (4,991,883) | |
| | Service Shares | | (8,037,476) | | | (17,607,350) | |
Net Decrease from Dividends and Distributions to Shareholders | | (10,348,898) | | | (22,599,233) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | 5,634,948 | | | (5,769,476) | |
| | Service Shares | | 18,961,246 | | | (10,774,597) | |
Net Increase/(Decrease) from Capital Share Transactions | | 24,596,194 | | | (16,544,073) | |
Net Increase/(Decrease) in Net Assets | | 23,009,369 | | | (131,524,772) | |
Net Assets: | | | | | | |
| Beginning of period | | 552,505,368 | | | 684,030,140 | |
| End of period | $ | 575,514,737 | | $ | 552,505,368 | |
| | | | | | | | |
| | |
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 period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $9.94 | | | $12.05 | | | $12.75 | | | $11.88 | | | $11.21 | | | $11.69 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.19 | | | 0.26 | | | 0.21 | | | 0.28 | | | 0.34 | | | 0.33 | |
| | Net realized and unrealized gain/(loss) | | (0.02) | | | (1.90) | | | (0.33) | | | 0.96 | | | 0.72 | | | (0.45) | |
| Total from Investment Operations | | 0.17 | | | (1.64) | | | (0.12) | | | 1.24 | | | 1.06 | | | (0.12) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.21) | | | (0.27) | | | (0.25) | | | (0.37) | | | (0.39) | | | (0.36) | |
| | Distributions (from capital gains) | | — | | | (0.20) | | | (0.33) | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.21) | | | (0.47) | | | (0.58) | | | (0.37) | | | (0.39) | | | (0.36) | |
| Net Asset Value, End of Period | | $9.90 | | | $9.94 | | | $12.05 | | | $12.75 | | | $11.88 | | | $11.21 | |
| Total Return* | | 1.67% | | | (13.66)% | | | (0.90)% | | | 10.48% | | | 9.57% | | | (1.00)% | |
| Net Assets, End of Period (in thousands) | | $112,889 | | | $107,682 | | | $136,115 | | | $145,792 | | | $162,620 | | | $240,427 | |
| Average Net Assets for the Period (in thousands) | | $113,253 | | | $115,525 | | | $137,695 | | | $156,575 | | | $208,624 | | | $266,429 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.67% | | | 0.60% | | | 0.59% | | | 0.60% | | | 0.60% | | | 0.61% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.58% | | | 0.57% | | | 0.58% | | | 0.59% | | | 0.60% | | | 0.61% | |
| | Ratio of Net Investment Income/(Loss) | | 3.78% | | | 2.37% | | | 1.72% | | | 2.28% | | | 2.89% | | | 2.88% | |
| Portfolio Turnover Rate(2) | | 108% | | | 182% | | | 160% | | | 139% | | | 177% | | | 238% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
| | |
See Notes to Financial Statements. |
| |
26 | JUNE 30, 2023 |
Janus Henderson VIT Flexible Bond Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $10.99 | | | $13.27 | | | $13.99 | | | $12.99 | | | $12.23 | | | $12.73 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.20 | | | 0.25 | | | 0.20 | | | 0.28 | | | 0.34 | | | 0.33 | |
| | Net realized and unrealized gain/(loss) | | (0.03) | | | (2.09) | | | (0.37) | | | 1.05 | | | 0.79 | | | (0.50) | |
| Total from Investment Operations | | 0.17 | | | (1.84) | | | (0.17) | | | 1.33 | | | 1.13 | | | (0.17) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.19) | | | (0.24) | | | (0.22) | | | (0.33) | | | (0.37) | | | (0.33) | |
| | Distributions (from capital gains) | | — | | | (0.20) | | | (0.33) | | | — | | | — | | | — | |
| Total Dividends and Distributions | | (0.19) | | | (0.44) | | | (0.55) | | | (0.33) | | | (0.37) | | | (0.33) | |
| Net Asset Value, End of Period | | $10.97 | | | $10.99 | | | $13.27 | | | $13.99 | | | $12.99 | | | $12.23 | |
| Total Return* | | 1.58% | | | (13.90)% | | | (1.18)% | | | 10.33% | | | 9.28% | | | (1.29)% | |
| Net Assets, End of Period (in thousands) | | $462,626 | | | $444,824 | | | $547,915 | | | $493,364 | | | $396,771 | | | $384,824 | |
| Average Net Assets for the Period (in thousands) | | $462,319 | | | $477,698 | | | $513,269 | | | $431,012 | | | $384,358 | | | $389,260 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.91% | | | 0.84% | | | 0.84% | | | 0.85% | | | 0.85% | | | 0.86% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.83% | | | 0.82% | | | 0.82% | | | 0.84% | | | 0.85% | | | 0.86% | |
| | Ratio of Net Investment Income/(Loss) | | 3.53% | | | 2.12% | | | 1.47% | | | 2.03% | | | 2.63% | | | 2.64% | |
| Portfolio Turnover Rate(2) | | 108% | | | 182% | | | 160% | | | 139% | | | 177% | | | 238% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 27 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Flexible Bond Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Derivative Instruments
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on futures contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the period ended June 30, 2023 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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
other factors affecting a particular industry or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced 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.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
Futures contracts are valued at the settlement price on valuation date on the exchange as reported by an approved vendor. Mini contracts, as defined in the description of the contract, shall be valued using the Actual Settlement Price or “ASET” price type as reported by an approved vendor. In the event that foreign futures trade when the foreign equity markets are closed, the last foreign futures trade price shall be used.
Futures contracts are marked-to-market daily, and the daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities (if applicable). The change in unrealized net appreciation/depreciation is reported on the Statement of Operations (if applicable). When a contract is closed, a realized gain or loss is reported on the Statement of Operations (if applicable), equal to the difference between the opening and closing value of the contract.
Securities held by the Portfolio that are designated as collateral for market value on futures contracts are noted on the Schedule of Investments (if applicable). Such collateral is in the possession of the Portfolio’s futures commission merchant.
With futures, there is minimal counterparty credit risk to the Portfolio since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.
During the period, the Portfolio purchased interest rate futures to increase exposure to interest rate risk.
During the period, the Portfolio sold interest rate futures to decrease exposure to interest rate risk.
Swaps
Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year to exchange one set of cash flows for another. The most significant factor in the performance of swap agreements is the change in value of the specific index, security, or currency, or other factors that determine the amounts of payments due to and from the Portfolio. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Swap transactions may in some instances involve the delivery of securities or other underlying assets by the Portfolio or its counterparty to collateralize obligations under the swap. If the other party to a swap that is not collateralized defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. Swap agreements entail the risk that a party will default on its payment obligations to the Portfolio. If the other party to a swap defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. If the Portfolio utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Portfolio and reduce the Portfolio’s total return.
Swap agreements also bear the risk that the Portfolio will not be able to meet its obligation to the counterparty. Swap agreements are typically privately negotiated and entered into in the OTC market. However, certain swap agreements are required to be cleared through a clearinghouse and traded on an exchange or swap execution facility. Swaps that are required to be cleared are required to post initial and variation margins in accordance with the exchange requirements. Regulations enacted require the Portfolio to centrally clear certain interest rate and credit default index swaps through a clearinghouse or central counterparty (“CCP”). To clear a swap with a CCP, the Portfolio will submit the swap to, and post collateral with, a futures clearing merchant (“FCM”) that is a clearinghouse member. Alternatively, the Portfolio may enter into a swap with a financial institution other than the FCM (the “Executing Dealer”) and arrange for the swap to be transferred to the FCM for clearing. The Portfolio may also enter into a swap with the FCM itself. The CCP, the FCM, and the Executing Dealer are all subject to regulatory oversight by the U.S. Commodity Futures Trading Commission (“CFTC”). A default or failure by a CCP or an FCM, or the failure of a swap to be transferred from an Executing Dealer to the FCM for clearing, may expose the Portfolio to losses, increase its costs, or prevent the Portfolio from entering or exiting swap positions, accessing collateral, or fully implementing its investment strategies. The regulatory requirement to clear certain swaps could, either temporarily or permanently, reduce the liquidity of cleared swaps or increase the costs of entering into those swaps.
Index swaps, interest rate swaps, inflation swaps and credit default swaps are valued using an approved vendor supplied price. Basket swaps are valued using a broker supplied price. Equity swaps that consist of a single underlying equity are valued either at the closing price, the latest bid price, or the last sale price on the primary market or exchange it trades.
The market value of swap contracts are aggregated by positive and negative values and are disclosed separately as an asset or liability on the Portfolio’s Statement of Assets and Liabilities (if applicable). Realized gains and losses are
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
reported on the Portfolio’s Statement of Operations (if applicable). The change in unrealized net appreciation or depreciation during the period is included in the Statement of Operations (if applicable).
The Portfolio’s maximum risk of loss from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to cover the Portfolio’s exposure to the counterparty.
The Portfolio may enter into various types of credit default swap agreements, including OTC credit default swap agreements, for investment purposes, to add leverage to its Portfolio, or to hedge against widening credit spreads on high-yield/high-risk bonds. Credit default swaps are a specific kind of counterparty agreement that allow the transfer of third party credit risk from one party to the other. One party in the swap is a lender and faces credit risk from a third party, and the counterparty in the credit default swap agrees to insure this risk in exchange for regular periodic payments. Credit default swaps could result in losses if the Portfolio does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the Portfolio had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity risk, counterparty risk, and credit risk. The Portfolio will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Portfolio may lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. As seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Portfolio, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to the Portfolio.
As a buyer of credit protection, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation from the counterparty to the contract in the event of a default or other credit event by a third party, such as a U.S. or foreign issuer, on the debt obligation. In return, the Portfolio as buyer would pay to the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and potentially received no benefit from the contract.
If the Portfolio is the seller of credit protection against a particular security, the Portfolio would receive an up-front or periodic payment to compensate against potential credit events. As the seller in a credit default swap contract, the Portfolio would be required to pay the par value (the “notional value”) (or other agreed-upon value) of a referenced debt obligation to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Portfolio would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Portfolio would keep the stream of payments and would have no payment obligations. As the seller, the Portfolio would effectively add leverage to its portfolio because, in addition to its total net assets, the Portfolio would be subject to investment exposure on the notional value of the swap. The maximum potential amount of future payments (undiscounted) that the Portfolio as a seller could be required to make in a credit default transaction would be the notional amount of the agreement.
The Portfolio may invest in single-name credit default swaps (“CDS”) to buy or sell credit protection to hedge its credit exposure, gain issuer exposure without owning the underlying security, or increase the Portfolio’s total return. Single-name CDS enable the Portfolio to buy or sell protection against a credit event of a specific issuer. When the Portfolio buys a single-name CDS, the Portfolio will receive a return on its investment only in the event of a credit event, such as default by the issuer of the underlying obligation (as opposed to a credit downgrade or other indication of financial difficulty). If a single-name CDS transaction is particularly large, or if the relevant market is illiquid, it may not be possible for the Portfolio to initiate a single-name CDS transaction or to liquidate its position at an advantageous time or price, which may result in significant losses. Moreover, the Portfolio bears the risk of loss of the amount expected to be received under a single-name CDS in the event of the default or bankruptcy of the counterparty. The risks associated with cleared single-name CDS may be lower than that for uncleared single-name CDS because for cleared single-name CDS, the counterparty is a clearinghouse (to the extent such a trading market is available). However, there can be no assurance that a clearinghouse or its members will satisfy their obligations to the Portfolio.
During the period, the Portfolio purchased protection via the credit default swap market in order to reduce credit risk exposure to individual corporates, countries and/or credit indices where reducing this exposure via the cash bond market was less attractive.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
There were no credit default swaps held at June 30, 2023.
3. Other Investments and Strategies
Market Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes, or adverse developments specific to the issuer.
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer and commercial loans or receivables. The Portfolio may purchase fixed or variable rate commercial or residential mortgage-backed securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed as to the timely payment of principal and interest by the full faith and credit of the U.S. Government. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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.
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although 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. Cash collateral that has been pledged to cover the obligations of a Portfolio and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as Collateral for To Be Announced Transactions.
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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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.
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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 June 30, 2023, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $823,016. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2023 is $847,248, resulting in the net amount due to the counterparty of $24,232.
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 Offsetting Assets and Liabilities table located in the Schedule of Investments 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.
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 0.50% of average annual net assets before any applicable waivers.
The Adviser has contractually agreed to waive the investment advisory fee and/or reimburse operating expenses to the extent that the Portfolio’s total annual fund operating expenses, 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 28, 2023. 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.
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 authorized to perform, or cause others to perform 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
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
affiliates, are shared with the Portfolio. Total compensation of $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
5. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(45,100,328) | $(18,839,714) | $ (63,940,042) | | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 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) |
$ 636,848,496 | $ 522,750 | $(23,533,270) | $ (23,010,520) |
6. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 1,390,512 | $14,036,641 | | 1,620,210 | $ 16,866,364 |
Reinvested dividends and distributions | 232,070 | 2,311,422 | | 488,927 | 4,991,883 |
Shares repurchased | (1,055,465) | (10,713,115) | | (2,569,876) | (27,627,723) |
Net Increase/(Decrease) | 567,117 | $ 5,634,948 | | (460,739) | $ (5,769,476) |
Service Shares: | | | | | |
Shares sold | 3,451,428 | $38,813,122 | | 5,669,493 | $ 67,206,132 |
Reinvested dividends and distributions | 728,692 | 8,037,476 | | 1,559,781 | 17,607,350 |
Shares repurchased | (2,481,268) | (27,889,352) | | (8,042,278) | (95,588,079) |
Net Increase/(Decrease) | 1,698,852 | $18,961,246 | | (813,004) | $(10,774,597) |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$150,722,355 | $75,984,317 | $ 426,383,755 | $ 474,627,554 |
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Flexible Bond Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Flexible Bond Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Notes
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Janus Henderson VIT Flexible Bond Portfolio
Notes
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Janus Henderson VIT Flexible Bond Portfolio
Notes
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Forty Portfolio |
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| | Janus Aspen Series |
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| | | |
| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Forty Portfolio
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Brian Recht co-portfolio manager | 
Doug Rao co-portfolio manager | 
Nick Schommer co-portfolio manager |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Meta Platforms Inc - Class A | 2.69% | | 2.15% | | Deere & Co | 3.08% | | -1.04% |
| Advanced Micro Devices Inc | 3.64% | | 1.42% | | Charles Schwab Corp | 1.47% | | -1.02% |
| Amazon.com Inc | 5.97% | | 0.32% | | Apple Inc | 7.76% | | -0.98% |
| Marvell Technology Inc | 0.63% | | 0.24% | | Danaher Corp | 2.09% | | -0.92% |
| CoStar Group Inc | 2.89% | | -0.44% | | American Tower Corp | 2.54% | | -0.90% |
| | | | | | | |
| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Communication Services | | 1.70% | | 5.31% | 7.40% |
| Consumer Staples | | 1.33% | | 1.13% | 5.74% |
| Energy | | 0.67% | | 0.00% | 1.38% |
| Utilities | | 0.02% | | 0.00% | 0.05% |
| Information Technology | | -0.07% | | 41.75% | 43.14% |
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| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Health Care | | -1.42% | | 10.03% | 11.94% |
| Financials | | -1.05% | | 9.68% | 5.17% |
| Consumer Discretionary | | -1.00% | | 15.60% | 14.56% |
| Materials | | -0.67% | | 3.85% | 1.31% |
| Real Estate | | -0.58% | | 2.54% | 1.45% |
| | | | | | | |
| 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 Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 10.9% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 8.3% |
Amazon.com Inc | |
Multiline Retail | 7.6% |
Mastercard Inc | |
Diversified Financial Services | 6.0% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 4.3% |
| | 37.1% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 98.6% | |
Investment Companies | | 1.4% | |
Other | | (0.0)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
|
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 26.79% | 27.78% | 12.65% | 14.86% | 11.90% | | | 0.55% |
Service Shares | | 26.66% | 27.48% | 12.36% | 14.57% | 11.59% | | | 0.80% |
Russell 1000 Growth Index | | 29.02% | 27.11% | 15.14% | 15.74% | 9.19% | | | |
S&P 500 Index | | 16.89% | 19.59% | 12.31% | 12.86% | 8.78% | | | |
Morningstar Quartile - Institutional Shares | | - | 1st | 2nd | 1st | 1st | | | |
Morningstar Ranking - based on total returns for Large Growth Funds | | - | 244/1,226 | 345/1,102 | 165/1,014 | 8/497 | | | |
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.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2023 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 1 ,1997
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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.
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| | | Actual | | Hypothetical
(5% return before expenses) | |
| Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,267.90 | $3.09 | | $1,000.00 | $1,022.07 | $2.76 | 0.55% |
Service Shares | $1,000.00 | $1,266.60 | $4.44 | | $1,000.00 | $1,020.88 | $3.96 | 0.79% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2023
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Shares
| | | Value | |
Common Stocks– 98.6% | | | |
Aerospace & Defense – 2.1% | | | |
| | Howmet Aerospace Inc | | 400,432 | | | $19,845,410 | |
Automobiles – 0.3% | | | |
| | Rivian Automotive Inc - Class A* | | 196,387 | | | 3,271,807 | |
Banks – 1.6% | | | |
| | JPMorgan Chase & Co | | 105,628 | | | 15,362,536 | |
Biotechnology – 2.8% | | | |
| | AbbVie Inc | | 161,832 | | | 21,803,625 | |
| | Argenx SE (ADR)* | | 12,737 | | | 4,963,991 | |
| | | 26,767,616 | |
Capital Markets – 3.8% | | | |
| | Blackstone Group Inc | | 239,974 | | | 22,310,383 | |
| | Charles Schwab Corp | | 245,691 | | | 13,925,766 | |
| | | 36,236,149 | |
Chemicals – 2.9% | | | |
| | Linde PLC | | 44,315 | | | 16,887,560 | |
| | Sherwin-Williams Co | | 40,884 | | | 10,855,520 | |
| | | 27,743,080 | |
Diversified Financial Services – 6.0% | | | |
| | Mastercard Inc | | 146,418 | | | 57,586,199 | |
Health Care Providers & Services – 2.5% | | | |
| | UnitedHealth Group Inc | | 50,550 | | | 24,296,352 | |
Hotels, Restaurants & Leisure – 3.3% | | | |
| | Booking Holdings Inc* | | 8,381 | | | 22,631,466 | |
| | Caesars Entertainment Inc* | | 185,991 | | | 9,479,961 | |
| | | 32,111,427 | |
Household Products – 1.0% | | | |
| | Procter & Gamble Co | | 66,897 | | | 10,150,951 | |
Insurance – 1.3% | | | |
| | Progressive Corp/The | | 97,760 | | | 12,940,491 | |
Interactive Media & Services – 5.5% | | | |
| | Alphabet Inc - Class C* | | 181,448 | | | 21,949,765 | |
| | Meta Platforms Inc - Class A* | | 108,501 | | | 31,137,617 | |
| | | 53,087,382 | |
Life Sciences Tools & Services – 4.4% | | | |
| | Danaher Corp | | 99,812 | | | 23,954,880 | |
| | Illumina Inc* | | 100,936 | | | 18,924,491 | |
| | | 42,879,371 | |
Machinery – 2.6% | | | |
| | Deere & Co | | 62,878 | | | 25,477,537 | |
Metals & Mining – 1.0% | | | |
| | Freeport-McMoRan Inc | | 241,994 | | | 9,679,760 | |
Multiline Retail – 7.6% | | | |
| | Amazon.com Inc* | | 559,677 | | | 72,959,494 | |
Professional Services – 2.8% | | | |
| | CoStar Group Inc* | | 298,489 | | | 26,565,521 | |
Semiconductor & Semiconductor Equipment – 13.7% | | | |
| | Advanced Micro Devices Inc* | | 218,339 | | | 24,870,995 | |
| | Analog Devices Inc | | 48,951 | | | 9,536,144 | |
| | ASML Holding NV | | 37,119 | | | 26,901,995 | |
| | Marvell Technology Inc | | 145,070 | | | 8,672,285 | |
| | NVIDIA Corp | | 97,215 | | | 41,123,889 | |
| | Texas Instruments Inc | | 114,904 | | | 20,685,018 | |
| | | 131,790,326 | |
Software – 18.3% | | | |
| | Adobe Inc* | | 23,457 | | | 11,470,238 | |
| | Atlassian Corp - Class A* | | 118,393 | | | 19,867,529 | |
| | Microsoft Corp | | 308,350 | | | 105,005,509 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
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6 | JUNE 30, 2023 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Software– (continued) | | | |
| | Workday Inc - Class A* | | 178,779 | | | $40,384,388 | |
| | | 176,727,664 | |
Specialized Real Estate Investment Trusts (REITs) – 2.2% | | | |
| | American Tower Corp | | 108,124 | | | 20,969,569 | |
Specialty Retail – 1.8% | | | |
| | TJX Cos Inc | | 204,785 | | | 17,363,720 | |
Technology Hardware, Storage & Peripherals – 8.3% | | | |
| | Apple Inc | | 411,445 | | | 79,807,987 | |
Textiles, Apparel & Luxury Goods – 2.8% | | | |
| | LVMH Moet Hennessy Louis Vuitton SE | | 20,831 | | | 19,614,792 | |
| | NIKE Inc - Class B | | 70,929 | | | 7,828,434 | |
| | | 27,443,226 | |
Total Common Stocks (cost $550,532,695) | | 951,063,575 | |
Investment Companies– 1.4% | | | |
Money Markets – 1.4% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $13,356,407) | | 13,354,931 | | | 13,357,602 | |
Total Investments (total cost $563,889,102) – 100.0% | | 964,421,177 | |
Liabilities, net of Cash, Receivables and Other Assets – (0)% | | (451,430) | |
Net Assets – 100% | | $963,969,747 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $912,940,399 | | 94.7 | % |
Netherlands | | 26,901,995 | | 2.8 | |
France | | 19,614,792 | | 2.0 | |
Belgium | | 4,963,991 | | 0.5 | |
| | | | | | |
| | | | | | |
Total | | $964,421,177 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 1.4% |
Money Markets - 1.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 469,824 | $ | 1,063 | $ | (1,058) | $ | 13,357,602 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 1,905∆ | | - | | - | | - |
Total Affiliated Investments - 1.4% | $ | 471,729 | $ | 1,063 | $ | (1,058) | $ | 13,357,602 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 1.4% |
Money Markets - 1.4% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 20,498,718 | | 103,692,896 | | (110,834,017) | | 13,357,602 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | - | | 38,608,935 | | (38,608,935) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Forty Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
| | |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 951,063,575 | $ | - | $ | - |
Investment Companies | | - | | 13,357,602 | | - |
Total Assets | $ | 951,063,575 | $ | 13,357,602 | $ | - |
| | | | | | | |
Janus Henderson VIT Forty Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $550,532,695) | | $ | 951,063,575 | |
| Affiliated investments, at value (cost $13,356,407) | | | 13,357,602 | |
| Cash denominated in foreign currency (cost $17,848) | | | 17,848 | |
| Trustees' deferred compensation | | | 24,490 | |
| Receivables: | | | | |
| | Portfolio shares sold | | | 350,132 | |
| | Dividends | | | 299,417 | |
| | Dividends from affiliates | | | 67,897 | |
| | Foreign tax reclaims | | | 7,160 | |
| Other assets | | | 12,231 | |
Total Assets | | | 965,200,352 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Portfolio shares repurchased | | | 535,699 | |
| | Advisory fees | | | 402,769 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 122,550 | |
| | Transfer agent fees and expenses | | | 42,458 | |
| | Professional fees | | | 25,597 | |
| | Trustees' deferred compensation fees | | | 24,490 | |
| | Trustees' fees and expenses | | | 5,410 | |
| | Affiliated portfolio administration fees payable | | | 2,065 | |
| | Custodian fees | | | 1,561 | |
| | Investments purchased | | | 91 | |
| | Accrued expenses and other payables | | | 67,915 | |
Total Liabilities | | | 1,230,605 | |
Net Assets | | $ | 963,969,747 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 542,393,075 | |
| Total distributable earnings (loss) | | | 421,576,672 | |
Total Net Assets | | $ | 963,969,747 | |
Net Assets - Institutional Shares | | $ | 392,173,348 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 9,127,195 | |
Net Asset Value Per Share | | $ | 42.97 | |
Net Assets - Service Shares | | $ | 571,796,399 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 14,822,565 | |
Net Asset Value Per Share | | $ | 38.58 | |
| | |
See Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Forty Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 3,969,047 | |
| Dividends from affiliates | | 469,824 | |
| Affiliated securities lending income, net | | 1,905 | |
| Unaffiliated securities lending income, net | | 860 | |
| Other income | | 136 | |
| Foreign tax withheld | | (44,645) | |
Total Investment Income | | 4,397,127 | |
Expenses: | | | |
| Advisory fees | | 2,020,960 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 646,071 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 87,422 | |
| | Service Shares | | 129,279 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 2,978 | |
| | Service Shares | | 2,717 | |
| Professional fees | | 33,434 | |
| Affiliated portfolio administration fees | | 17,139 | |
| Trustees’ fees and expenses | | 11,126 | |
| Registration fees | | 7,342 | |
| Shareholder reports expense | | 5,643 | |
| Custodian fees | | 3,411 | |
| Other expenses | | 36,478 | |
Total Expenses | | 3,004,000 | |
Net Investment Income/(Loss) | | 1,393,127 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 48,061,938 | |
| Investments in affiliates | | 1,063 | |
Total Net Realized Gain/(Loss) on Investments | | 48,063,001 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 157,666,890 | |
| Investments in affiliates | | (1,058) | |
Total Change in Unrealized Net Appreciation/Depreciation | | 157,665,832 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 207,121,960 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Forty Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 1,393,127 | | $ | 945,511 | |
| Net realized gain/(loss) on investments | | 48,063,001 | | | (26,169,667) | |
| Change in unrealized net appreciation/depreciation | | 157,665,832 | | | (384,909,155) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 207,121,960 | | | (410,133,311) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | — | | | (57,912,332) | |
| | Service Shares | | — | | | (88,064,766) | |
Net Decrease from Dividends and Distributions to Shareholders | | — | | | (145,977,098) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (9,549,361) | | | 22,748,415 | |
| | Service Shares | | (25,740,337) | | | 82,752,521 | |
Net Increase/(Decrease) from Capital Share Transactions | | (35,289,698) | | | 105,500,936 | |
Net Increase/(Decrease) in Net Assets | | 171,832,262 | | | (450,609,473) | |
Net Assets: | | | | | | |
| Beginning of period | | 792,137,485 | | | 1,242,746,958 | |
| End of period | $ | 963,969,747 | | $ | 792,137,485 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $33.89 | | | $61.75 | | | $57.00 | | | $44.38 | | | $35.20 | | | $39.76 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.09 | | | 0.10 | | | (0.15) | | | (0.01) | | | 0.09 | | | 0.07 | |
| | Net realized and unrealized gain/(loss) | | 8.99 | | | (20.82) | | | 12.39 | | | 16.29 | | | 12.55 | | | 1.31 | |
| Total from Investment Operations | | 9.08 | | | (20.72) | | | 12.24 | | | 16.28 | | | 12.64 | | | 1.38 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | — | | | (0.07) | | | — | | | (0.14) | | | (0.06) | | | — | |
| | Distributions (from capital gains) | | — | | | (7.07) | | | (7.49) | | | (3.52) | | | (3.40) | | | (5.94) | |
| Total Dividends and Distributions | | — | | | (7.14) | | | (7.49) | | | (3.66) | | | (3.46) | | | (5.94) | |
| Net Asset Value, End of Period | | $42.97 | | | $33.89 | | | $61.75 | | | $57.00 | | | $44.38 | | | $35.20 | |
| Total Return* | | 26.79% | | | (33.55)% | | | 22.90% | | | 39.40% | | | 37.16% | | | 1.98% | |
| Net Assets, End of Period (in thousands) | | $392,173 | | | $317,938 | | | $523,822 | | | $462,216 | | | $362,001 | | | $292,132 | |
| Average Net Assets for the Period (in thousands) | | $351,832 | | | $374,815 | | | $497,818 | | | $389,419 | | | $337,416 | | | $327,962 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.55% | | | 0.55% | | | 0.77% | | | 0.76% | | | 0.77% | | | 0.71% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.55% | | | 0.55% | | | 0.77% | | | 0.76% | | | 0.77% | | | 0.71% | |
| | Ratio of Net Investment Income/(Loss) | | 0.48% | | | 0.25% | | | (0.25)% | | | (0.02)% | | | 0.23% | | | 0.17% | |
| Portfolio Turnover Rate | | 19% | | | 39% | | | 31% | | | 41% | | | 35% | | | 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. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $30.46 | | | $56.64 | | | $52.96 | | | $41.53 | | | $33.15 | | | $37.84 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.04 | | | ���(2) | | | (0.28) | | | (0.12) | | | (0.01) | | | (0.03) | |
| | Net realized and unrealized gain/(loss) | | 8.08 | | | (19.09) | | | 11.45 | | | 15.15 | | | 11.80 | | | 1.28 | |
| Total from Investment Operations | | 8.12 | | | (19.09) | | | 11.17 | | | 15.03 | | | 11.79 | | | 1.25 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | — | | | (0.02) | | | — | | | (0.08) | | | (0.01) | | | — | |
| | Distributions (from capital gains) | | — | | | (7.07) | | | (7.49) | | | (3.52) | | | (3.40) | | | (5.94) | |
| Total Dividends and Distributions | | — | | | (7.09) | | | (7.49) | | | (3.60) | | | (3.41) | | | (5.94) | |
| Net Asset Value, End of Period | | $38.58 | | | $30.46 | | | $56.64 | | | $52.96 | | | $41.53 | | | $33.15 | |
| Total Return* | | 26.66% | | | (33.73)% | | | 22.60% | | | 39.03% | | | 36.85% | | | 1.72% | |
| Net Assets, End of Period (in thousands) | | $571,796 | | | $474,200 | | | $718,925 | | | $634,393 | | | $525,112 | | | $427,321 | |
| Average Net Assets for the Period (in thousands) | | $520,425 | | | $536,667 | | | $686,446 | | | $548,645 | | | $495,465 | | | $487,559 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.79% | | | 0.80% | | | 1.02% | | | 1.01% | | | 1.02% | | | 0.96% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.79% | | | 0.80% | | | 1.02% | | | 1.01% | | | 1.02% | | | 0.96% | |
| | Ratio of Net Investment Income/(Loss) | | 0.22% | | | 0.00%(3) | | | (0.50)% | | | (0.27)% | | | (0.02)% | | | (0.08)% | |
| Portfolio Turnover Rate | | 19% | | | 39% | | | 31% | | | 41% | | | 35% | | | 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. (2) Less than $0.005 on a per share basis. (3) Less than 0.005%. |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Forty Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
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.
There were no securities on loan as of June 30, 2023.
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.
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 period ended June 30, 2023, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.47%.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2023 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(25,343,416) | $ - | $ (25,343,416) | | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 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) |
$ 567,083,937 | $411,345,351 | $(14,008,111) | $ 397,337,240 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 333,712 | $ 12,666,045 | | 560,663 | $23,960,361 |
Reinvested dividends and distributions | - | - | | 1,704,072 | 57,912,332 |
Shares repurchased | (589,148) | (22,215,406) | | (1,365,258) | (59,124,278) |
Net Increase/(Decrease) | (255,436) | $ (9,549,361) | | 899,477 | $22,748,415 |
Service Shares: | | | | | |
Shares sold | 490,951 | $ 16,794,811 | | 2,072,198 | $74,331,303 |
Reinvested dividends and distributions | - | - | | 2,884,206 | 88,064,766 |
Shares repurchased | (1,236,366) | (42,535,148) | | (2,081,926) | (79,643,548) |
Net Increase/(Decrease) | (745,415) | $(25,740,337) | | 2,874,478 | $82,752,521 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$163,029,195 | $ 192,409,337 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Forty Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Global Research Portfolio |
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| | Janus Aspen Series |
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| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Global Research Portfolio
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| | | | | | Team-Based Approach Led by Matthew Peron, Director of Research |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| NVIDIA Corp | 1.66% | | 0.42% | | Meta Platforms Inc - Class A | 0.52% | | -0.45% |
| ASML Holding NV | 2.17% | | 0.34% | | Tesla Inc | 0.40% | | -0.45% |
| Microsoft Corp | 5.00% | | 0.32% | | Charles Schwab Corp | 0.77% | | -0.35% |
| Uber Technologies Inc | 0.80% | | 0.29% | | JD.Com Inc - Class A | 0.45% | | -0.33% |
| Ferguson PLC | 2.00% | | 0.22% | | T-Mobile US Inc | 1.85% | | -0.29% |
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| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Consumer | | 0.87% | | 16.02% | 15.85% |
| Technology | | 0.81% | | 19.37% | 19.21% |
| Financials | | 0.47% | | 17.80% | 17.80% |
| Energy | | 0.14% | | 7.83% | 8.04% |
| Healthcare | | 0.13% | | 13.59% | 13.55% |
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| 3 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Communications | | -0.56% | | 7.70% | 8.19% |
| Industrials | | -0.07% | | 17.53% | 17.23% |
| Other** | | -0.02% | | 0.16% | 0.13% |
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| 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 Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 5.5% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 5.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 2.6% |
Amazon.com Inc | |
Multiline Retail | 2.4% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 2.4% |
| | 17.9% |
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Asset Allocation - (% of Net Assets) | |
Common Stocks | | 98.9% | |
Preferred Stocks | | 0.9% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.2% | |
Private Placements | | 0.1% | |
Investment Companies | | 0.0% | |
Other | | (0.1)% |
| | | 100.0% |
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Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
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Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 16.65% | 21.38% | 9.32% | 9.92% | 8.52% | | | 0.64% |
Service Shares | | 16.49% | 21.07% | 9.05% | 9.64% | 8.25% | | | 0.89% |
MSCI World Index | | 15.09% | 18.51% | 9.07% | 9.50% | 7.38% | | | |
MSCI All Country World Index | | 13.93% | 16.53% | 8.10% | 8.75% | N/A** | | | |
Morningstar Quartile - Institutional Shares | | - | 2nd | 2nd | 2nd | 2nd | | | |
Morningstar Ranking - based on total returns for World Large Stock Funds | | - | 97/360 | 99/299 | 118/244 | 49/87 | | | |
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.
© 2023 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 Global Research Portfolio (unaudited)
Performance
*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
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,166.50 | $3.38 | | $1,000.00 | $1,021.67 | $3.16 | 0.63% |
Service Shares | $1,000.00 | $1,164.90 | $4.72 | | $1,000.00 | $1,020.43 | $4.41 | 0.88% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 98.9% | | | |
Aerospace & Defense – 3.0% | | | |
| | Airbus SE | | 56,623 | | | $8,177,347 | |
| | BAE Systems PLC | | 887,768 | | | 10,449,900 | |
| | General Dynamics Corp | | 18,994 | | | 4,086,559 | |
| | | 22,713,806 | |
Air Freight & Logistics – 1.3% | | | |
| | United Parcel Service Inc | | 53,916 | | | 9,664,443 | |
Airlines – 0.5% | | | |
| | Ryanair Holdings PLC (ADR)* | | 33,066 | | | 3,657,100 | |
Automobiles �� 0.3% | | | |
| | Tesla Inc* | | 8,965 | | | 2,346,768 | |
Banks – 6.1% | | | |
| | Bank of America Corp | | 209,954 | | | 6,023,580 | |
| | BNP Paribas SA | | 108,574 | | | 6,837,777 | |
| | HDFC Bank Ltd | | 169,847 | | | 3,522,778 | |
| | JPMorgan Chase & Co | | 94,202 | | | 13,700,739 | |
| | Natwest Group PLC | | 1,752,981 | | | 5,360,022 | |
| | Toronto-Dominion Bank/The | | 80,444 | | | 4,986,605 | |
| | UniCredit SpA | | 253,653 | | | 5,885,294 | |
| | | 46,316,795 | |
Beverages – 4.0% | | | |
| | Constellation Brands Inc - Class A | | 48,364 | | | 11,903,831 | |
| | Monster Beverage Corp | | 91,672 | | | 5,265,640 | |
| | Pernod Ricard SA | | 58,911 | | | 13,009,772 | |
| | | 30,179,243 | |
Biotechnology – 2.2% | | | |
| | Amgen Inc | | 12,750 | | | 2,830,755 | |
| | Argenx SE (ADR)* | | 6,710 | | | 2,615,088 | |
| | Ascendis Pharma A/S (ADR)* | | 14,714 | | | 1,313,225 | |
| | Madrigal Pharmaceuticals Inc* | | 5,250 | | | 1,212,750 | |
| | Sarepta Therapeutics Inc* | | 28,400 | | | 3,252,368 | |
| | Vertex Pharmaceuticals Inc* | | 15,521 | | | 5,461,995 | |
| | | 16,686,181 | |
Capital Markets – 3.0% | | | |
| | Blackstone Group Inc | | 55,443 | | | 5,154,536 | |
| | Charles Schwab Corp | | 100,515 | | | 5,697,190 | |
| | LPL Financial Holdings Inc | | 20,800 | | | 4,522,544 | |
| | Morgan Stanley | | 60,936 | | | 5,203,934 | |
| | State Street Corp | | 31,268 | | | 2,288,192 | |
| | | 22,866,396 | |
Chemicals – 2.9% | | | |
| | Linde PLC | | 39,166 | | | 14,925,379 | |
| | Sherwin-Williams Co | | 26,345 | | | 6,995,124 | |
| | | 21,920,503 | |
Consumer Finance – 1.0% | | | |
| | Capital One Financial Corp | | 44,146 | | | 4,828,248 | |
| | OneMain Holdings Inc | | 59,115 | | | 2,582,734 | |
| | | 7,410,982 | |
Diversified Financial Services – 4.1% | | | |
| | Apollo Global Management Inc | | 66,732 | | | 5,125,685 | |
| | Global Payments Inc | | 30,737 | | | 3,028,209 | |
| | Mastercard Inc | | 30,781 | | | 12,106,167 | |
| | Visa Inc | | 46,759 | | | 11,104,327 | |
| | | 31,364,388 | |
Electric Utilities – 0.4% | | | |
| | NextEra Energy Inc | | 40,836 | | | 3,030,031 | |
Electronic Equipment, Instruments & Components – 1.0% | | | |
| | Hexagon AB - Class B | | 634,678 | | | 7,814,637 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Entertainment – 1.9% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 104,059 | | | $7,833,562 | |
| | Netflix Inc* | | 9,039 | | | 3,981,589 | |
| | Nexon Co Ltd | | 124,800 | | | 2,376,113 | |
| | | 14,191,264 | |
Health Care Equipment & Supplies – 1.6% | | | |
| | Abbott Laboratories | | 30,366 | | | 3,310,501 | |
| | Boston Scientific Corp* | | 87,830 | | | 4,750,725 | |
| | Dentsply Sirona Inc | | 47,409 | | | 1,897,308 | |
| | Edwards Lifesciences Corp* | | 24,404 | | | 2,302,029 | |
| | | 12,260,563 | |
Health Care Providers & Services – 1.3% | | | |
| | Centene Corp* | | 51,225 | | | 3,455,126 | |
| | Humana Inc | | 9,708 | | | 4,340,738 | |
| | UnitedHealth Group Inc | | 4,638 | | | 2,229,208 | |
| | | 10,025,072 | |
Hotels, Restaurants & Leisure – 3.5% | | | |
| | Booking Holdings Inc* | | 3,255 | | | 8,789,574 | |
| | Entain PLC | | 411,176 | | | 6,641,218 | |
| | McDonald's Corp | | 37,489 | | | 11,187,093 | |
| | | 26,617,885 | |
Independent Power and Renewable Electricity Producers – 1.6% | | | |
| | RWE AG | | 68,753 | | | 2,990,892 | |
| | Vistra Energy Corp | | 359,685 | | | 9,441,731 | |
| | | 12,432,623 | |
Insurance – 2.7% | | | |
| | AIA Group Ltd | | 456,200 | | | 4,605,258 | |
| | Aon PLC - Class A | | 12,996 | | | 4,486,219 | |
| | Beazley PLC | | 273,076 | | | 2,042,357 | |
| | Intact Financial Corp | | 13,333 | | | 2,058,834 | |
| | Progressive Corp/The | | 56,879 | | | 7,529,073 | |
| | | 20,721,741 | |
Interactive Media & Services – 4.3% | | | |
| | Alphabet Inc - Class C* | | 164,776 | | | 19,932,953 | |
| | Meta Platforms Inc - Class A* | | 45,354 | | | 13,015,691 | |
| | | 32,948,644 | |
Life Sciences Tools & Services – 1.2% | | | |
| | Danaher Corp | | 14,618 | | | 3,508,320 | |
| | Thermo Fisher Scientific Inc | | 10,067 | | | 5,252,457 | |
| | | 8,760,777 | |
Machinery – 3.4% | | | |
| | Atlas Copco AB - Class A | | 634,580 | | | 9,146,569 | |
| | Deere & Co | | 19,802 | | | 8,023,572 | |
| | Parker-Hannifin Corp | | 21,830 | | | 8,514,573 | |
| | | 25,684,714 | |
Metals & Mining – 2.3% | | | |
| | Freeport-McMoRan Inc | | 118,853 | | | 4,754,120 | |
| | Rio Tinto PLC | | 57,784 | | | 3,658,046 | |
| | Teck Resources Ltd | | 215,799 | | | 9,080,958 | |
| | | 17,493,124 | |
Multiline Retail – 2.9% | | | |
| | Amazon.com Inc* | | 141,709 | | | 18,473,185 | |
| | JD.Com Inc - Class A | | 197,309 | | | 3,333,935 | |
| | | 21,807,120 | |
Oil, Gas & Consumable Fuels – 5.3% | | | |
| | Canadian Natural Resources Ltd# | | 137,980 | | | 7,758,380 | |
| | Cheniere Energy Inc | | 18,831 | | | 2,869,091 | |
| | ConocoPhillips | | 70,872 | | | 7,343,048 | |
| | EOG Resources Inc | | 51,284 | | | 5,868,941 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Oil, Gas & Consumable Fuels– (continued) | | | |
| | Marathon Petroleum Corp | | 72,005 | | | $8,395,783 | |
| | Suncor Energy Inc | | 170,838 | | | 5,011,902 | |
| | TotalEnergies SE | | 57,381 | | | 3,290,059 | |
| | | 40,537,204 | |
Personal Products – 1.6% | | | |
| | Unilever PLC | | 238,460 | | | 12,413,314 | |
Pharmaceuticals – 6.4% | | | |
| | AstraZeneca PLC | | 79,751 | | | 11,418,896 | |
| | Catalent Inc* | | 30,328 | | | 1,315,022 | |
| | Eli Lilly & Co | | 7,552 | | | 3,541,737 | |
| | Merck & Co Inc | | 78,263 | | | 9,030,768 | |
| | Novartis AG | | 59,533 | | | 5,987,897 | |
| | Novo Nordisk A/S | | 26,624 | | | 4,290,279 | |
| | Organon & Co | | 58,696 | | | 1,221,464 | |
| | Roche Holding AG | | 16,928 | | | 5,174,126 | |
| | Sanofi | | 44,639 | | | 4,782,872 | |
| | Zoetis Inc | | 12,622 | | | 2,173,635 | |
| | | 48,936,696 | |
Road & Rail – 0.8% | | | |
| | Uber Technologies Inc* | | 132,085 | | | 5,702,109 | |
Semiconductor & Semiconductor Equipment – 8.2% | | | |
| | Advanced Micro Devices Inc* | | 47,990 | | | 5,466,541 | |
| | ASML Holding NV | | 22,546 | | | 16,309,694 | |
| | Lam Research Corp | | 6,815 | | | 4,381,091 | |
| | Marvell Technology Inc | | 71,076 | | | 4,248,923 | |
| | NVIDIA Corp | | 43,045 | | | 18,208,896 | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 511,000 | | | 9,452,630 | |
| | Texas Instruments Inc | | 23,967 | | | 4,314,539 | |
| | | 62,382,314 | |
Software – 8.5% | | | |
| | Atlassian Corp - Class A* | | 7,155 | | | 1,200,681 | |
| | Autodesk Inc* | | 11,200 | | | 2,291,632 | |
| | Constellation Software Inc/Canada | | 1,355 | | | 2,807,753 | |
| | Microsoft Corp | | 123,959 | | | 42,212,998 | |
| | ServiceNow Inc* | | 3,789 | | | 2,129,304 | |
| | Synopsys Inc* | | 16,687 | | | 7,265,687 | |
| | Workday Inc - Class A* | | 28,994 | | | 6,549,455 | |
| | | 64,457,510 | |
Specialty Retail – 1.2% | | | |
| | O'Reilly Automotive Inc* | | 9,422 | | | 9,000,837 | |
Technology Hardware, Storage & Peripherals – 5.0% | | | |
| | Apple Inc | | 194,016 | | | 37,633,284 | |
Textiles, Apparel & Luxury Goods – 1.9% | | | |
| | LVMH Moet Hennessy Louis Vuitton SE | | 6,692 | | | 6,301,291 | |
| | Moncler SpA | | 40,699 | | | 2,812,708 | |
| | NIKE Inc - Class B | | 47,529 | | | 5,245,776 | |
| | | 14,359,775 | |
Trading Companies & Distributors – 1.8% | | | |
| | Ferguson PLC | | 87,938 | | | 13,857,384 | |
Wireless Telecommunication Services – 1.7% | | | |
| | T-Mobile US Inc* | | 93,866 | | | 13,037,987 | |
Total Common Stocks (cost $494,750,471) | | 751,233,214 | |
Preferred Stocks– 0.9% | | | |
Automobiles – 0.9% | | | |
| | Dr Ing hc F Porsche AG (144A)((cost $4,266,188) | | 53,105 | | | 6,590,974 | |
Private Placements– 0.1% | | | |
Health Care Providers & Services – 0.1% | | | |
| | API Holdings Private Ltd*,¢,§((cost $2,347,416) | | 3,231,470 | | | 1,149,651 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Investment Companies– 0% | | | |
Money Markets – 0% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $46,291) | | 46,282 | | | $46,291 | |
Investments Purchased with Cash Collateral from Securities Lending– 0.2% | | | |
Investment Companies – 0.2% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº,£ | | 1,169,000 | | | 1,169,000 | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 5.0600%, 7/3/23 | | $292,250 | | | 292,250 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $1,461,250) | | 1,461,250 | |
Total Investments (total cost $502,871,616) – 100.1% | | 760,481,380 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | | (579,218) | |
Net Assets – 100% | | $759,902,162 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $535,365,229 | | 70.4 | % |
France | | 42,399,118 | | 5.6 | |
United Kingdom | | 39,570,439 | | 5.2 | |
Canada | | 31,704,432 | | 4.2 | |
Netherlands | | 28,723,008 | | 3.8 | |
Sweden | | 16,961,206 | | 2.2 | |
Switzerland | | 11,162,023 | | 1.5 | |
Germany | | 9,581,866 | | 1.3 | |
Taiwan | | 9,452,630 | | 1.2 | |
Italy | | 8,698,002 | | 1.1 | |
Denmark | | 5,603,504 | | 0.7 | |
India | | 4,672,429 | | 0.6 | |
Hong Kong | | 4,605,258 | | 0.6 | |
Ireland | | 3,657,100 | | 0.5 | |
China | | 3,333,935 | | 0.4 | |
Belgium | | 2,615,088 | | 0.4 | |
Japan | | 2,376,113 | | 0.3 | |
| | | | | | |
| | | | | | |
Total | | $760,481,380 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 0.0% |
Money Markets - 0.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 9,557 | $ | (49) | $ | - | $ | 46,291 |
Investments Purchased with Cash Collateral from Securities Lending - 0.2% |
Investment Companies - 0.2% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 2,456∆ | | - | | - | | 1,169,000 |
Total Affiliated Investments - 0.2% | $ | 12,013 | $ | (49) | $ | - | $ | 1,215,291 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 0.0% |
Money Markets - 0.0% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 558,126 | | 15,093,339 | | (15,605,125) | | 46,291 |
Investments Purchased with Cash Collateral from Securities Lending - 0.2% |
Investment Companies - 0.2% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | - | | 16,139,830 | | (14,970,830) | | 1,169,000 |
| | | | | | | | | | |
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 | $ | 1,405,707 | $ | — | $ | (1,405,707) | $ | — |
| | | | | | | | | |
(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. |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
MSCI All Country World IndexSM | MSCI All Country World IndexSM reflects the equity market performance of global developed and emerging markets. |
MSCI World IndexSM | MSCI World IndexSM reflects the equity market performance of global developed markets. |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2023 is $6,590,974, which represents 0.9% of net assets. |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
# | Loaned security; a portion of the security is on loan at June 30, 2023. |
| | |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the period ended June 30, 2023 is $1,149,651, which represents 0.1% of net assets. |
| | |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
| | |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
| | | | | | | | | | | |
§ | Schedule of Restricted Securities (as of June 30, 2023) |
| | | | | | | | Value as a | |
| | Acquisition | | | | | | % of Net | |
| | Date | | Cost | | Value | | Assets | |
API Holdings Private Ltd | 9/27/21 | $ | 2,347,416 | $ | 1,149,651 | | 0.1 | % |
| | | | | | | | | |
| | | | | | | | | |
The Portfolio has registration rights for certain restricted securities held as of June 30, 2023. The issuer incurs all registration costs. | |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 751,233,214 | $ | - | $ | - |
Preferred Stocks | | 6,590,974 | | - | | - |
Private Placements | | - | | - | | 1,149,651 |
Investment Companies | | - | | 46,291 | | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 1,461,250 | | - |
Total Assets | $ | 757,824,188 | $ | 1,507,541 | $ | 1,149,651 |
| | | | | | | |
Janus Henderson VIT Global Research Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $501,656,325)(1) | | $ | 759,266,089 | |
| Affiliated investments, at value (cost $1,215,291) | | | 1,215,291 | |
| Cash denominated in foreign currency (cost $64,753) | | | 64,753 | |
| Trustees' deferred compensation | | | 19,309 | |
| Receivables: | | | | |
| | Investments sold | | | 1,743,832 | |
| | Dividends | | | 590,831 | |
| | Foreign tax reclaims | | | 437,883 | |
| | Portfolio shares sold | | | 69,259 | |
| | Dividends from affiliates | | | 1,470 | |
| Other assets | | | 17,846 | |
Total Assets | | | 763,426,563 | |
Liabilities: | | | | |
| Due to custodian | | | 503 | |
| Collateral for securities loaned (Note 2) | | | 1,461,250 | |
| Payables: | | | — | |
| | Investments purchased | | | 1,170,929 | |
| | Advisory fees | | | 343,590 | |
| | Portfolio shares repurchased | | | 339,082 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 47,229 | |
| | Transfer agent fees and expenses | | | 33,803 | |
| | Professional fees | | | 27,711 | |
| | Trustees' deferred compensation fees | | | 19,309 | |
| | Custodian fees | | | 5,957 | |
| | Trustees' fees and expenses | | | 4,550 | |
| | Foreign tax liability | | | 1,818 | |
| | Affiliated portfolio administration fees payable | | | 1,636 | |
| | Accrued expenses and other payables | | | 67,034 | |
Total Liabilities | | | 3,524,401 | |
Net Assets | | $ | 759,902,162 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 484,900,783 | |
| Total distributable earnings (loss) (includes $1,818 of foreign capital gains tax) | | | 275,001,379 | |
Total Net Assets | | $ | 759,902,162 | |
Net Assets - Institutional Shares | | $ | 540,565,476 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 9,580,540 | |
Net Asset Value Per Share | | $ | 56.42 | |
Net Assets - Service Shares | | $ | 219,336,686 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 4,022,737 | |
Net Asset Value Per Share | | $ | 54.52 | |
| |
(1) Includes $1,405,707 of securities on loan. See Note 2 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Research Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 6,979,286 | |
| Dividends from affiliates | | 9,557 | |
| Affiliated securities lending income, net | | 2,456 | |
| Unaffiliated securities lending income, net | | 476 | |
| Other income | | 375 | |
| Foreign tax withheld | | (431,259) | |
Total Investment Income | | 6,560,891 | |
Expenses: | | | |
| Advisory fees | | 1,893,058 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 260,280 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 127,377 | |
| | Service Shares | | 52,049 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 4,491 | |
| | Service Shares | | 1,166 | |
| Professional fees | | 37,291 | |
| Custodian fees | | 18,849 | |
| Shareholder reports expense | | 18,079 | |
| Affiliated portfolio administration fees | | 14,115 | |
| Trustees’ fees and expenses | | 9,316 | |
| Registration fees | | 6,351 | |
| Other expenses | | 61,931 | |
Total Expenses | | 2,504,353 | |
Net Investment Income/(Loss) | | 4,056,538 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 16,984,737 | |
| Investments in affiliates | | (49) | |
Total Net Realized Gain/(Loss) on Investments | | 16,984,688 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 89,675,136 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 89,675,136 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 110,716,362 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Global Research Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 4,056,538 | | $ | 6,731,428 | |
| Net realized gain/(loss) on investments | | 16,984,688 | | | 20,100,321 | |
| Change in unrealized net appreciation/depreciation | | 89,675,136 | | | (202,069,524) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 110,716,362 | | | (175,237,775) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (17,640,366) | | | (63,786,707) | |
| | Service Shares | | (7,198,323) | | | (26,449,252) | |
Net Decrease from Dividends and Distributions to Shareholders | | (24,838,689) | | | (90,235,959) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (2,761,475) | | | 16,928,478 | |
| | Service Shares | | (4,915,806) | | | 17,471,980 | |
Net Increase/(Decrease) from Capital Share Transactions | | (7,677,281) | | | 34,400,458 | |
Net Increase/(Decrease) in Net Assets | | 78,200,392 | | | (231,073,276) | |
Net Assets: | | | | | | |
| Beginning of period | | 681,701,770 | | | 912,775,046 | |
| End of period | $ | 759,902,162 | | $ | 681,701,770 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 15 |
Janus Henderson VIT Global Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $50.02 | | | $71.28 | | | $63.62 | | | $56.59 | | | $47.13 | | | $51.20 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.32 | | | 0.53 | | | 0.39 | | | 0.39 | | | 0.60 | | | 0.62 | |
| | Net realized and unrealized gain/(loss) | | 7.98 | | | (14.52) | | | 10.90 | | | 10.04 | | | 12.67 | | | (4.09) | |
| Total from Investment Operations | | 8.30 | | | (13.99) | | | 11.29 | | | 10.43 | | | 13.27 | | | (3.47) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.31) | | | (0.60) | | | (0.36) | | | (0.41) | | | (0.54) | | | (0.60) | |
| | Distributions (from capital gains) | | (1.59) | | | (6.67) | | | (3.27) | | | (2.99) | | | (3.27) | | | — | |
| Total Dividends and Distributions | | (1.90) | | | (7.27) | | | (3.63) | | | (3.40) | | | (3.81) | | | (0.60) | |
| Net Asset Value, End of Period | | $56.42 | | | $50.02 | | | $71.28 | | | $63.62 | | | $56.59 | | | $47.13 | |
| Total Return* | | 16.65% | | | (19.41)% | | | 18.09% | | | 20.06% | | | 29.04% | | | (6.87)% | |
| Net Assets, End of Period (in thousands) | | $540,565 | | | $482,188 | | | $653,853 | | | $600,868 | | | $539,915 | | | $463,402 | |
| Average Net Assets for the Period (in thousands) | | $513,187 | | | $529,234 | | | $636,425 | | | $516,468 | | | $511,859 | | | $533,418 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.63% | | | 0.64% | | | 0.77% | | | 0.84% | | | 0.79% | | | 0.60% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.63% | | | 0.64% | | | 0.77% | | | 0.84% | | | 0.79% | | | 0.60% | |
| | Ratio of Net Investment Income/(Loss) | | 1.20% | | | 0.98% | | | 0.57% | | | 0.72% | | | 1.13% | | | 1.19% | |
| Portfolio Turnover Rate | | 12% | | | 32% | | | 20% | | | 33% | | | 36% | | | 36% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
16 | JUNE 30, 2023 |
Janus Henderson VIT Global Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $48.41 | | | $69.31 | | | $62.00 | | | $55.27 | | | $46.15 | | | $50.17 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.25 | | | 0.38 | | | 0.21 | | | 0.25 | | | 0.45 | | | 0.48 | |
| | Net realized and unrealized gain/(loss) | | 7.70 | | | (14.11) | | | 10.62 | | | 9.77 | | | 12.39 | | | (4.00) | |
| Total from Investment Operations | | 7.95 | | | (13.73) | | | 10.83 | | | 10.02 | | | 12.84 | | | (3.52) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.25) | | | (0.50) | | | (0.25) | | | (0.30) | | | (0.45) | | | (0.50) | |
| | Distributions (from capital gains) | | (1.59) | | | (6.67) | | | (3.27) | | | (2.99) | | | (3.27) | | | — | |
| Total Dividends and Distributions | | (1.84) | | | (7.17) | | | (3.52) | | | (3.29) | | | (3.72) | | | (0.50) | |
| Net Asset Value, End of Period | | $54.52 | | | $48.41 | | | $69.31 | | | $62.00 | | | $55.27 | | | $46.15 | |
| Total Return* | | 16.49% | | | (19.61)% | | | 17.80% | | | 19.76% | | | 28.71% | | | (7.08)% | |
| Net Assets, End of Period (in thousands) | | $219,337 | | | $199,513 | | | $258,922 | | | $235,787 | | | $214,425 | | | $180,168 | |
| Average Net Assets for the Period (in thousands) | | $209,740 | | | $215,111 | | | $248,792 | | | $206,127 | | | $198,883 | | | $206,497 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.88% | | | 0.89% | | | 1.02% | | | 1.09% | | | 1.04% | | | 0.85% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.88% | | | 0.89% | | | 1.02% | | | 1.09% | | | 1.04% | | | 0.85% | |
| | Ratio of Net Investment Income/(Loss) | | 0.95% | | | 0.73% | | | 0.32% | | | 0.47% | | | 0.88% | | | 0.94% | |
| Portfolio Turnover Rate | | 12% | | | 32% | | | 20% | | | 33% | | | 36% | | | 36% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* 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 | 17 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Research Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2023.
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.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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.
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
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 June 30, 2023, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $1,405,707. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2023 is $1,461,250, resulting in the net amount due to the counterparty of $55,543.
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 Offsetting Assets and Liabilities table located in the Schedule of Investments 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.
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.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
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 period ended June 30, 2023, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.53%.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 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 period ended June 30, 2023, the Portfolio engaged in cross trades amounting to $31,220 in sales, resulting in a net realized loss of $4,221. The net realized loss is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 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) |
$ 504,052,315 | $275,964,908 | $(19,535,843) | $ 256,429,065 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 75,747 | $ 4,114,104 | | 161,352 | $ 9,671,194 |
Reinvested dividends and distributions | 317,330 | 17,640,366 | | 1,295,052 | 63,786,707 |
Shares repurchased | (451,589) | (24,515,945) | | (989,945) | (56,529,423) |
Net Increase/(Decrease) | (58,512) | $(2,761,475) | | 466,459 | $16,928,478 |
Service Shares: | | | | | |
Shares sold | 70,307 | $ 3,729,112 | | 263,433 | $14,579,709 |
Reinvested dividends and distributions | 133,997 | 7,198,323 | | 554,610 | 26,449,252 |
Shares repurchased | (302,829) | (15,843,241) | | (432,505) | (23,556,981) |
Net Increase/(Decrease) | (98,525) | $(4,915,806) | | 385,538 | $17,471,980 |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$85,921,128 | $ 114,288,803 | $ - | $ - |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update 2022-03: Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”) in June 2022. The new guidance in the ASU clarifies existing guidance in ASC 820 related to the fair value measurement of an equity security subject to contractual sale restrictions with the intent to reduce diversity in interpretation. Under the guidance, a contractual restriction on the sale of an equity security would not be considered when measuring fair value as such restriction is not treated as part of the equity security’s unit of account. The amendments would be applied prospectively on or after adoption date to equity securities with a
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
contract containing a sale restriction that is executed or modified after such date. The effective date set by the FASB is December 15, 2023, with early adoption permitted. The Adviser is currently evaluating whether to early adopt and does not anticipate it to have a material impact on the Fund.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Global Research Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Global Research Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Notes
NotesPage1
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Global Sustainable Equity Portfolio |
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| | Janus Aspen Series |
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| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Global Sustainable Equity Portfolio
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Aaron Scully co-portfolio manager | 
Hamish Chamberlayne co-portfolio manager |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Global Sustainable Equity Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| NVIDIA Corp | 3.00% | | 1.78% | | Humana Inc | 3.03% | | -0.87% |
| Microsoft Corp | 6.25% | | 0.62% | | AIA Group Ltd | 2.30% | | -0.55% |
| Lam Research Corp | 1.80% | | 0.56% | | Innergex Renewable Energy Inc | 1.30% | | -0.55% |
| Knorr-Bremse AG | 1.97% | | 0.45% | | Boralex Inc - Class A | 2.12% | | -0.53% |
| IPG Photonics Corp | 1.75% | | 0.44% | | DS Smith PLC | 1.90% | | -0.52% |
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| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Information Technology | | 1.70% | | 34.61% | 20.90% |
| Industrials | | 1.49% | | 17.37% | 10.82% |
| Health Care | | 1.14% | | 8.52% | 13.50% |
| Energy | | 1.06% | | 0.00% | 5.08% |
| Consumer Staples | | 0.91% | | 0.45% | 7.70% |
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| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI World Index |
| | | Contribution | | Average Weight | Average Weight |
| Consumer Discretionary | | -1.91% | | 6.23% | 10.58% |
| Communication Services | | -1.45% | | 3.53% | 6.88% |
| Utilities | | -0.60% | | 5.54% | 2.97% |
| Other** | | -0.31% | | 2.65% | 0.00% |
| Materials | | -0.10% | | 1.90% | 4.39% |
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| 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 Global Sustainable Equity Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 7.0% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 3.9% |
Wabtec Corp | |
Machinery | 3.5% |
Xylem Inc/NY | |
Machinery | 3.2% |
Aon PLC - Class A | |
Insurance | 3.1% |
| | 20.7% |
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Asset Allocation - (% of Net Assets) | |
Common Stocks | | 96.4% | |
Investment Companies | | 4.1% | |
Other | | (0.5)% |
| | | 100.0% |
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Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
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Janus Henderson VIT Global Sustainable Equity Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ | Net Annual Fund
Operating Expenses‡ |
Institutional Shares | | 17.18% | 20.04% | 0.16% | | | 4.91% | 0.87% |
Service Shares | | 17.16% | 20.04% | 0.16% | | | 5.13% | 1.12% |
MSCI World Index | | 15.09% | 18.51% | 1.49% | | | | |
Morningstar Quartile - Institutional Shares | | - | 2nd | 2nd | | | | |
Morningstar Ranking - based on total returns for World Large Stock Funds | | - | 126/360 | 93/359 | | | | |
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.
For certain periods, the Portfolio’s performance may reflect the effects of expense waivers.
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.
© 2023 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.”
*The Portfolio’s inception date – January 26, 2022
Janus Henderson VIT Global Sustainable Equity Portfolio (unaudited)
Performance
‡ As stated in the prospectus. Net expense ratios reflect the expense waiver, if any, contractually agreed to for at least a one-year period commencing on April 28, 2023. This contractual waiver may be terminated or modified only at the discretion of the Portfolio's Board of Trustees. Certain expenses waived or reimbursed during the first three years of operation may be recovered within three years of such waiver or reimbursement amount, if the expense ratio falls below certain limits. See Financial Highlights for actual expense ratios during the reporting period.
Janus Henderson VIT Global Sustainable Equity 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
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,171.80 | $4.90 | | $1,000.00 | $1,020.28 | $4.56 | 0.91% |
Service Shares | $1,000.00 | $1,171.60 | $5.01 | | $1,000.00 | $1,020.18 | $4.66 | 0.93% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Global Sustainable Equity Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 96.4% | | | |
Auto Components – 1.7% | | | |
| | Aptiv PLC* | | 902 | | | $92,085 | |
Building Products – 1.2% | | | |
| | Advanced Drainage Systems Inc | | 582 | | | 66,220 | |
Containers & Packaging – 1.5% | | | |
| | DS Smith PLC | | 24,787 | | | 85,547 | |
Diversified Financial Services – 3.8% | | | |
| | Mastercard Inc | | 338 | | | 132,935 | |
| | Walker & Dunlop Inc | | 982 | | | 77,666 | |
| | | 210,601 | |
Electric Utilities – 2.1% | | | |
| | SSE PLC | | 4,979 | | | 116,394 | |
Electrical Equipment – 5.9% | | | |
| | Legrand SA | | 1,437 | | | 142,366 | |
| | Nidec Corp | | 700 | | | 38,061 | |
| | Schneider Electric SE | | 838 | | | 152,201 | |
| | | 332,628 | |
Electronic Equipment, Instruments & Components – 10.9% | | | |
| | IPG Photonics Corp* | | 778 | | | 105,668 | |
| | Keyence Corp | | 200 | | | 94,053 | |
| | Keysight Technologies Inc* | | 487 | | | 81,548 | |
| | Murata Manufacturing Co Ltd | | 1,700 | | | 97,042 | |
| | Shimadzu Corp | | 3,100 | | | 95,140 | |
| | TE Connectivity Ltd | | 995 | | | 139,459 | |
| | | 612,910 | |
Entertainment – 1.2% | | | |
| | Nintendo Co Ltd | | 1,500 | | | 68,014 | |
Food Products – 0.5% | | | |
| | McCormick & Co Inc/MD | | 286 | | | 24,948 | |
Health Care Equipment & Supplies – 1.6% | | | |
| | Nanosonics Ltd* | | 4,997 | | | 15,775 | |
| | Olympus Corp | | 4,500 | | | 70,675 | |
| | | 86,450 | |
Health Care Providers & Services – 4.6% | | | |
| | Encompass Health Corp | | 1,695 | | | 114,768 | |
| | Humana Inc | | 325 | | | 145,317 | |
| | | 260,085 | |
Independent Power and Renewable Electricity Producers – 2.9% | | | |
| | Boralex Inc - Class A | | 3,841 | | | 104,594 | |
| | Innergex Renewable Energy Inc | | 6,217 | | | 57,918 | |
| | | 162,512 | |
Industrial Real Estate Investment Trusts (REITs) – 1.1% | | | |
| | Prologis Inc | | 516 | | | 63,277 | |
Insurance – 12.4% | | | |
| | AIA Group Ltd | | 11,000 | | | 111,043 | |
| | Aon PLC - Class A | | 502 | | | 173,290 | |
| | Intact Financial Corp | | 949 | | | 146,541 | |
| | Marsh & McLennan Cos Inc | | 705 | | | 132,596 | |
| | Progressive Corp/The | | 1,004 | | | 132,900 | |
| | | 696,370 | |
Leisure Products – 1.2% | | | |
| | Shimano Inc | | 400 | | | 66,426 | |
Life Sciences Tools & Services – 2.6% | | | |
| | ICON PLC* | | 573 | | | 143,365 | |
Machinery – 8.8% | | | |
| | Knorr-Bremse AG | | 1,569 | | | 119,801 | |
| | Wabtec Corp | | 1,782 | | | 195,432 | |
| | Xylem Inc/NY | | 1,599 | | | 180,079 | |
| | | 495,312 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Professional Services – 1.7% | | | |
| | Wolters Kluwer NV | | 769 | | | $97,582 | |
Semiconductor & Semiconductor Equipment – 12.4% | | | |
| | ASML Holding NV | | 151 | | | 109,233 | |
| | Lam Research Corp | | 178 | | | 114,429 | |
| | Microchip Technology Inc | | 1,325 | | | 118,707 | |
| | NVIDIA Corp | | 519 | | | 219,547 | |
| | Texas Instruments Inc | | 727 | | | 130,875 | |
| | | 692,791 | |
Software – 11.6% | | | |
| | Atlassian Corp - Class A* | | 149 | | | 25,004 | |
| | Autodesk Inc* | | 458 | | | 93,711 | |
| | Cadence Design Systems Inc* | | 315 | | | 73,874 | |
| | Linklogis Inc - Class B (144A) | | 23,500 | | | 8,368 | |
| | Microsoft Corp | | 1,147 | | | 390,599 | |
| | Workday Inc - Class A* | | 264 | | | 59,635 | |
| | | 651,191 | |
Specialized Real Estate Investment Trusts (REITs) – 1.9% | | | |
| | Crown Castle International Corp | | 427 | | | 48,652 | |
| | Equinix Inc | | 74 | | | 58,012 | |
| | | 106,664 | |
Specialty Retail – 1.1% | | | |
| | Home Depot Inc | | 196 | | | 60,885 | |
Textiles, Apparel & Luxury Goods – 1.8% | | | |
| | adidas AG | | 258 | | | 50,046 | |
| | NIKE Inc - Class B | | 473 | | | 52,205 | |
| | | 102,251 | |
Wireless Telecommunication Services – 1.9% | | | |
| | T-Mobile US Inc* | | 782 | | | 108,620 | |
Total Common Stocks (cost $5,196,085) | | 5,403,128 | |
Investment Companies– 4.1% | | | |
Money Markets – 4.1% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $228,710) | | 228,670 | | | 228,715 | |
Total Investments (total cost $5,424,795) – 100.5% | | 5,631,843 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.5)% | | (25,940) | |
Net Assets – 100% | | $5,605,903 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $3,641,658 | | 64.7 | % |
Japan | | 529,411 | | 9.4 | |
Canada | | 309,053 | | 5.5 | |
France | | 294,567 | | 5.2 | |
Netherlands | | 206,815 | | 3.7 | |
United Kingdom | | 201,941 | | 3.6 | |
Germany | | 169,847 | | 3.0 | |
Ireland | | 143,365 | | 2.5 | |
Hong Kong | | 111,043 | | 2.0 | |
Australia | | 15,775 | | 0.3 | |
China | | 8,368 | | 0.1 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 4.1% |
Money Markets - 4.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 4,058 | $ | 8 | $ | (8) | $ | 228,715 |
| |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 4.1% |
Money Markets - 4.1% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 133,729 | | 598,625 | | (503,639) | | 228,715 |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
MSCI World IndexSM | MSCI World IndexSM reflects the equity market performance of global developed markets. |
| | |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2023 is $8,368, which represents 0.1% of net assets. |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
£ | 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. |
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 5,403,128 | $ | - | $ | - |
Investment Companies | | - | | 228,715 | | - |
Total Assets | $ | 5,403,128 | $ | 228,715 | $ | - |
| | | | | | | |
Janus Henderson VIT Global Sustainable Equity Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $5,196,085) | | $ | 5,403,128 | |
| Affiliated investments, at value (cost $228,710) | | | 228,715 | |
| Cash denominated in foreign currency (cost $6,906) | | | 6,906 | |
| Trustees' deferred compensation | | | 142 | |
| Receivables: | | | | |
| | Due from adviser | | | 17,265 | |
| | Dividends | | | 2,784 | |
| | Dividends from affiliates | | | 1,134 | |
| | Foreign tax reclaims | | | 282 | |
| | Portfolio shares sold | | | 53 | |
| Other assets | | | 17 | |
Total Assets | | | 5,660,426 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Professional fees | | | 28,235 | |
| | Advisory fees | | | 3,492 | |
| | Custodian fees | | | 1,515 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 613 | |
| | Transfer agent fees and expenses | | | 378 | |
| | Trustees' deferred compensation fees | | | 142 | |
| | Trustees' fees and expenses | | | 29 | |
| | Portfolio shares repurchased | | | 24 | |
| | Affiliated portfolio administration fees payable | | | 12 | |
| | Accrued expenses and other payables | | | 20,083 | |
Total Liabilities | | | 54,523 | |
Net Assets | | $ | 5,605,903 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 5,582,570 | |
| Total distributable earnings (loss) | | | 23,333 | |
Total Net Assets | | $ | 5,605,903 | |
Net Assets - Institutional Shares | | $ | 2,657,420 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 266,844 | |
Net Asset Value Per Share | | $ | 9.96 | |
Net Assets - Service Shares | | $ | 2,948,483 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 295,871 | |
Net Asset Value Per Share | | $ | 9.97 | |
| | |
See Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: |
| Dividends | $ | 36,082 | |
| Dividends from affiliates | | 4,058 | |
| Other income | | 56 | |
| Foreign tax withheld | | (2,449) | |
Total Investment Income | | 37,747 | |
Expenses: | | | |
| Advisory fees | | 18,290 | |
| 12b-1 Distribution and shareholder servicing fees: |
| | Service Shares | | 321 | |
| Transfer agent administrative fees and expenses: | | |
| | Institutional Shares | | 583 | |
| | Service Shares | | 636 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 204 | |
| | Service Shares | | 221 | |
| Registration fees | | 23,351 | |
| Professional fees | | 22,583 | |
| Pricing valuation fees | | 21,062 | |
| Non-affiliated portfolio administration fees | | 20,667 | |
| Shareholder reports expense | | 7,370 | |
| Custodian fees | | 3,493 | |
| Affiliated portfolio administration fees | | 97 | |
| Trustees’ fees and expenses | | 62 | |
| Other expenses | | 835 | |
Total Expenses | | 119,775 | |
Less: Excess Expense Reimbursement and Waivers | | (97,332) | |
Net Expenses | | 22,443 | |
Net Investment Income/(Loss) | | 15,304 | |
Net Realized Gain/(Loss) on Investments: |
| Investments and foreign currency transactions | | (37,547) | |
| Investments in affiliates | | 8 | |
Total Net Realized Gain/(Loss) on Investments | (37,539) | |
Change in Unrealized Net Appreciation/Depreciation: |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 792,271 | |
| Investments in affiliates | | (8) | |
Total Change in Unrealized Net Appreciation/Depreciation | 792,263 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 770,028 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Period ended
December 31, 2022(1) | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 15,304 | | $ | 19,365 | |
| Net realized gain/(loss) on investments | | (37,539) | | | (156,602) | |
| Change in unrealized net appreciation/depreciation | | 792,263 | | | (585,208) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 770,028 | | | (722,445) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | — | | | (13,979) | |
| | Service Shares | | — | | | (12,468) | |
Net Decrease from Dividends and Distributions to Shareholders | | — | | | (26,447) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | 147,774 | | | 2,513,980 | |
| | Service Shares | | 283,617 | | | 2,639,396 | |
Net Increase/(Decrease) from Capital Share Transactions | | 431,391 | | | 5,153,376 | |
Net Increase/(Decrease) in Net Assets | | 1,201,419 | | | 4,404,484 | |
Net Assets: | | | | | | |
| Beginning of period | | 4,404,484 | | | — | |
| End of period | $ | 5,605,903 | | $ | 4,404,484 | |
| | | | | | | | |
| |
(1) Period from January 26, 2022 (inception date) through December 31, 2022. |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Financial Highlights
| | | | | | | | | | |
Institutional Shares | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the period ended December 31, 2022 | 2023 | | | 2022(1) | |
| Net Asset Value, Beginning of Period | | $8.50 | | | $10.00 | |
| Income/(Loss) from Investment Operations: | | | | | | |
| | Net investment income/(loss)(2) | | 0.03 | | | 0.04 | |
| | Net realized and unrealized gain/(loss) | | 1.43 | | | (1.48) | |
| Total from Investment Operations | | 1.46 | | | (1.44) | |
| Less Dividends and Distributions: | | | | | | |
| | Dividends (from net investment income) | | — | | | (0.06) | |
| Total Dividends and Distributions | | — | | | (0.06) | |
| Net Asset Value, End of Period | | $9.96 | | | $8.50 | |
| Total Return* | | 17.18% | | | (14.46)% | |
| Net Assets, End of Period (in thousands) | | $2,657 | | | $2,140 | |
| Average Net Assets for the Period (in thousands) | | $2,347 | | | $2,254 | |
| Ratios to Average Net Assets**: | | | | | | |
| | Ratio of Gross Expenses | | 4.90% | | | 4.91% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.91% | | | 0.93% | |
| | Ratio of Net Investment Income/(Loss) | | 0.64% | | | 0.47% | |
| Portfolio Turnover Rate | | 7% | | | 15% | |
| | | | | | | | | | |
| |
* 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) Period from January 26, 2022 (inception date) through December 31, 2022. (2) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Financial Highlights
| | | | | | | | | | |
Service Shares | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the period ended December 31, 2022 | 2023 | | | 2022(1) | |
| Net Asset Value, Beginning of Period | | $8.51 | | | $10.00 | |
| Income/(Loss) from Investment Operations: | | | | | | |
| | Net investment income/(loss)(2) | | 0.03 | | | 0.04 | |
| | Net realized and unrealized gain/(loss) | | 1.43 | | | (1.48) | |
| Total from Investment Operations | | 1.46 | | | (1.44) | |
| Less Dividends and Distributions: | | | | | | |
| | Dividends (from net investment income) | | — | | | (0.05) | |
| Total Dividends and Distributions | | — | | | (0.05) | |
| Net Asset Value, End of Period | | $9.97 | | | $8.51 | |
| Total Return* | | 17.16% | | | (14.44)% | |
| Net Assets, End of Period (in thousands) | | $2,948 | | | $2,265 | |
| Average Net Assets for the Period (in thousands) | | $2,559 | | | $2,303 | |
| Ratios to Average Net Assets**: | | | | | | |
| | Ratio of Gross Expenses | | 4.94% | | | 4.91% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.93% | | | 0.95% | |
| | Ratio of Net Investment Income/(Loss) | | 0.62% | | | 0.44% | |
| Portfolio Turnover Rate | | 7% | | | 15% | |
| | | | | | | | | | |
| |
* 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) Period from January 26, 2022 (inception date) through December 31, 2022. (2) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Sustainable Equity 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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.
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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 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 $2 Billion | 0.75 |
Over $2 Billion | 0.70 |
The Portfolio’s actual investment advisory fee rate for the reporting period was 0.75% of average annual net assets before any applicable waivers.
The Adviser has contractually agreed to waive the investment advisory fee and/or reimburse operating expenses to the extent that the Portfolio’s total annual fund operating expenses, excluding the fees payable pursuant to a Rule 12b-1 plan, shareholder servicing fees, such as transfer agency fees, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed 0.80% of the Portfolio’s average daily net assets for at least a one-year period commencing on April 28, 2023. The previous expense limit (for the one-year period commencing April 29, 2022) was 0.85%. 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.
For a period of three years subsequent to the Portfolio’s commencement of operations, or until the Portfolio’s assets meet the first breakpoint in the investment advisory fee schedule, whichever occurs first, the Adviser may recover from the Portfolio fees and expenses previously waived or reimbursed, if the Portfolio’s expense ratio, including recovered expenses, falls below the expense limit. If applicable, this amount is disclosed as “Recoupment expense” on the Statement of Operations. During the period ended June 30, 2023, the Adviser reimbursed the Portfolio $97,332 of fees and expense that are eligible for recoupment. As of June 30, 2023, the aggregate amount of recoupment that may potentially be made to the Adviser is $265,914. The recoupment of such reimbursements expires at the latest January 26, 2025.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
As of June 30, 2023, shares of the Portfolio were owned by affiliates of the Adviser, and/or other funds advised by the Adviser, as indicated in the table below:
| | | | | | |
Class | % of Class Owned | | % of Portfolio Owned | | |
Institutional Shares | 94 | % | 45 | % | |
Service Shares | 85 | | 45 | | |
| | | | | | |
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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 period ended December 31, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $ (161,227) | $ - | $ (161,227) | | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 are noted below. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$ 5,425,176 | $ 537,265 | $ (330,598) | $ 206,667 |
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Period ended December 31, 2022(1) |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 15,283 | $148,063 | | 250,000 | $2,500,001 |
Reinvested dividends and distributions | - | - | | 1,590 | 13,979 |
Shares repurchased | (29) | (289) | | - | - |
Net Increase/(Decrease) | 15,254 | $147,774 | | 251,590 | $2,513,980 |
Service Shares: | | | | | |
Shares sold | 32,672 | $311,313 | | 269,110 | $2,665,640 |
Reinvested dividends and distributions | - | - | | 1,418 | 12,468 |
Shares repurchased | (2,908) | (27,696) | | (4,421) | (38,712) |
Net Increase/(Decrease) | 29,764 | $283,617 | | 266,107 | $2,639,396 |
(1) | Period from January 26, 2022 (inception date) through December 31, 2022. |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$ 644,738 | $ 335,551 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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 Sustainable Equity 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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Global Sustainable Equity Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Global Sustainable Equity Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Global Sustainable Equity Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Global Sustainable Equity Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Global Sustainable Equity Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Global Sustainable Equity Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Global Sustainable Equity Portfolio
Notes
NotesPage1
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Global Technology and Innovation Portfolio |
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| | Janus Aspen Series |
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| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Global Technology and Innovation Portfolio
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Jonathan Cofsky co-portfolio manager | 
Denny Fish co-portfolio manager |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Meta Platforms Inc - Class A | 2.10% | | 1.61% | | Apple Inc | 5.89% | | -1.77% |
| Advanced Micro Devices Inc | 3.03% | | 0.70% | | CoStar Group Inc | 3.06% | | -0.88% |
| Visa Inc | 0.63% | | 0.54% | | NVIDIA Corp | 4.22% | | -0.78% |
| Lam Research Corp | 3.15% | | 0.45% | | Mastercard Inc | 4.46% | | -0.57% |
| Amazon.com Inc | 1.52% | | 0.29% | | T-Mobile US Inc | 1.30% | | -0.57% |
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| 4 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World Information Technology Index |
| | | Contribution | | Average Weight | Average Weight |
| Information Technology | | 1.92% | | 79.93% | 96.16% |
| Communication Services | | 0.85% | | 6.04% | 0.00% |
| Financials | | 0.57% | | 3.14% | 3.20% |
| Consumer Discretionary | | 0.52% | | 2.91% | 0.10% |
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| 3 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World Information Technology Index |
| | | Contribution | | Average Weight | Average Weight |
| Other** | | -1.29% | | 3.30% | 0.00% |
| Industrials | | -0.97% | | 4.32% | 0.54% |
| Real Estate | | -0.06% | | 0.36% | 0.00% |
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| 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 Global Technology and Innovation Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 11.9% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 6.6% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 6.0% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 5.1% |
Taiwan Semiconductor Manufacturing Co Ltd | |
Semiconductor & Semiconductor Equipment | 4.8% |
| | 34.4% |
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Asset Allocation - (% of Net Assets) | |
Common Stocks | | 95.5% | |
Investment Companies | | 3.8% | |
Private Placements | | 0.7% | |
Warrants | | 0.0% | |
Other | | 0.0% |
| | | 100.0% |
Emerging markets comprised 6.2% of total net assets.
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Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
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Janus Henderson VIT Global Technology and Innovation Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 38.10% | 37.84% | 14.87% | 18.39% | 5.88% | | | 0.72% |
Service Shares | | 37.94% | 37.42% | 14.60% | 18.08% | 5.61% | | | 0.97% |
S&P 500 Index | | 16.89% | 19.59% | 12.31% | 12.86% | 6.89% | | | |
MSCI All Country World Information Technology Index | | 36.90% | 34.28% | 17.71% | 18.66% | 5.51%** | | | |
Morningstar Quartile - Institutional Shares | | - | 1st | 2nd | 2nd | 2nd | | | |
Morningstar Ranking - based on total returns for Technology Funds | | - | 38/277 | 66/209 | 61/179 | 48/110 | | | |
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.
For certain periods, the Portfolio’s performance may reflect the effects of expense waivers.
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.
© 2023 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 Global Technology and Innovation Portfolio (unaudited)
Performance
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – January 18, 2000
** 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.
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| | | Actual | | Hypothetical
(5% return before expenses) | |
| Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,381.00 | $4.37 | | $1,000.00 | $1,021.12 | $3.71 | 0.74% |
Service Shares | $1,000.00 | $1,379.40 | $5.78 | | $1,000.00 | $1,019.93 | $4.91 | 0.98% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 95.5% | | | |
Aerospace & Defense – 0.4% | | | |
| | Axon Enterprise Inc* | | 17,354 | | | $3,386,112 | |
Automobiles – 0.2% | | | |
| | Tesla Inc* | | 6,179 | | | 1,617,477 | |
Diversified Financial Services – 3.7% | | | |
| | Adyen NV (144A)* | | 2,497 | | | 4,320,458 | |
| | Mastercard Inc | | 55,511 | | | 21,832,476 | |
| | Visa Inc | | 15,672 | | | 3,721,787 | |
| | | 29,874,721 | |
Electronic Equipment, Instruments & Components – 1.0% | | | |
| | Amphenol Corp | | 89,411 | | | 7,595,464 | |
| | E Ink Holdings Inc | | 131,000 | | | 946,593 | |
| | | 8,542,057 | |
Information Technology Services – 0.8% | | | |
| | MongoDB Inc* | | 3,108 | | | 1,277,357 | |
| | Snowflake Inc - Class A* | | 29,379 | | | 5,170,116 | |
| | | 6,447,473 | |
Interactive Media & Services – 5.1% | | | |
| | Alphabet Inc - Class C* | | 191,748 | | | 23,195,756 | |
| | Meta Platforms Inc - Class A* | | 64,982 | | | 18,648,534 | |
| | | 41,844,290 | |
Multiline Retail – 4.2% | | | |
| | Amazon.com Inc* | | 184,921 | | | 24,106,302 | |
| | MercadoLibre Inc* | | 8,461 | | | 10,022,901 | |
| | | 34,129,203 | |
Professional Services – 3.7% | | | |
| | Ceridian HCM Holding Inc* | | 71,003 | | | 4,755,071 | |
| | CoStar Group Inc* | | 232,518 | | | 20,694,102 | |
| | Paylocity Holding Corp* | | 25,225 | | | 4,654,769 | |
| | | 30,103,942 | |
Semiconductor & Semiconductor Equipment – 34.4% | | | |
| | Advanced Micro Devices Inc* | | 151,606 | | | 17,269,439 | |
| | Analog Devices Inc | | 115,941 | | | 22,586,466 | |
| | Applied Materials Inc | | 89,758 | | | 12,973,621 | |
| | ASML Holding NV | | 67,410 | | | 48,764,149 | |
| | KLA Corp | | 48,598 | | | 23,571,002 | |
| | Lam Research Corp | | 40,336 | | | 25,930,401 | |
| | Lattice Semiconductor Corp* | | 32,992 | | | 3,169,541 | |
| | Marvell Technology Inc | | 196,795 | | | 11,764,405 | |
| | NVIDIA Corp | | 98,344 | | | 41,601,479 | |
| | NXP Semiconductors NV | | 29,541 | | | 6,046,452 | |
| | ON Semiconductor Corp* | | 56,474 | | | 5,341,311 | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 2,124,000 | | | 39,290,385 | |
| | Texas Instruments Inc | | 124,995 | | | 22,501,600 | |
| | | 280,810,251 | |
Software – 34.1% | | | |
| | Adobe Inc* | | 45,926 | | | 22,457,355 | |
| | Atlassian Corp - Class A* | | 108,526 | | | 18,211,748 | |
| | Cadence Design Systems Inc* | | 56,844 | | | 13,331,055 | |
| | CCC Intelligent Solutions Holdings Inc* | | 840,075 | | | 9,417,241 | |
| | Constellation Software Inc/Canada | | 9,699 | | | 20,097,710 | |
| | Dynatrace Inc* | | 116,451 | | | 5,993,733 | |
| | HubSpot Inc* | | 2,338 | | | 1,244,026 | |
| | Intuit Inc | | 8,709 | | | 3,990,377 | |
| | Lumine Group Inc* | | 192,812 | | | 2,644,869 | |
| | Microsoft Corp | | 284,456 | | | 96,868,646 | |
| | Nice Ltd (ADR)* | | 33,421 | | | 6,901,436 | |
| | Pagerduty Inc* | | 142,045 | | | 3,193,172 | |
| | Palo Alto Networks Inc* | | 20,454 | | | 5,226,201 | |
| | Procore Technologies Inc* | | 69,544 | | | 4,525,228 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Software– (continued) | | | |
| | ServiceNow Inc* | | 17,262 | | | $9,700,726 | |
| | Synopsys Inc* | | 15,473 | | | 6,737,099 | |
| | Tyler Technologies Inc* | | 34,029 | | | 14,172,058 | |
| | Workday Inc - Class A* | | 147,507 | | | 33,320,356 | |
| | | 278,033,036 | |
Specialized Real Estate Investment Trusts (REITs) – 0.3% | | | |
| | Equinix Inc | | 3,443 | | | 2,699,105 | |
Technology Hardware, Storage & Peripherals – 6.6% | | | |
| | Apple Inc | | 275,878 | | | 53,512,056 | |
Wireless Telecommunication Services – 1.0% | | | |
| | T-Mobile US Inc* | | 61,595 | | | 8,555,545 | |
Total Common Stocks (cost $453,908,824) | | 779,555,268 | |
Private Placements– 0.7% | | | |
Professional Services – 0.1% | | | |
| | Apartment List Inc*,¢,§ | | 485,075 | | | 1,188,434 | |
Software – 0.6% | | | |
| | Magic Leap Inc - Class A private equity common shares*,¢,§ | | 3,260 | | | 0 | |
| | Via Transportation Inc - Preferred shares*,¢,§ | | 72,070 | | | 3,279,740 | |
| | Via Transportation Inc - private equity common shares*,¢,§ | | 10,455 | | | 475,783 | |
| | Via Transportation Inc - Series A*,¢,§ | | 6,761 | | | 307,678 | |
| | Via Transportation Inc - Series B*,¢,§ | | 1,235 | | | 56,202 | |
| | Via Transportation Inc - Series C*,¢,§ | | 1,110 | | | 50,514 | |
| | Via Transportation Inc - Series D*,¢,§ | | 3,971 | | | 180,711 | |
| | Via Transportation Inc - Series E*,¢,§ | | 1,844 | | | 83,916 | |
| | Via Transportation Inc - Series G-1*,¢,§ | | 2,704 | | | 123,053 | |
| | | 4,557,597 | |
Total Private Placements (cost $7,856,946) | | 5,746,031 | |
Warrants– 0% | | | |
Road & Rail – 0% | | | |
| | Grab Holdings Ltd, expires 12/1/26*((cost $141,055) | | 44,659 | | | 19,766 | |
Investment Companies– 3.8% | | | |
Money Markets – 3.8% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $30,700,878) | | 30,695,902 | | | 30,702,042 | |
Total Investments (total cost $492,607,703) – 100.0% | | 816,023,107 | |
Cash, Receivables and Other Assets, net of Liabilities – 0% | | 59,723 | |
Net Assets – 100% | | $816,082,830 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $683,014,840 | | 83.7 | % |
Netherlands | | 53,084,607 | | 6.5 | |
Taiwan | | 40,236,978 | | 4.9 | |
Canada | | 22,742,579 | | 2.8 | |
Argentina | | 10,022,901 | | 1.2 | |
Israel | | 6,901,436 | | 0.9 | |
Singapore | | 19,766 | | 0.0 | |
| | | | | | |
| | | | | | |
Total | | $816,023,107 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 3.8% |
Money Markets - 3.8% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 550,629 | $ | 434 | $ | (332) | $ | 30,702,042 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 751∆ | | - | | - | | - |
Total Affiliated Investments - 3.8% | $ | 551,380 | $ | 434 | $ | (332) | $ | 30,702,042 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 3.8% |
Money Markets - 3.8% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 14,944,109 | | 92,186,651 | | (76,428,820) | | 30,702,042 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | - | | 15,245,275 | | (15,245,275) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
MSCI All Country World Information Technology IndexSM | MSCI All Country World Information Technology IndexSM reflects the performance of information technology stocks from developed and emerging markets. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
| | |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2023 is $4,320,458, which represents 0.5% of net assets. |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
¢ | Security is valued using significant unobservable inputs. The total value of Level 3 securities as of the period ended June 30, 2023 is $5,746,031, 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 June 30, 2023) |
| | | | | | | | Value as a | |
| | Acquisition | | | | | | % of Net | |
| | Date | | Cost | | Value | | Assets | |
Apartment List Inc | 11/2/20 | $ | 1,771,979 | $ | 1,188,434 | | 0.1 | % |
Magic Leap Inc - Class A private equity common shares | 10/5/17 | | 1,585,170 | | 0 | | 0.0 | |
Via Transportation Inc - Preferred shares | 11/4/21 | | 3,279,740 | | 3,279,740 | | 0.4 | |
Via Transportation Inc - private equity common shares | 12/2/21 | | 451,970 | | 475,783 | | 0.1 | |
Via Transportation Inc - Series A | 12/2/21 | | 292,278 | | 307,678 | | 0.1 | |
Via Transportation Inc - Series B | 12/2/21 | | 53,389 | | 56,202 | | 0.0 | |
Via Transportation Inc - Series C | 12/2/21 | | 47,985 | | 50,514 | | 0.0 | |
Via Transportation Inc - Series D | 12/2/21 | | 171,666 | | 180,711 | | 0.0 | |
Via Transportation Inc - Series E | 12/2/21 | | 79,716 | | 83,916 | | 0.0 | |
Via Transportation Inc - Series G-1 | 2/2/23 | | 123,053 | | 123,053 | | 0.0 | |
Total | | $ | 7,856,946 | $ | 5,746,031 | | 0.7 | % |
| | | | | | | | | |
The Portfolio has registration rights for certain restricted securities held as of June 30, 2023. The issuer incurs all registration costs. | |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 779,555,268 | $ | - | $ | - |
Private Placements | | - | | - | | 5,746,031 |
Warrants | | 19,766 | | - | | - |
Investment Companies | | - | | 30,702,042 | | - |
Total Assets | $ | 779,575,034 | $ | 30,702,042 | $ | 5,746,031 |
| | | | | | | |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $461,906,825) | | $ | 785,321,065 | |
| Affiliated investments, at value (cost $30,700,878) | | | 30,702,042 | |
| Cash | | | 9,988 | |
| Trustees' deferred compensation | | | 20,720 | |
| Receivables: | | | | |
| | Portfolio shares sold | | | 1,215,045 | |
| | Dividends | | | 268,296 | |
| | Dividends from affiliates | | | 129,629 | |
| | Foreign tax reclaims | | | 694 | |
| Other assets | | | 2,838 | |
Total Assets | | | 817,670,317 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Portfolio shares repurchased | | | 842,824 | |
| | Advisory fees | | | 442,912 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 162,644 | |
| | Transfer agent fees and expenses | | | 35,454 | |
| | Professional fees | | | 28,432 | |
| | Trustees' deferred compensation fees | | | 20,720 | |
| | Trustees' fees and expenses | | | 4,138 | |
| | Custodian fees | | | 3,694 | |
| | Affiliated portfolio administration fees payable | | | 1,730 | |
| | Investments purchased | | | 852 | |
| | Accrued expenses and other payables | | | 44,087 | |
Total Liabilities | | | 1,587,487 | |
Net Assets | | $ | 816,082,830 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 540,562,163 | |
| Total distributable earnings (loss) | | | 275,520,667 | |
Total Net Assets | | $ | 816,082,830 | |
Net Assets - Institutional Shares | | $ | 48,028,659 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | 3,363,731 | |
Net Asset Value Per Share | | $ | 14.28 | |
Net Assets - Service Shares | | $ | 768,054,171 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | 53,475,876 | |
Net Asset Value Per Share | | $ | 14.36 | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: |
| Dividends | $ | 2,108,449 | |
| Dividends from affiliates | | 550,629 | |
| Non-cash dividends | | 303,796 | |
| Affiliated securities lending income, net | | 751 | |
| Unaffiliated securities lending income, net | | 286 | |
| Other income | | 10 | |
| Foreign tax withheld | | (162,850) | |
Total Investment Income | | 2,801,071 | |
Expenses: | | | |
| Advisory fees | | 2,177,649 | |
| 12b-1 Distribution and shareholder servicing fees: |
| | Service Shares | | 798,956 | |
| Transfer agent administrative fees and expenses: | | |
| | Institutional Shares | | 10,269 | |
| | Service Shares | | 159,860 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 357 | |
| | Service Shares | | 3,347 | |
| Professional fees | | 39,286 | |
| Affiliated portfolio administration fees | | 13,465 | |
| Custodian fees | | 9,047 | |
| Trustees’ fees and expenses | | 8,654 | |
| Shareholder reports expense | | 3,359 | |
| Registration fees | | 278 | |
| Other expenses | | 49,811 | |
Total Expenses | | 3,274,338 | |
Net Investment Income/(Loss) | | (473,267) | |
Net Realized Gain/(Loss) on Investments: | |
| Investments and foreign currency transactions | | 13,660,780 | |
| Investments in affiliates | | 434 | |
Total Net Realized Gain/(Loss) on Investments | 13,661,214 | |
Change in Unrealized Net Appreciation/Depreciation: |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 205,502,301 | |
| Investments in affiliates | | (332) | |
Total Change in Unrealized Net Appreciation/Depreciation | 205,501,969 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 218,689,916 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | (473,267) | | $ | (2,411,079) | |
| Net realized gain/(loss) on investments | | 13,661,214 | | | (59,565,988) | |
| Change in unrealized net appreciation/depreciation | 205,501,969 | | | (280,123,602) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | 218,689,916 | | | (342,100,669) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | — | | | (7,665,574) | |
| | Service Shares | | — | | | (112,948,823) | |
Net Decrease from Dividends and Distributions to Shareholders | — | | | (120,614,397) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | 237,337 | | | 4,973,863 | |
| | Service Shares | | 27,015,777 | | | 90,429,122 | |
Net Increase/(Decrease) from Capital Share Transactions | 27,253,114 | | | 95,402,985 | |
Net Increase/(Decrease) in Net Assets | | 245,943,030 | | | (367,312,081) | |
Net Assets: | | | | | | |
| Beginning of period | | 570,139,800 | | | 937,451,881 | |
| End of period | $ | 816,082,830 | | $ | 570,139,800 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $10.34 | | | $20.75 | | | $20.34 | | | $14.88 | | | $11.06 | | | $11.40 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.01 | | | (0.02) | | | (0.05) | | | (0.01) | | | 0.02 | | | 0.01 | |
| | Net realized and unrealized gain/(loss) | | 3.93 | | | (7.60) | | | 3.47 | | | 7.04 | | | 4.81 | | | 0.20 | |
| Total from Investment Operations | | 3.94 | | | (7.62) | | | 3.42 | | | 7.03 | | | 4.83 | | | 0.21 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | — | | | — | | | (0.05) | | | — | | | — | | | — | |
| | Distributions (from capital gains) | | — | | | (2.79) | | | (2.96) | | | (1.57) | | | (1.01) | | | (0.55) | |
| Total Dividends and Distributions | | — | | | (2.79) | | | (3.01) | | | (1.57) | | | (1.01) | | | (0.55) | |
| Net Asset Value, End of Period | | $14.28 | | | $10.34 | | | $20.75 | | | $20.34 | | | $14.88 | | | $11.06 | |
| Total Return* | | 38.10% | | | (36.95)% | | | 18.01% | | | 51.20% | | | 45.17% | | | 1.19% | |
| Net Assets, End of Period (in thousands) | | $48,029 | | | $34,566 | | | $59,208 | | | $51,009 | | | $34,515 | | | $24,240 | |
| Average Net Assets for the Period (in thousands) | | $41,270 | | | $41,432 | | | $56,037 | | | $39,592 | | | $30,035 | | | $27,658 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.74% | | | 0.72% | | | 0.72% | | | 0.75% | | | 0.75% | | | 0.76% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.74% | | | 0.72% | | | 0.72% | | | 0.75% | | | 0.75% | | | 0.76% | |
| | Ratio of Net Investment Income/(Loss) | | 0.09% | | | (0.14)% | | | (0.25)% | | | (0.07)% | | | 0.11% | | | 0.09% | |
| Portfolio Turnover Rate | | 20% | | | 43% | | | 47% | | | 44% | | | 30% | | | 32% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $10.41 | | | $20.91 | | | $20.51 | | | $15.03 | | | $11.19 | | | $11.56 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | (0.01) | | | (0.05) | | | (0.10) | | | (0.05) | | | (0.02) | | | (0.02) | |
| | Net realized and unrealized gain/(loss) | | 3.96 | | | (7.66) | | | 3.49 | | | 7.10 | | | 4.87 | | | 0.20 | |
| Total from Investment Operations | | 3.95 | | | (7.71) | | | 3.39 | | | 7.05 | | | 4.85 | | | 0.18 | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | — | | | — | | | (0.03) | | | — | | | — | | | — | |
| | Distributions (from capital gains) | | — | | | (2.79) | | | (2.96) | | | (1.57) | | | (1.01) | | | (0.55) | |
| Total Dividends and Distributions | | — | | | (2.79) | | | (2.99) | | | (1.57) | | | (1.01) | | | (0.55) | |
| Net Asset Value, End of Period | | $14.36 | | | $10.41 | | | $20.91 | | | $20.51 | | | $15.03 | | | $11.19 | |
| Total Return* | | 37.94% | | | (37.12)% | | | 17.69% | | | 50.80% | | | 44.82% | | | 0.91% | |
| Net Assets, End of Period (in thousands) | | $768,054 | | | $535,573 | | | $878,244 | | | $732,854 | | | $508,622 | | | $370,831 | |
| Average Net Assets for the Period (in thousands) | | $642,322 | | | $618,321 | | | $822,224 | | | $577,972 | | | $449,847 | | | $416,626 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.98% | | | 0.97% | | | 0.97% | | | 0.99% | | | 0.99% | | | 1.00% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.98% | | | 0.97% | | | 0.97% | | | 0.99% | | | 0.99% | | | 1.00% | |
| | Ratio of Net Investment Income/(Loss) | | (0.15)% | | | (0.38)% | | | (0.49)% | | | (0.32)% | | | (0.13)% | | | (0.16)% | |
| Portfolio Turnover Rate | | 20% | | | 43% | | | 47% | | | 44% | | | 30% | | | 32% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* 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. |
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See Notes to Financial Statements. |
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Janus Aspen Series | 15 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Technology and Innovation Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
The Portfolio did not hold a significant amount of Level 3 securities as of June 30, 2023.
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.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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 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.
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
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of June 30, 2023.
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 and/or reimburse operating expenses to the extent that the Portfolio’s total annual fund operating expenses, 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 28, 2023. 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.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
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
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 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 period ended June 30, 2023, the Portfolio engaged in cross trades amounting to $1,015,765 in purchases.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(58,160,952) | $ - | $ (58,160,952) | | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 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) |
$493,162,939 | $326,518,797 | $ (3,658,629) | $ 322,860,168 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 370,231 | $ 4,597,237 | | 740,195 | $ 9,660,917 |
Reinvested dividends and distributions | - | - | | 729,360 | 7,665,574 |
Shares repurchased | (350,488) | (4,359,900) | | (978,994) | (12,352,628) |
Net Increase/(Decrease) | 19,743 | $ 237,337 | | 490,561 | $ 4,973,863 |
Service Shares: | | | | | |
Shares sold | 5,752,054 | $73,245,716 | | 8,436,579 | $113,407,136 |
Reinvested dividends and distributions | - | - | | 10,655,549 | 112,948,823 |
Shares repurchased | (3,722,202) | (46,229,939) | | (9,644,885) | (135,926,837) |
Net Increase/(Decrease) | 2,029,852 | $27,015,777 | | 9,447,243 | $ 90,429,122 |
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes to Financial Statements (unaudited)
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$146,480,064 | $135,325,551 | $ - | $ - |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update 2022-03: Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”) in June 2022. The new guidance in the ASU clarifies existing guidance in ASC 820 related to the fair value measurement of an equity security subject to contractual sale restrictions with the intent to reduce diversity in interpretation. Under the guidance, a contractual restriction on the sale of an equity security would not be considered when measuring fair value as such restriction is not treated as part of the equity security’s unit of account. The amendments would be applied prospectively on or after adoption date to equity securities with a contract containing a sale restriction that is executed or modified after such date. The effective date set by the FASB is December 15, 2023, with early adoption permitted. The Adviser is currently evaluating whether to early adopt and does not anticipate it to have a material impact on the Fund.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Global Technology and Innovation Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Global Technology and Innovation Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Global Technology and Innovation Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Notes
NotesPage1
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage2
Janus Henderson VIT Global Technology and Innovation Portfolio
Notes
NotesPage3
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
| | | | 109-24-81119 08-23 |
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| | | |
| | | SEMIANNUAL REPORT June 30, 2023 |
| | |
| | Janus Henderson VIT Mid Cap Value Portfolio |
| | |
| | Janus Aspen Series |
| |
| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Mid Cap Value Portfolio
| | | | | | |
| | | | | 
Kevin Preloger co-portfolio manager | 
Justin Tugman co-portfolio manager |
| | | |
Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| Vontier Corp | 1.57% | | 0.74% | | SVB Financial Group | 0.45% | | -1.04% |
| Toll Brothers Inc | 1.29% | | 0.52% | | Zions Bancorp NA | 0.48% | | -0.46% |
| Lincoln Electric Holdings Inc | 1.47% | | 0.42% | | Fidelity National Information Services Inc | 1.71% | | -0.44% |
| Cardinal Health Inc | 2.15% | | 0.42% | | Globus Medical Inc | 1.79% | | -0.36% |
| Take-Two Interactive Software Inc | 1.16% | | 0.34% | | Entergy Corp | 2.19% | | -0.34% |
| | | | | | | |
| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell Midcap Value Index |
| | | Contribution | | Average Weight | Average Weight |
| Information Technology | | 0.62% | | 9.18% | 8.73% |
| Communication Services | | 0.50% | | 4.57% | 3.23% |
| Materials | | 0.49% | | 9.75% | 7.74% |
| Consumer Staples | | 0.31% | | 4.15% | 4.24% |
| Utilities | | 0.12% | | 4.58% | 8.75% |
| | | | | | |
| | | | | | |
| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell Midcap Value Index |
| | | Contribution | | Average Weight | Average Weight |
| Financials | | -1.50% | | 14.50% | 17.50% |
| Consumer Discretionary | | -0.71% | | 8.07% | 10.16% |
| Industrials | | -0.51% | | 18.10% | 16.71% |
| Real Estate | | -0.16% | | 7.92% | 10.49% |
| Other** | | -0.11% | | 2.24% | 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 Mid Cap Value Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Cardinal Health Inc | |
Health Care Providers & Services | 2.7% |
Hartford Financial Services Group Inc | |
Insurance | 2.6% |
Laboratory Corp of America Holdings | |
Health Care Providers & Services | 2.4% |
Alliant Energy Corp | |
Electric Utilities | 2.4% |
MSC Industrial Direct Co Inc | |
Trading Companies & Distributors | 2.2% |
| | 12.3% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 98.8% | |
Repurchase Agreements | | 1.2% | |
Other | | (0.0)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
|
Janus Henderson VIT Mid Cap Value Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
| | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 3.95% | 11.91% | 5.72% | 7.64% | 9.51%# | | | 0.67% |
Service Shares | | 3.83% | 11.61% | 5.47% | 7.38% | 9.07%* | | | 0.91% |
Russell Midcap Value Index | | 5.23% | 10.50% | 6.84% | 9.03% | 10.38%** | | | |
Morningstar Quartile - Service Shares | | - | 3rd | 4th | 4th | 3rd | | | |
Morningstar Ranking - based on total returns for Mid-Cap Value Funds | | - | 224/402 | 304/381 | 266/329 | 140/223 | | | |
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.
For certain periods, the Portfolio’s performance may reflect the effects of expense waivers.
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.
© 2023 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 Mid Cap Value Portfolio (unaudited)
Performance
#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.
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,039.50 | $3.44 | | $1,000.00 | $1,021.42 | $3.41 | 0.68% |
Service Shares | $1,000.00 | $1,038.30 | $4.70 | | $1,000.00 | $1,020.18 | $4.66 | 0.93% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 98.8% | | | |
Aerospace & Defense – 3.3% | | | |
| | BWX Technologies Inc | | 23,035 | | | $1,648,615 | |
| | L3Harris Technologies Inc | | 11,998 | | | 2,348,848 | |
| | | 3,997,463 | |
Auto Components – 1.4% | | | |
| | Aptiv PLC* | | 9,067 | | | 925,650 | |
| | Autoliv Inc | | 9,117 | | | 775,310 | |
| | | 1,700,960 | |
Banks – 3.3% | | | |
| | PNC Financial Services Group Inc/The | | 8,073 | | | 1,016,794 | |
| | Regions Financial Corp | | 24,491 | | | 436,430 | |
| | Synovus Financial Corp | | 46,584 | | | 1,409,166 | |
| | Wintrust Financial Corp | | 14,793 | | | 1,074,268 | |
| | | 3,936,658 | |
Building Products – 3.3% | | | |
| | Carlisle Cos Inc | | 6,971 | | | 1,788,271 | |
| | Fortune Brands Home & Security Inc | | 30,689 | | | 2,208,074 | |
| | | 3,996,345 | |
Capital Markets – 3.4% | | | |
| | Jefferies Financial Group Inc | | 61,157 | | | 2,028,578 | |
| | State Street Corp | | 27,611 | | | 2,020,573 | |
| | | 4,049,151 | |
Chemicals – 4.5% | | | |
| | Axalta Coating Systems Ltd* | | 57,248 | | | 1,878,307 | |
| | Corteva Inc | | 31,745 | | | 1,818,988 | |
| | FMC Corp | | 8,083 | | | 843,380 | |
| | Westlake Chemical Corp | | 7,446 | | | 889,574 | |
| | | 5,430,249 | |
Commercial Services & Supplies – 1.7% | | | |
| | Waste Connections Inc | | 14,378 | | | 2,055,048 | |
Construction Materials – 1.6% | | | |
| | Martin Marietta Materials Inc | | 4,169 | | | 1,924,786 | |
Containers & Packaging – 1.2% | | | |
| | Graphic Packaging Holding Co | | 61,314 | | | 1,473,375 | |
Diversified Financial Services – 1.6% | | | |
| | Fidelity National Information Services Inc | | 35,883 | | | 1,962,800 | |
Electric Utilities – 4.5% | | | |
| | Alliant Energy Corp | | 55,190 | | | 2,896,371 | |
| | Entergy Corp | | 26,122 | | | 2,543,499 | |
| | | 5,439,870 | |
Electrical Equipment – 2.2% | | | |
| | AMETEK Inc | | 16,005 | | | 2,590,889 | |
Electronic Equipment, Instruments & Components – 3.4% | | | |
| | Insight Enterprises Inc* | | 5,857 | | | 857,113 | |
| | Vontier Corp | | 61,838 | | | 1,991,802 | |
| | Zebra Technologies Corp* | | 4,318 | | | 1,277,394 | |
| | | 4,126,309 | |
Energy Equipment & Services – 1.9% | | | |
| | Baker Hughes Co | | 71,931 | | | 2,273,739 | |
Entertainment – 2.0% | | | |
| | Activision Blizzard Inc* | | 27,903 | | | 2,352,223 | |
Food & Staples Retailing – 2.0% | | | |
| | Casey's General Stores Inc | | 9,694 | | | 2,364,173 | |
Food Products – 2.6% | | | |
| | Kellogg Co | | 35,216 | | | 2,373,558 | |
| | Lamb Weston Holdings Inc | | 6,078 | | | 698,666 | |
| | | 3,072,224 | |
Health Care Equipment & Supplies – 2.9% | | | |
| | Envista Holdings Corp* | | 33,474 | | | 1,132,760 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Health Care Equipment & Supplies– (continued) | | | |
| | Globus Medical Inc* | | 39,999 | | | $2,381,540 | |
| | | 3,514,300 | |
Health Care Providers & Services – 7.8% | | | |
| | Amedisys Inc* | | 14,845 | | | 1,357,427 | |
| | Cardinal Health Inc | | 34,237 | | | 3,237,793 | |
| | Henry Schein Inc* | | 9,480 | | | 768,828 | |
| | Humana Inc | | 2,422 | | | 1,082,949 | |
| | Laboratory Corp of America Holdings | | 12,073 | | | 2,913,577 | |
| | | 9,360,574 | |
Hotel & Resort Real Estate Investment Trusts (REITs) – 0.8% | | | |
| | Apple Hospitality Inc | | 61,749 | | | 933,027 | |
Household Durables – 1.8% | | | |
| | Toll Brothers Inc | | 27,091 | | | 2,142,085 | |
Industrial Real Estate Investment Trusts (REITs) – 1.1% | | | |
| | STAG Industrial Inc | | 37,665 | | | 1,351,420 | |
Insurance – 5.5% | | | |
| | Globe Life Inc | | 16,786 | | | 1,840,081 | |
| | Hartford Financial Services Group Inc | | 42,739 | | | 3,078,063 | |
| | RenaissanceRe Holdings Ltd | | 5,565 | | | 1,037,984 | |
| | Willis Towers Watson PLC | | 3,000 | | | 706,500 | |
| | | 6,662,628 | |
Life Sciences Tools & Services – 1.4% | | | |
| | Avantor Inc* | | 33,575 | | | 689,631 | |
| | Charles River Laboratories International Inc* | | 3,227 | | | 678,477 | |
| | PerkinElmer Inc | | 3,124 | | | 371,100 | |
| | | 1,739,208 | |
Machinery – 4.5% | | | |
| | Hillenbrand Inc | | 39,524 | | | 2,026,791 | |
| | Lincoln Electric Holdings Inc | | 9,819 | | | 1,950,348 | |
| | Oshkosh Corp | | 16,151 | | | 1,398,515 | |
| | | 5,375,654 | |
Media – 1.8% | | | |
| | Fox Corp - Class B | | 66,693 | | | 2,126,840 | |
Metals & Mining – 2.1% | | | |
| | Freeport-McMoRan Inc | | 62,247 | | | 2,489,880 | |
Oil, Gas & Consumable Fuels – 5.0% | | | |
| | Chesapeake Energy Corp | | 31,250 | | | 2,615,000 | |
| | Marathon Oil Corp | | 80,906 | | | 1,862,456 | |
| | Pioneer Natural Resources Co | | 7,599 | | | 1,574,361 | |
| | | 6,051,817 | |
Real Estate Management & Development – 0.7% | | | |
| | CBRE Group Inc* | | 10,759 | | | 868,359 | |
Residential Real Estate Investment Trusts (REITs) – 2.1% | | | |
| | Equity LifeStyle Properties Inc | | 37,757 | | | 2,525,566 | |
Road & Rail – 1.7% | | | |
| | Canadian Pacific Kansas City Ltd | | 15,253 | | | 1,231,985 | |
| | Landstar System Inc | | 4,427 | | | 852,375 | |
| | | 2,084,360 | |
Semiconductor & Semiconductor Equipment – 3.1% | | | |
| | Lam Research Corp | | 1,577 | | | 1,013,790 | |
| | Microchip Technology Inc | | 16,080 | | | 1,440,607 | |
| | Teradyne Inc | | 10,929 | | | 1,216,726 | |
| | | 3,671,123 | |
Software – 2.4% | | | |
| | Black Knight Inc* | | 25,065 | | | 1,497,132 | |
| | Nice Ltd (ADR)* | | 6,821 | | | 1,408,537 | |
| | | 2,905,669 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Mid Cap Value Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Specialized Real Estate Investment Trusts (REITs) – 2.8% | | | |
| | Lamar Advertising Co | | 24,356 | | | $2,417,333 | |
| | PotlatchDeltic Corp | | 16,827 | | | 889,307 | |
| | | 3,306,640 | |
Specialty Retail – 4.4% | | | |
| | AutoZone Inc* | | 486 | | | 1,211,773 | |
| | Bath & Body Works Inc | | 39,303 | | | 1,473,862 | |
| | Burlington Stores Inc* | | 7,656 | | | 1,204,978 | |
| | O'Reilly Automotive Inc* | | 1,518 | | | 1,450,145 | |
| | | 5,340,758 | |
Trading Companies & Distributors – 3.0% | | | |
| | GATX Corp | | 7,591 | | | 977,265 | |
| | MSC Industrial Direct Co Inc | | 27,733 | | | 2,642,400 | |
| | | 3,619,665 | |
Total Common Stocks (cost $92,497,983) | | 118,815,835 | |
Repurchase Agreements– 1.2% | | | |
| | ING Financial Markets LLC, Joint repurchase agreement, 5.0500%, dated 6/30/23, maturing 7/3/23 to be repurchased at $1,500,631 collateralized by $1,657,892 in U.S. Treasuries 0% - 4.6250%, 4/18/24 - 11/15/52 with a value of $1,530,644((cost $1,500,000) | | $1,500,000 | | | 1,500,000 | |
Total Investments (total cost $93,997,983) – 100.0% | | 120,315,835 | |
Liabilities, net of Cash, Receivables and Other Assets – (0)% | | (20,279) | |
Net Assets – 100% | | $120,295,556 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $116,900,003 | | 97.2 | % |
Israel | | 1,408,537 | | 1.2 | |
Canada | | 1,231,985 | | 1.0 | |
Sweden | | 775,310 | | 0.6 | |
| | | | | | |
| | | | | | |
Total | | $120,315,835 | | 100.0 | % |
| | | | | | | | | | |
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 | $ | 1,500,000 | $ | — | $ | (1,500,000) | $ | — |
| | | | | | | | | |
(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. |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
Russell Midcap® Value Index | Russell Midcap® Value Index reflects the performance of U.S. mid-cap equities with lower price-to-book ratios and lower forecasted growth values. |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
* | Non-income producing security. |
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 118,815,835 | $ | - | $ | - |
Repurchase Agreements | | - | | 1,500,000 | | - |
Total Assets | $ | 118,815,835 | $ | 1,500,000 | $ | - |
| | | | | | | |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Investments, at value (cost $92,497,983) | | $ | 118,815,835 | |
| Repurchase agreements, at value (cost $1,500,000) | | | 1,500,000 | |
| Cash | | | 25,652 | |
| Trustees' deferred compensation | | | 3,057 | |
| Receivables: | | | | |
| | Dividends | | | 136,061 | |
| | Portfolio shares sold | | | 2,061 | |
| | Interest | | | 631 | |
| Other assets | | | 322 | |
Total Assets | | | 120,483,619 | |
Liabilities: | | | | |
| Payables: | | | — | |
| | Portfolio shares repurchased | | | 59,153 | |
| | Advisory fees | | | 50,730 | |
| | Professional fees | | | 26,493 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 14,706 | |
| | Transfer agent fees and expenses | | | 5,436 | |
| | Trustees' deferred compensation fees | | | 3,057 | |
| | Custodian fees | | | 805 | |
| | Trustees' fees and expenses | | | 719 | |
| | Affiliated portfolio administration fees payable | | | 257 | |
| | Accrued expenses and other payables | | | 26,707 | |
Total Liabilities | | | 188,063 | |
Net Assets | | $ | 120,295,556 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 92,201,104 | |
| Total distributable earnings (loss) | | | 28,094,452 | |
Total Net Assets | | $ | 120,295,556 | |
Net Assets - Institutional Shares | | $ | 51,410,863 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,124,551 | |
Net Asset Value Per Share | | $ | 16.45 | |
Net Assets - Service Shares | | $ | 68,884,693 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 4,386,460 | |
Net Asset Value Per Share | | $ | 15.70 | |
| | |
See Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Mid Cap Value Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 1,018,554 | |
| Interest | | 59,737 | |
| Other income | | 9 | |
| Foreign tax withheld | | (2,345) | |
Total Investment Income | | 1,075,955 | |
Expenses: | | | |
| Advisory fees | | 281,923 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 83,680 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 12,175 | |
| | Service Shares | | 16,740 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 600 | |
| | Service Shares | | 586 | |
| Non-affiliated portfolio administration fees | | 23,543 | |
| Professional fees | | 23,368 | |
| Registration fees | | 15,337 | |
| Shareholder reports expense | | 6,074 | |
| Affiliated portfolio administration fees | | 2,254 | |
| Custodian fees | | 1,836 | |
| Trustees’ fees and expenses | | 1,478 | |
| Other expenses | | 6,496 | |
Total Expenses | | 476,090 | |
Less: Excess Expense Reimbursement and Waivers | | (233) | |
Net Expenses | | 475,857 | |
Net Investment Income/(Loss) | | 600,098 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments | | 1,725,603 | |
Total Net Realized Gain/(Loss) on Investments | | 1,725,603 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments and Trustees’ deferred compensation | | 2,496,642 | |
Total Change in Unrealized Net Appreciation/Depreciation | | 2,496,642 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 4,822,343 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Mid Cap Value Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 600,098 | | $ | 1,172,308 | |
| Net realized gain/(loss) on investments | | 1,725,603 | | | 3,262,487 | |
| Change in unrealized net appreciation/depreciation | | 2,496,642 | | | (11,525,356) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 4,822,343 | | | (7,090,561) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (1,660,000) | | | (4,575,481) | |
| | Service Shares | | (2,245,742) | | | (6,360,632) | |
Net Decrease from Dividends and Distributions to Shareholders | | (3,905,742) | | | (10,936,113) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (364,233) | | | (118,995) | |
| | Service Shares | | 2,168,167 | | | (1,250,483) | |
Net Increase/(Decrease) from Capital Share Transactions | | 1,803,934 | | | (1,369,478) | |
Net Increase/(Decrease) in Net Assets | | 2,720,535 | | | (19,396,152) | |
Net Assets: | | | | | | |
| Beginning of period | | 117,575,021 | | | 136,971,173 | |
| End of period | $ | 120,295,556 | | $ | 117,575,021 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Mid Cap Value Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $16.36 | | | $19.12 | | | $16.04 | | | $16.73 | | | $14.08 | | | $18.02 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.10 | | | 0.18 | | | 0.16 | | | 0.18 | | | 0.21 | | | 0.17 | |
| | Net realized and unrealized gain/(loss) | | 0.54 | | | (1.34) | | | 3.00 | | | (0.41) | | | 3.90 | | | (2.40) | |
| Total from Investment Operations | | 0.64 | | | (1.16) | | | 3.16 | | | (0.23) | | | 4.11 | | | (2.23) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.09) | | | (0.23) | | | (0.08) | | | (0.18) | | | (0.19) | | | (0.18) | |
| | Distributions (from capital gains) | | (0.46) | | | (1.37) | | | — | | | (0.28) | | | (1.27) | | | (1.53) | |
| Total Dividends and Distributions | | (0.55) | | | (1.60) | | | (0.08) | | | (0.46) | | | (1.46) | | | (1.71) | |
| Net Asset Value, End of Period | | $16.45 | | | $16.36 | | | $19.12 | | | $16.04 | | | $16.73 | | | $14.08 | |
| Total Return* | | 3.95% | | | (5.56)% | | | 19.73% | | | (0.92)% | | | 30.35% | | | (13.63)% | |
| Net Assets, End of Period (in thousands) | | $51,411 | | | $51,231 | | | $58,536 | | | $48,538 | | | $45,771 | | | $36,265 | |
| Average Net Assets for the Period (in thousands) | | $49,105 | | | $50,719 | | | $54,542 | | | $40,480 | | | $41,788 | | | $42,219 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.68% | | | 0.67% | | | 0.67% | | | 0.81% | | | 0.81% | | | 0.81% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.68% | | | 0.67% | | | 0.67% | | | 0.81% | | | 0.81% | | | 0.81% | |
| | Ratio of Net Investment Income/(Loss) | | 1.17% | | | 1.12% | | | 0.90% | | | 1.24% | | | 1.32% | | �� | 1.03% | |
| Portfolio Turnover Rate | | 30% | | | 48% | | | 63% | | | 44% | | | 43% | | | 42% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Mid Cap Value Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $15.64 | | | $18.36 | | | $15.42 | | | $16.12 | | | $13.62 | | | $17.49 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.07 | | | 0.14 | | | 0.12 | | | 0.13 | | | 0.16 | | | 0.13 | |
| | Net realized and unrealized gain/(loss) | | 0.52 | | | (1.30) | | | 2.87 | | | (0.40) | | | 3.77 | | | (2.32) | |
| Total from Investment Operations | | 0.59 | | | (1.16) | | | 2.99 | | | (0.27) | | | 3.93 | | | (2.19) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.07) | | | (0.19) | | | (0.05) | | | (0.15) | | | (0.16) | | | (0.15) | |
| | Distributions (from capital gains) | | (0.46) | | | (1.37) | | | — | | | (0.28) | | | (1.27) | | | (1.53) | |
| Total Dividends and Distributions | | (0.53) | | | (1.56) | | | (0.05) | | | (0.43) | | | (1.43) | | | (1.68) | |
| Net Asset Value, End of Period | | $15.70 | | | $15.64 | | | $18.36 | | | $15.42 | | | $16.12 | | | $13.62 | |
| Total Return* | | 3.83% | | | (5.77)% | | | 19.42% | | | (1.21)% | | | 30.05% | | | (13.82)% | |
| Net Assets, End of Period (in thousands) | | $68,885 | | | $66,344 | | | $78,435 | | | $67,967 | | | $72,167 | | | $62,334 | |
| Average Net Assets for the Period (in thousands) | | $67,492 | | | $70,295 | | | $74,166 | | | $62,469 | | | $68,198 | | | $72,480 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.93% | | | 0.91% | | | 0.92% | | | 1.06% | | | 1.05% | | | 1.06% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.93% | | | 0.91% | | | 0.92% | | | 1.06% | | | 1.05% | | | 1.06% | |
| | Ratio of Net Investment Income/(Loss) | | 0.94% | | | 0.86% | | | 0.68% | | | 0.97% | | | 1.06% | | | 0.78% | |
| Portfolio Turnover Rate | | 30% | | | 48% | | | 63% | | | 44% | | | 43% | | | 42% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Mid Cap Value Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
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
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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.
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 Offsetting Assets and Liabilities table located in the Schedule of Investments 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.
All repurchase agreements are transacted under legally enforceable master repurchase agreements that give the Portfolio, in the event of default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the counterparty. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Repurchase agreements held by the Portfolio are fully collateralized, and such collateral is in the possession of the Portfolio’s custodian or, for tri-party agreements, the custodian designated by the agreement. The collateral is evaluated daily to ensure its market value exceeds the current market value of the repurchase agreements, including accrued interest.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
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 Rate plus/minus any Performance Adjustment. For the period ended June 30, 2023, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.49%.
The Adviser has contractually agreed to waive the investment advisory fee and/or reimburse operating expenses to the extent that the Portfolio’s total annual fund operating expenses, 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 28, 2023. 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.
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 authorized to perform, or cause others to perform 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
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Janus Henderson VIT Mid Cap Value Portfolio
Notes to Financial Statements (unaudited)
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 are noted below. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$94,237,995 | $28,453,837 | $ (2,375,997) | $ 26,077,840 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 355,547 | $5,811,562 | | 805,107 | $13,798,789 |
Reinvested dividends and distributions | 103,106 | 1,660,000 | | 294,998 | 4,575,481 |
Shares repurchased | (465,130) | (7,835,795) | | (1,031,082) | (18,493,265) |
Net Increase/(Decrease) | (6,477) | $ (364,233) | | 69,023 | $ (118,995) |
Service Shares: | | | | | |
Shares sold | 265,674 | $4,160,746 | | 340,897 | $ 5,558,864 |
Reinvested dividends and distributions | 146,112 | 2,245,742 | | 429,092 | 6,360,632 |
Shares repurchased | (266,196) | (4,238,321) | | (800,547) | (13,169,979) |
Net Increase/(Decrease) | 145,590 | $2,168,167 | | (30,558) | $ (1,250,483) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$34,145,699 | $ 34,868,872 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Mid Cap Value Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Mid Cap Value Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Mid Cap Value Portfolio
Useful Information About Your Portfolio Report (unaudited)
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
Notes
NotesPage1
Janus Henderson VIT Mid Cap Value Portfolio
Notes
NotesPage2
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Overseas Portfolio |
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| | Janus Aspen Series |
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| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings | |
Table of Contents
Janus Henderson VIT Overseas Portfolio
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Julian McManus co-portfolio manager | 
George Maris co-portfolio manager |
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Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Overseas Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| ASML Holding NV | 3.28% | | 0.49% | | JD.Com Inc - Class A | 2.72% | | -1.55% |
| Ferguson PLC | 2.57% | | 0.40% | | Dai-ichi Life Holdings Inc | 3.52% | | -0.95% |
| Liberty Media Corp-Liberty Formula One | 2.73% | | 0.39% | | AIA Group Ltd | 3.08% | | -0.53% |
| BAE Systems PLC | 2.54% | | 0.32% | | Beazley PLC | 1.62% | | -0.37% |
| BNP Paribas SA | 4.23% | | 0.31% | | Full Truck Alliance Co (ADR) | 0.94% | | -0.36% |
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| 5 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World ex-USA Index |
| | | Contribution | | Average Weight | Average Weight |
| Materials | | 0.61% | | 5.71% | 8.22% |
| Communication Services | | 0.58% | | 6.21% | 5.85% |
| Information Technology | | 0.47% | | 11.95% | 11.33% |
| Real Estate | | 0.32% | | 0.00% | 2.16% |
| Health Care | | 0.24% | | 12.63% | 9.65% |
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| 5 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | MSCI All Country World ex-USA Index |
| | | Contribution | | Average Weight | Average Weight |
| Consumer Discretionary | | -2.08% | | 15.03% | 11.80% |
| Financials | | -0.64% | | 20.96% | 20.65% |
| Energy | | -0.22% | | 5.86% | 5.66% |
| Consumer Staples | | -0.15% | | 9.31% | 8.78% |
| Other** | | -0.10% | | 1.59% | 0.00% |
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| 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
June 30, 2023
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5 Largest Equity Holdings - (% of Net Assets) |
BNP Paribas SA | |
Banks | 4.2% |
Taiwan Semiconductor Manufacturing Co Ltd | |
Semiconductor & Semiconductor Equipment | 4.0% |
ASML Holding NV | |
Semiconductor & Semiconductor Equipment | 3.5% |
Dai-ichi Life Holdings Inc | |
Insurance | 3.4% |
Teck Resources Ltd | |
Metals & Mining | 3.4% |
| | 18.5% |
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Asset Allocation - (% of Net Assets) | |
Common Stocks | | 97.1% | |
Investment Companies | | 1.9% | |
Preferred Stocks | | 0.8% | |
Other | | 0.2% |
| | | 100.0% |
Emerging markets comprised 11.9% of total net assets.
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Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
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Janus Henderson VIT Overseas Portfolio (unaudited)
Performance
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See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 7.95% | 16.94% | 7.28% | 5.09% | 8.35% | | | 0.89% |
Service Shares | | 7.81% | 16.65% | 7.02% | 4.83% | 8.18% | | | 1.14% |
MSCI All Country World ex-USA Index | | 9.47% | 12.72% | 3.52% | 4.75% | N/A** | | | |
Morningstar Quartile - Institutional Shares | | - | 2nd | 1st | 3rd | 1st | | | |
Morningstar Ranking - based on total returns for Foreign Large Blend Funds | | - | 309/735 | 33/653 | 269/520 | 7/119 | | | |
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.
© 2023 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 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
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,079.50 | $4.59 | | $1,000.00 | $1,020.38 | $4.46 | 0.89% |
Service Shares | $1,000.00 | $1,078.10 | $5.87 | | $1,000.00 | $1,019.14 | $5.71 | 1.14% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– 97.1% | | | |
Aerospace & Defense – 4.4% | | | |
| | Airbus SE | | 50,680 | | | $7,319,074 | |
| | BAE Systems PLC | | 1,848,865 | | | 21,762,953 | |
| | | 29,082,027 | |
Banks – 13.1% | | | |
| | BNP Paribas SA | | 449,869 | | | 28,331,866 | |
| | Erste Group Bank AG | | 598,335 | | | 20,949,657 | |
| | Natwest Group PLC | | 5,716,147 | | | 17,478,041 | |
| | Permanent TSB Group Holdings PLC* | | 3,437,533 | | | 8,326,503 | |
| | UniCredit SpA | | 537,477 | | | 12,470,621 | |
| | | 87,556,688 | |
Beverages – 5.1% | | | |
| | Diageo PLC | | 302,810 | | | 12,992,457 | |
| | Heineken NV | | 205,019 | | | 21,067,625 | |
| | | 34,060,082 | |
Biotechnology – 1.9% | | | |
| | Argenx SE (ADR)* | | 18,154 | | | 7,075,158 | |
| | Ascendis Pharma A/S (ADR)* | | 44,525 | | | 3,973,856 | |
| | Zai Lab Ltd (ADR)* | | 61,857 | | | 1,715,295 | |
| | | 12,764,309 | |
Commercial Services & Supplies – 2.5% | | | |
| | Secom Co Ltd | | 243,000 | | | 16,402,668 | |
Diversified Telecommunication Services – 3.3% | | | |
| | Deutsche Telekom AG | | 1,016,645 | | | 22,158,515 | |
Electronic Equipment, Instruments & Components – 4.1% | | | |
| | Hexagon AB - Class B | | 657,367 | | | 8,094,001 | |
| | Keyence Corp | | 41,100 | | | 19,327,939 | |
| | | 27,421,940 | |
Entertainment – 2.9% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 254,311 | | | 19,144,532 | |
Health Care Equipment & Supplies – 1.8% | | | |
| | Hoya Corp | | 102,000 | | | 12,071,320 | |
Hotels, Restaurants & Leisure – 5.9% | | | |
| | Entain PLC | | 1,362,610 | | | 22,008,557 | |
| | Yum China Holdings Inc | | 312,350 | | | 17,603,247 | |
| | | 39,611,804 | |
Insurance – 7.8% | | | |
| | AIA Group Ltd | | 1,926,400 | | | 19,446,666 | |
| | Beazley PLC | | 1,269,162 | | | 9,492,164 | |
| | Dai-ichi Life Holdings Inc | | 1,210,400 | | | 22,969,748 | |
| | | 51,908,578 | |
Metals & Mining – 4.6% | | | |
| | Freeport-McMoRan Inc | | 199,440 | | | 7,977,600 | |
| | Teck Resources Ltd | | 535,456 | | | 22,532,325 | |
| | | 30,509,925 | |
Multiline Retail – 2.5% | | | |
| | JD.Com Inc - Class A | | 990,378 | | | 16,734,439 | |
Oil, Gas & Consumable Fuels – 6.1% | | | |
| | Canadian Natural Resources Ltd | | 383,764 | | | 21,590,563 | |
| | Gaztransport Et Technigaz SA | | 38,494 | | | 3,916,559 | |
| | TotalEnergies SE | | 269,304 | | | 15,441,103 | |
| | | 40,948,225 | |
Personal Products – 3.1% | | | |
| | Unilever PLC | | 402,615 | | | 20,947,963 | |
Pharmaceuticals – 8.5% | | | |
| | AstraZeneca PLC | | 151,830 | | | 21,739,300 | |
| | Bayer AG | | 149,871 | | | 8,285,740 | |
| | Novartis AG | | 66,100 | | | 6,648,413 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares
| | | Value | |
Common Stocks– (continued) | | | |
Pharmaceuticals– (continued) | | | |
| | Sanofi | | 186,725 | | | $20,006,759 | |
| | | 56,680,212 | |
Road & Rail – 2.4% | | | |
| | Central Japan Railway Co | | 86,700 | | | 10,852,523 | |
| | Full Truck Alliance Co (ADR)* | | 871,021 | | | 5,417,751 | |
| | | 16,270,274 | |
Semiconductor & Semiconductor Equipment – 9.2% | | | |
| | ASML Holding NV | | 32,359 | | | 23,408,383 | |
| | SK Hynix Inc | | 130,323 | | | 11,394,361 | |
| | Taiwan Semiconductor Manufacturing Co Ltd | | 1,435,000 | | | 26,545,058 | |
| | | 61,347,802 | |
Textiles, Apparel & Luxury Goods – 4.9% | | | |
| | LVMH Moet Hennessy Louis Vuitton SE | | 14,604 | | | 13,751,352 | |
| | Samsonite International SA (144A)* | | 6,779,700 | | | 19,121,632 | |
| | | 32,872,984 | |
Trading Companies & Distributors – 3.0% | | | |
| | Ferguson PLC | | 128,768 | | | 20,291,429 | |
Total Common Stocks (cost $510,992,693) | | 648,785,716 | |
Preferred Stocks– 0.8% | | | |
Automobiles – 0.8% | | | |
| | Dr Ing hc F Porsche AG (144A)((cost $3,616,051) | | 45,024 | | | 5,588,024 | |
Investment Companies– 1.9% | | | |
Money Markets – 1.9% | | | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº,£((cost $12,388,276) | | 12,385,899 | | | 12,388,376 | |
Total Investments (total cost $526,997,020) – 99.8% | | 666,762,116 | |
Cash, Receivables and Other Assets, net of Liabilities – 0.2% | | 1,209,197 | |
Net Assets – 100% | | $667,971,313 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United Kingdom | | $126,421,435 | | 19.0 | % |
France | | 88,766,713 | | 13.3 | |
Japan | | 81,624,198 | | 12.2 | |
United States | | 59,801,937 | | 9.0 | |
Netherlands | | 44,476,008 | | 6.7 | |
Canada | | 44,122,888 | | 6.6 | |
China | | 41,470,732 | | 6.2 | |
Hong Kong | | 38,568,298 | | 5.8 | |
Germany | | 36,032,279 | | 5.4 | |
Taiwan | | 26,545,058 | | 4.0 | |
Austria | | 20,949,657 | | 3.1 | |
Italy | | 12,470,621 | | 1.9 | |
South Korea | | 11,394,361 | | 1.7 | |
Ireland | | 8,326,503 | | 1.2 | |
Sweden | | 8,094,001 | | 1.2 | |
Belgium | | 7,075,158 | | 1.1 | |
Switzerland | | 6,648,413 | | 1.0 | |
Denmark | | 3,973,856 | | 0.6 | |
| | | | | | |
| | | | | | |
Total | | $666,762,116 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Overseas Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - 1.9% |
Money Markets - 1.9% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 208,051 | $ | 373 | $ | (480) | $ | 12,388,376 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 19,918∆ | | - | | - | | - |
Total Affiliated Investments - 1.9% | $ | 227,969 | $ | 373 | $ | (480) | $ | 12,388,376 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - 1.9% |
Money Markets - 1.9% | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | 11,744,318 | | 58,158,424 | | (57,514,259) | | 12,388,376 |
Investments Purchased with Cash Collateral from Securities Lending - N/A |
Investment Companies - N/A | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | - | | 26,835,395 | | (26,835,395) | | - |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Overseas Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
MSCI All Country World
ex-USA IndexSM | MSCI All Country World ex-USA IndexSM reflects the equity market performance of global developed and emerging markets, excluding the U.S. |
| | |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2023 is $24,709,656, which represents 3.7% of net assets. |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
| | |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 648,785,716 | $ | - | $ | - |
Preferred Stocks | | 5,588,024 | | - | | - |
Investment Companies | | - | | 12,388,376 | | - |
Total Assets | $ | 654,373,740 | $ | 12,388,376 | $ | - |
| | | | | | | |
Janus Henderson VIT Overseas Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $514,608,744) | | $ | 654,373,740 | |
| Affiliated investments, at value (cost $12,388,276) | | | 12,388,376 | |
| Cash denominated in foreign currency (cost $2,095) | | | 2,095 | |
| Trustees' deferred compensation | | | 16,959 | |
| Receivables: | | | | |
| | Foreign tax reclaims | | | 902,743 | |
| | Dividends | | | 673,151 | |
| | Portfolio shares sold | | | 581,687 | |
| | Dividends from affiliates | | | 36,420 | |
| Other assets | | | 2,148 | |
Total Assets | | | 668,977,319 | |
Liabilities: | | | | |
| Due to custodian | | | 76 | |
| Payables: | | | — | |
| | Advisory fees | | | 456,582 | |
| | Portfolio shares repurchased | | | 262,011 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 112,213 | |
| | Transfer agent fees and expenses | | | 30,031 | |
| | Professional fees | | | 25,187 | |
| | Trustees' deferred compensation fees | | | 16,959 | |
| | Custodian fees | | | 13,517 | |
| | Trustees' fees and expenses | | | 4,072 | |
| | Affiliated portfolio administration fees payable | | | 1,456 | |
| | Accrued expenses and other payables | | | 83,902 | |
Total Liabilities | | | 1,006,006 | |
Net Assets | | $ | 667,971,313 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 731,425,751 | |
| Total distributable earnings (loss) | | | (63,454,438) | |
Total Net Assets | | $ | 667,971,313 | |
Net Assets - Institutional Shares | | $ | 152,323,951 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 3,698,181 | |
Net Asset Value Per Share | | $ | 41.19 | |
Net Assets - Service Shares | | $ | 515,647,362 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | | 13,130,732 | |
Net Asset Value Per Share | | $ | 39.27 | |
| | |
See Notes to Financial Statements. |
| |
10 | JUNE 30, 2023 |
Janus Henderson VIT Overseas Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: | | | |
| Dividends | $ | 13,319,327 | |
| Dividends from affiliates | | 208,051 | |
| Affiliated securities lending income, net | | 19,918 | |
| Unaffiliated securities lending income, net | | 4,770 | |
| Other income | | 22,066 | |
| Foreign tax withheld | | (1,538,366) | |
Total Investment Income | | 12,035,766 | |
Expenses: | | | |
| Advisory fees | | 2,627,110 | |
| 12b-1 Distribution and shareholder servicing fees: | | | |
| | Service Shares | | 642,801 | |
| Transfer agent administrative fees and expenses: | | | |
| | Institutional Shares | | 37,898 | |
| | Service Shares | | 128,477 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 1,397 | |
| | Service Shares | | 2,973 | |
| Professional fees | | 32,852 | |
| Custodian fees | | 29,034 | |
| Shareholder reports expense | | 18,669 | |
| Affiliated portfolio administration fees | | 13,062 | |
| Trustees’ fees and expenses | | 8,667 | |
| Registration fees | | 7,762 | |
| Other expenses | | 60,318 | |
Total Expenses | | 3,611,020 | |
Net Investment Income/(Loss) | | 8,424,746 | |
Net Realized Gain/(Loss) on Investments: | | | |
| Investments and foreign currency transactions | | 15,856,913 | |
| Investments in affiliates | | 373 | |
Total Net Realized Gain/(Loss) on Investments | | 15,857,286 | |
Change in Unrealized Net Appreciation/Depreciation: | | | |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 25,987,491 | |
| Investments in affiliates | | (480) | |
Total Change in Unrealized Net Appreciation/Depreciation | | 25,987,011 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 50,269,043 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Overseas Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 8,424,746 | | $ | 11,180,347 | |
| Net realized gain/(loss) on investments | | 15,857,286 | | | 15,279,335 | |
| Change in unrealized net appreciation/depreciation | | 25,987,011 | | | (91,249,340) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | 50,269,043 | | | (64,789,658) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (1,446,198) | | | (2,571,849) | |
| | Service Shares | | (4,714,215) | | | (8,483,696) | |
Net Decrease from Dividends and Distributions to Shareholders | | (6,160,413) | | | (11,055,545) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (2,261,269) | | | (8,401,371) | |
| | Service Shares | | (20,660,472) | | | (9,629,286) | |
Net Increase/(Decrease) from Capital Share Transactions | | (22,921,741) | | | (18,030,657) | |
Net Increase/(Decrease) in Net Assets | | 21,186,889 | | | (93,875,860) | |
Net Assets: | | | | | | |
| Beginning of period | | 646,784,424 | | | 740,660,284 | |
| End of period | $ | 667,971,313 | | $ | 646,784,424 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Overseas Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $38.52 | | | $42.92 | | | $38.21 | | | $33.29 | | | $26.71 | | | $31.98 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.55 | | | 0.74 | | | 0.58 | | | 0.36 | | | 0.60 | | | 0.53 | |
| | Net realized and unrealized gain/(loss) | | 2.51 | | | (4.46) | | | 4.62 | | | 4.99 | | | 6.56 | | | (5.25) | |
| Total from Investment Operations | | 3.06 | | | (3.72) | | | 5.20 | | | 5.35 | | | 7.16 | | | (4.72) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.39) | | | (0.68) | | | (0.49) | | | (0.43) | | | (0.58) | | | (0.55) | |
| Total Dividends and Distributions | | (0.39) | | | (0.68) | | | (0.49) | | | (0.43) | | | (0.58) | | | (0.55) | |
| Net Asset Value, End of Period | | $41.19 | | | $38.52 | | | $42.92 | | | $38.21 | | | $33.29 | | | $26.71 | |
| Total Return* | | 7.95% | | | (8.63)% | | | 13.61% | | | 16.30% | | | 27.02% | | | (14.94)% | |
| Net Assets, End of Period (in thousands) | | $152,324 | | | $144,544 | | | $170,166 | | | $159,005 | | | $165,881 | | | $143,912 | |
| Average Net Assets for the Period (in thousands) | | $152,791 | | | $147,074 | | | $168,216 | | | $138,082 | | | $154,209 | | | $172,398 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.89% | | | 0.89% | | | 0.87% | | | 0.83% | | | 0.75% | | | 0.60% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.89% | | | 0.89% | | | 0.87% | | | 0.83% | | | 0.75% | | | 0.60% | |
| | Ratio of Net Investment Income/(Loss) | | 2.72% | | | 1.91% | | | 1.38% | | | 1.15% | | | 2.00% | | | 1.71% | |
| Portfolio Turnover Rate | | 14% | | | 36% | | | 21% | | | 21% | | | 23% | | | 25% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Overseas Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $36.76 | | | $41.02 | | | $36.57 | | | $31.90 | | | $25.63 | | | $30.74 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.48 | | | 0.61 | | | 0.46 | | | 0.27 | | | 0.50 | | | 0.44 | |
| | Net realized and unrealized gain/(loss) | | 2.39 | | | (4.25) | | | 4.41 | | | 4.77 | | | 6.30 | | | (5.05) | |
| Total from Investment Operations | | 2.87 | | | (3.64) | | | 4.87 | | | 5.04 | | | 6.80 | | | (4.61) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.36) | | | (0.62) | | | (0.42) | | | (0.37) | | | (0.53) | | | (0.50) | |
| Total Dividends and Distributions | | (0.36) | | | (0.62) | | | (0.42) | | | (0.37) | | | (0.53) | | | (0.50) | |
| Net Asset Value, End of Period | | $39.27 | | | $36.76 | | | $41.02 | | | $36.57 | | | $31.90 | | | $25.63 | |
| Total Return* | | 7.81% | | | (8.84)% | | | 13.32% | | | 15.99% | | | 26.76% | | | (15.17)% | |
| Net Assets, End of Period (in thousands) | | $515,647 | | | $502,240 | | | $570,494 | | | $540,349 | | | $535,223 | | | $483,432 | |
| Average Net Assets for the Period (in thousands) | | $518,127 | | | $501,246 | | | $567,812 | | | $468,995 | | | $508,303 | | | $587,476 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 1.14% | | | 1.14% | | | 1.12% | | | 1.08% | | | 0.99% | | | 0.85% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 1.14% | | | 1.14% | | | 1.12% | | | 1.08% | | | 0.99% | | | 0.85% | |
| | Ratio of Net Investment Income/(Loss) | | 2.48% | | | 1.67% | | | 1.14% | | | 0.92% | | | 1.76% | | | 1.46% | |
| Portfolio Turnover Rate | | 14% | | | 36% | | | 21% | | | 21% | | | 23% | | | 25% | |
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* 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. |
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See Notes to Financial Statements. |
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14 | JUNE 30, 2023 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Overseas Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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.
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
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
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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 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.
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,
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of June 30, 2023.
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-USA 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 ±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 period ended June 30, 2023, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.79%.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 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
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2023, the Portfolio engaged in cross trades amounting to $12,486,474 in sales, resulting in a net realized gain of $900,842. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(58,436,969) | $(163,414,566) | $ (221,851,535) | | |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 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) |
$ 529,178,628 | $161,109,277 | $(23,525,789) | $ 137,583,488 |
Janus Henderson VIT Overseas Portfolio
Notes to Financial Statements (unaudited)
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 272,676 | $ 11,191,629 | | 320,989 | $12,280,717 |
Reinvested dividends and distributions | 34,983 | 1,446,198 | | 67,848 | 2,571,849 |
Shares repurchased | (362,077) | (14,899,096) | | (601,297) | (23,253,937) |
Net Increase/(Decrease) | (54,418) | $ (2,261,269) | | (212,460) | $ (8,401,371) |
Service Shares: | | | | | |
Shares sold | 496,338 | $ 19,552,819 | | 1,365,030 | $49,728,351 |
Reinvested dividends and distributions | 119,589 | 4,714,215 | | 234,363 | 8,483,696 |
Shares repurchased | (1,148,695) | (44,927,506) | | (1,842,484) | (67,841,333) |
Net Increase/(Decrease) | (532,768) | $(20,660,472) | | (243,091) | $ (9,629,286) |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$91,476,234 | $ 113,842,084 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Overseas Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Overseas Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Overseas Portfolio
Useful Information About Your Portfolio Report (unaudited)
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
| | | | 109-24-81120 08-23 |
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| | | |
| | | SEMIANNUAL REPORT June 30, 2023 |
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| | Janus Henderson VIT Research Portfolio |
| | |
| | Janus Aspen Series |
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| | | |
| | | HIGHLIGHTS · Investment strategy behind your portfolio · Portfolio performance, characteristics
and holdings |
Table of Contents
Janus Henderson VIT Research Portfolio
| | | | | | |
| | | | | | Team-Based Approach Led by Matthew Peron, Director of Research |
| | | |
Important Notice – Tailored Shareholder Reports
Effective January 24, 2023, the Securities and Exchange Commission (the “SEC”) adopted rule and form amendments that require mutual funds and exchange-traded funds to provide shareholders with streamlined annual and semi-annual shareholder reports that highlight key information. Other information, including financial statements, that currently appears in shareholder reports will be made available online, delivered free of charge to shareholders upon request, and filed with the SEC. The first tailored shareholder report for the Portfolio will be for the reporting period ending June 30, 2024. Currently, management is evaluating the impact of the rule and form amendments on the content of the Portfolio’s current shareholder reports.
Janus Henderson VIT Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2023
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| 5 Top Contributors - Holdings | 5 Top Detractors - Holdings |
| | Average
Weight | | Relative
Contribution | | | Average
Weight | | Relative
Contribution |
| NVIDIA Corp | 4.86% | | 1.53% | | Tesla Inc | 0.59% | | -1.26% |
| Advanced Micro Devices Inc | 1.59% | | 0.40% | | Apple Inc | 7.22% | | -1.00% |
| Lam Research Corp | 1.56% | | 0.27% | | T-Mobile US Inc | 1.57% | | -0.51% |
| AbbVie Inc | 1.29% | | 0.23% | | EOG Resources Inc | 1.34% | | -0.49% |
| Booking Holdings Inc | 2.27% | | 0.16% | | General Dynamics Corp | 0.90% | | -0.46% |
| | | | | | | |
| 4 Top Contributors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Technology | | 1.85% | | 40.75% | 40.77% |
| Consumer | | 1.24% | | 18.00% | 17.79% |
| Financials | | 0.03% | | 8.09% | 8.22% |
| Energy | | 0.03% | | 1.45% | 1.42% |
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| | | | | | |
| 4 Top Detractors - Sectors* | | | | | |
| | | Relative | | Portfolio | Russell 1000 Growth Index |
| | | Contribution | | Average Weight | Average Weight |
| Industrials | | -2.11% | | 10.50% | 10.81% |
| Healthcare | | -0.59% | | 12.07% | 11.94% |
| Communications | | -0.24% | | 9.03% | 9.05% |
| Other** | | -0.03% | | 0.11% | 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. |
* | 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
June 30, 2023
| | |
5 Largest Equity Holdings - (% of Net Assets) |
Microsoft Corp | |
Software | 12.1% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 7.7% |
NVIDIA Corp | |
Semiconductor & Semiconductor Equipment | 5.9% |
Alphabet Inc - Class C | |
Interactive Media & Services | 5.4% |
Amazon.com Inc | |
Multiline Retail | 5.3% |
| | 36.4% |
| | | | | | |
Asset Allocation - (% of Net Assets) | |
Common Stocks | | 100.1% | |
Investments Purchased with Cash Collateral from Securities Lending | | 0.0% | |
Other | | (0.1)% |
| | | 100.0% |
| | |
Top Country Allocations - Long Positions - (% of Investment Securities) |
As of June 30, 2023 
| As of December 31, 2022 
|
Janus Henderson VIT Research Portfolio (unaudited)
Performance
| |
See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended June 30, 2023 | | | Prospectus Expense Ratios |
| | Fiscal
Year-to-Date | One
Year | Five
Year | Ten
Year | Since
Inception* | | | Total Annual Fund
Operating Expenses‡ |
Institutional Shares | | 28.84% | 29.72% | 12.51% | 13.28% | 9.20% | | | 0.56% |
Service Shares | | 28.68% | 29.41% | 12.24% | 13.00% | 8.91% | | | 0.81% |
Russell 1000 Growth Index | | 29.02% | 27.11% | 15.14% | 15.74% | 10.45% | | | |
S&P 500 Index | | 16.89% | 19.59% | 12.31% | 12.86% | 10.00% | | | |
Core Growth Index | | 22.85% | 23.37% | 13.77% | 14.33% | 10.27% | | | |
Morningstar Quartile - Institutional Shares | | - | 1st | 2nd | 2nd | 3rd | | | |
Morningstar Ranking - based on total returns for Large Growth Funds | | - | 156/1,226 | 376/1,102 | 518/1,014 | 234/360 | | | |
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.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2023 Morningstar, Inc. All Rights Reserved.
Janus Henderson VIT Research Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
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.
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| | | Actual | | Hypothetical
(5% return before expenses) | |
| Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | | Beginning
Account
Value
(1/1/23) | Ending
Account
Value
(6/30/23) | Expenses
Paid During
Period
(1/1/23 - 6/30/23)† | Net Annualized
Expense Ratio
(1/1/23 - 6/30/23) |
Institutional Shares | $1,000.00 | $1,288.40 | $3.18 | | $1,000.00 | $1,022.02 | $2.81 | 0.56% |
Service Shares | $1,000.00 | $1,286.80 | $4.59 | | $1,000.00 | $1,020.78 | $4.06 | 0.81% |
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– 100.1% | | | |
Aerospace & Defense – 1.6% | | | |
| | General Dynamics Corp | | 17,664 | | | $3,800,410 | |
| | Howmet Aerospace Inc | | 105,671 | | | 5,237,055 | |
| | | 9,037,465 | |
Air Freight & Logistics – 1.5% | | | |
| | United Parcel Service Inc | | 47,381 | | | 8,493,044 | |
Automobiles – 0.8% | | | |
| | Rivian Automotive Inc - Class A* | | 96,549 | | | 1,608,506 | |
| | Tesla Inc* | | 11,598 | | | 3,036,008 | |
| | | 4,644,514 | |
Beverages – 1.9% | | | |
| | Constellation Brands Inc - Class A | | 26,446 | | | 6,509,154 | |
| | Monster Beverage Corp | | 73,904 | | | 4,245,046 | |
| | | 10,754,200 | |
Biotechnology – 2.6% | | | |
| | Amgen Inc | | 13,415 | | | 2,978,398 | |
| | Argenx SE (ADR)* | | 3,800 | | | 1,480,974 | |
| | Madrigal Pharmaceuticals Inc* | | 5,131 | | | 1,185,261 | |
| | Sarepta Therapeutics Inc* | | 20,658 | | | 2,365,754 | |
| | United Therapeutics Corp* | | 8,112 | | | 1,790,724 | |
| | Vertex Pharmaceuticals Inc* | | 13,816 | | | 4,861,989 | |
| | | 14,663,100 | |
Capital Markets – 1.4% | | | |
| | Blackstone Group Inc | | 35,241 | | | 3,276,356 | |
| | Charles Schwab Corp | | 41,565 | | | 2,355,904 | |
| | LPL Financial Holdings Inc | | 9,153 | | | 1,990,137 | |
| | | 7,622,397 | |
Chemicals – 0.8% | | | |
| | Sherwin-Williams Co | | 16,156 | | | 4,289,741 | |
Diversified Financial Services – 5.2% | | | |
| | Apollo Global Management Inc | | 38,155 | | | 2,930,685 | |
| | Global Payments Inc | | 9,903 | | | 975,644 | |
| | Mastercard Inc | | 31,145 | | | 12,249,328 | |
| | Visa Inc | | 52,906 | | | 12,564,117 | |
| | | 28,719,774 | |
Energy Equipment & Services – 0.2% | | | |
| | Atlas Energy Solutions Inc - Class A# | | 56,945 | | | 988,565 | |
Entertainment – 2.1% | | | |
| | Liberty Media Corp-Liberty Formula One* | | 78,581 | | | 5,915,578 | |
| | Netflix Inc* | | 13,640 | | | 6,008,284 | |
| | | 11,923,862 | |
Health Care Equipment & Supplies – 1.6% | | | |
| | Abbott Laboratories | | 30,860 | | | 3,364,357 | |
| | Boston Scientific Corp* | | 15,542 | | | 840,667 | |
| | DexCom Inc* | | 13,491 | | | 1,733,728 | |
| | Edwards Lifesciences Corp* | | 30,374 | | | 2,865,179 | |
| | | 8,803,931 | |
Health Care Providers & Services – 2.3% | | | |
| | Centene Corp* | | 20,834 | | | 1,405,253 | |
| | UnitedHealth Group Inc | | 23,730 | | | 11,405,587 | |
| | | 12,810,840 | |
Hotels, Restaurants & Leisure – 3.1% | | | |
| | Booking Holdings Inc* | | 3,907 | | | 10,550,189 | |
| | Caesars Entertainment Inc* | | 33,445 | | | 1,704,692 | |
| | Chipotle Mexican Grill Inc* | | 2,436 | | | 5,210,604 | |
| | | 17,465,485 | |
Household Products – 1.5% | | | |
| | Procter & Gamble Co | | 54,794 | | | 8,314,441 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
6 | JUNE 30, 2023 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Information Technology Services – 0.3% | | | |
| | Snowflake Inc - Class A* | | 9,447 | | | $1,662,483 | |
Insurance – 0.9% | | | |
| | Aon PLC - Class A | | 3,403 | | | 1,174,716 | |
| | Progressive Corp/The | | 29,080 | | | 3,849,320 | |
| | | 5,024,036 | |
Interactive Media & Services – 8.7% | | | |
| | Alphabet Inc - Class C* | | 246,525 | | | 29,822,129 | |
| | Meta Platforms Inc - Class A* | | 63,763 | | | 18,298,706 | |
| | | 48,120,835 | |
Life Sciences Tools & Services – 1.0% | | | |
| | Danaher Corp | | 11,263 | | | 2,703,120 | |
| | Illumina Inc* | | 5,369 | | | 1,006,634 | |
| | Thermo Fisher Scientific Inc | | 3,409 | | | 1,778,646 | |
| | | 5,488,400 | |
Machinery – 2.0% | | | |
| | Deere & Co | | 18,282 | | | 7,407,684 | |
| | Ingersoll Rand Inc | | 60,415 | | | 3,948,724 | |
| | | 11,356,408 | |
Multiline Retail – 5.3% | | | |
| | Amazon.com Inc* | | 227,916 | | | 29,711,130 | |
Oil, Gas & Consumable Fuels – 0.6% | | | |
| | EOG Resources Inc | | 30,030 | | | 3,436,633 | |
Personal Products – 0.1% | | | |
| | Olaplex Holdings Inc* | | 110,266 | | | 410,189 | |
Pharmaceuticals – 3.4% | | | |
| | AstraZeneca PLC (ADR) | | 42,339 | | | 3,030,202 | |
| | Eli Lilly & Co | | 11,641 | | | 5,459,396 | |
| | Merck & Co Inc | | 40,630 | | | 4,688,296 | |
| | Novo Nordisk A/S (ADR) | | 9,167 | | | 1,483,496 | |
| | Zoetis Inc | | 24,384 | | | 4,199,169 | |
| | | 18,860,559 | |
Professional Services – 1.0% | | | |
| | CoStar Group Inc* | | 59,933 | | | 5,334,037 | |
Road & Rail – 1.7% | | | |
| | JB Hunt Transport Services Inc | | 17,456 | | | 3,160,060 | |
| | TFI International Inc | | 28,029 | | | 3,194,185 | |
| | Uber Technologies Inc* | | 71,900 | | | 3,103,923 | |
| | | 9,458,168 | |
Semiconductor & Semiconductor Equipment – 13.1% | | | |
| | Advanced Micro Devices Inc* | | 79,302 | | | 9,033,291 | |
| | ASML Holding NV | | 10,896 | | | 7,896,876 | |
| | KLA Corp | | 10,510 | | | 5,097,560 | |
| | Lam Research Corp | | 13,265 | | | 8,527,538 | |
| | Lattice Semiconductor Corp* | | 10,677 | | | 1,025,739 | |
| | Marvell Technology Inc | | 29,941 | | | 1,789,873 | |
| | NVIDIA Corp | | 77,477 | | | 32,774,320 | |
| | ON Semiconductor Corp* | | 29,526 | | | 2,792,569 | |
| | Texas Instruments Inc | | 20,207 | | | 3,637,664 | |
| | | 72,575,430 | |
Software – 21.1% | | | |
| | Adobe Inc* | | 18,485 | | | 9,038,980 | |
| | Atlassian Corp - Class A* | | 28,081 | | | 4,712,273 | |
| | Autodesk Inc* | | 10,901 | | | 2,230,454 | |
| | Cadence Design Systems Inc* | | 29,547 | | | 6,929,362 | |
| | Microsoft Corp | | 198,404 | | | 67,564,498 | |
| | Palo Alto Networks Inc* | | 20,929 | | | 5,347,569 | |
| | ServiceNow Inc* | | 9,171 | | | 5,153,827 | |
| | Synopsys Inc* | | 14,946 | | | 6,507,638 | |
| | Tyler Technologies Inc* | | 4,027 | | | 1,677,125 | |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 7 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
| | | | | | | | |
Shares or
Principal Amounts | | | Value | |
Common Stocks– (continued) | | | |
Software– (continued) | | | |
| | Workday Inc - Class A* | | 35,562 | | | $8,033,100 | |
| | | 117,194,826 | |
Specialty Retail – 2.8% | | | |
| | O'Reilly Automotive Inc* | | 8,302 | | | 7,930,901 | |
| | TJX Cos Inc | | 90,596 | | | 7,681,635 | |
| | | 15,612,536 | |
Technology Hardware, Storage & Peripherals – 7.7% | | | |
| | Apple Inc | | 221,406 | | | 42,946,122 | |
Textiles, Apparel & Luxury Goods – 1.4% | | | |
| | Deckers Outdoor Corp* | | 5,996 | | | 3,163,849 | |
| | NIKE Inc - Class B | | 43,594 | | | 4,811,470 | |
| | | 7,975,319 | |
Trading Companies & Distributors – 0.8% | | | |
| | Ferguson PLC | | 27,934 | | | 4,394,297 | |
Wireless Telecommunication Services – 1.6% | | | |
| | T-Mobile US Inc* | | 62,531 | | | 8,685,556 | |
Total Common Stocks (cost $309,811,761) | | 556,778,323 | |
Investments Purchased with Cash Collateral from Securities Lending– 0% | | | |
Investment Companies – 0% | | | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº,£ | | 730 | | | 730 | |
Time Deposits – 0% | | | |
| | Royal Bank of Canada, 5.0600%, 7/3/23 | | $183 | | | 183 | |
Total Investments Purchased with Cash Collateral from Securities Lending (cost $913) | | 913 | |
Total Investments (total cost $309,812,674) – 100.1% | | 556,779,236 | |
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | | (415,681) | |
Net Assets – 100% | | $556,363,555 | |
| | | | | | |
Summary of Investments by Country - (Long Positions) (unaudited) |
| |
| | | | | % of | |
| | | | | Investment | |
Country | | Value | | Securities | |
United States | | $539,693,503 | | 96.9 | % |
Netherlands | | 7,896,876 | | 1.4 | |
Canada | | 3,194,185 | | 0.6 | |
United Kingdom | | 3,030,202 | | 0.5 | |
Denmark | | 1,483,496 | | 0.3 | |
Belgium | | 1,480,974 | | 0.3 | |
| | | | | | |
| | | | | | |
Total | | $556,779,236 | | 100.0 | % |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
8 | JUNE 30, 2023 |
Janus Henderson VIT Research Portfolio
Schedule of Investments (unaudited)
June 30, 2023
Schedules of Affiliated Investments – (% of Net Assets)
| | | | | | | | | | | |
| | Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/23 |
Investment Companies - N/A |
Money Markets - N/A | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | $ | 5,330 | $ | (42) | $ | - | $ | - |
Investments Purchased with Cash Collateral from Securities Lending - 0.0% |
Investment Companies - 0.0% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | 1,926∆ | | - | | - | | 730 |
Total Affiliated Investments - 0.0% | $ | 7,256 | $ | (42) | $ | - | $ | 730 |
| | | | | | | | | | | |
| | Value at 12/31/22 | Purchases | Sales Proceeds | Value at 6/30/23 |
Investment Companies - N/A |
Money Markets - N/A | |
| | Janus Henderson Cash Liquidity Fund LLC, 5.1900%ºº | | - | | 13,746,034 | | (13,745,992) | | - |
Investments Purchased with Cash Collateral from Securities Lending - 0.0% |
Investment Companies - 0.0% | |
| | Janus Henderson Cash Collateral Fund LLC, 4.9971%ºº | | - | | 10,077,250 | | (10,076,520) | | 730 |
| | | | | | | | | | |
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 | $ | 868 | $ | — | $ | (868) | $ | — |
| | | | | | | | | |
(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. |
| | |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. |
| |
Janus Aspen Series | 9 |
Janus Henderson VIT Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
| | |
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
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%). |
| | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
| | |
* | Non-income producing security. |
| | |
ºº | Rate shown is the 7-day yield as of June 30, 2023. |
| | |
# | Loaned security; a portion of the security is on loan at June 30, 2023. |
| | |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
| | |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
| | | | | | | | | | | | | |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2023. 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 | $ | 556,778,323 | $ | - | $ | - |
Investments Purchased with Cash Collateral from Securities Lending | | - | | 913 | | - |
Total Assets | $ | 556,778,323 | $ | 913 | $ | - |
| | | | | | | |
Janus Henderson VIT Research Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2023
| | | | | | | |
| | | | | | |
Assets: | | | | |
| Unaffiliated investments, at value (cost $309,811,944)(1) | | $ | 556,778,506 | |
| Affiliated investments, at value (cost $730) | | | 730 | |
| Trustees' deferred compensation | | | 14,146 | |
| Receivables: | | | | |
| | Investments sold | | | 4,167,548 | |
| | Dividends | | | 325,762 | |
| | Portfolio shares sold | | | 49,628 | |
| | Foreign tax reclaims | | | 17,018 | |
| | Dividends from affiliates | | | 1,292 | |
| Other assets | | | 11,118 | |
Total Assets | | | 561,365,748 | |
Liabilities: | | | | |
| Due to custodian | | | 174,473 | |
| Collateral for securities loaned (Note 2) | | | 913 | |
| Payables: | | | — | |
| | Investments purchased | | | 3,849,555 | |
| | Portfolio shares repurchased | | | 596,897 | |
| | Advisory fees | | | 232,810 | |
| | 12b-1 Distribution and shareholder servicing fees | | | 31,193 | |
| | Professional fees | | | 29,912 | |
| | Transfer agent fees and expenses | | | 24,659 | |
| | Trustees' deferred compensation fees | | | 14,146 | |
| | Trustees' fees and expenses | | | 3,161 | |
| | Affiliated portfolio administration fees payable | | | 1,193 | |
| | Custodian fees | | | 945 | |
| | Accrued expenses and other payables | | | 42,336 | |
Total Liabilities | | | 5,002,193 | |
Net Assets | | $ | 556,363,555 | |
Net Assets Consist of: | | | | |
| Capital (par value and paid-in surplus) | | $ | 293,045,478 | |
| Total distributable earnings (loss) | | | 263,318,077 | |
Total Net Assets | | $ | 556,363,555 | |
Net Assets - Institutional Shares | | $ | 411,281,511 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | 10,121,673 | |
Net Asset Value Per Share | | $ | 40.63 | |
Net Assets - Service Shares | | $ | 145,082,044 | |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | | 3,739,053 | |
Net Asset Value Per Share | | $ | 38.80 | |
| |
(1) Includes $868 of securities on loan. See Note 2 in Notes to Financial Statements. |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 11 |
Janus Henderson VIT Research Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2023
| | | | | | |
| | | | | |
Investment Income: |
| Dividends | $ | 2,119,630 | |
| Dividends from affiliates | | 5,330 | |
| Affiliated securities lending income, net | | 1,926 | |
| Unaffiliated securities lending income, net | | 607 | |
| Other income | | 1,504 | |
| Foreign tax withheld | | (21,928) | |
Total Investment Income | | 2,107,069 | |
Expenses: | | | |
| Advisory fees | | 1,149,097 | |
| 12b-1 Distribution and shareholder servicing fees: |
| | Service Shares | | 161,171 | |
| Transfer agent administrative fees and expenses: | | |
| | Institutional Shares | | 91,656 | |
| | Service Shares | | 32,247 | |
| Other transfer agent fees and expenses: | | | |
| | Institutional Shares | | 3,228 | |
| | Service Shares | | 741 | |
| Professional fees | | 35,357 | |
| Shareholder reports expense | | 11,724 | |
| Affiliated portfolio administration fees | | 9,778 | |
| Custodian fees | | 7,047 | |
| Registration fees | | 6,539 | |
| Trustees’ fees and expenses | | 6,372 | |
| Other expenses | | 30,667 | |
Total Expenses | | 1,545,624 | |
Net Investment Income/(Loss) | | 561,445 | |
Net Realized Gain/(Loss) on Investments: | |
| Investments and foreign currency transactions | | 19,713,718 | |
| Investments in affiliates | | (42) | |
Total Net Realized Gain/(Loss) on Investments | 19,713,676 | |
Change in Unrealized Net Appreciation/Depreciation: |
| Investments, foreign currency translations and Trustees’ deferred compensation | | 106,828,564 | |
Total Change in Unrealized Net Appreciation/Depreciation | 106,828,564 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 127,103,685 | |
| | | | | |
| | |
See Notes to Financial Statements. |
| |
12 | JUNE 30, 2023 |
Janus Henderson VIT Research Portfolio
Statements of Changes in Net Assets
| | | | | | | | | |
| | | | | | | | |
| | | Period ended
June 30, 2023 (unaudited) | | Year ended
December 31, 2022 | |
| | | | | | | | | |
Operations: | | | | | | |
| Net investment income/(loss) | $ | 561,445 | | $ | 912,204 | |
| Net realized gain/(loss) on investments | | 19,713,676 | | | (7,477,293) | |
| Change in unrealized net appreciation/depreciation | 106,828,564 | | | (199,308,093) | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | 127,103,685 | | | (205,873,182) | |
Dividends and Distributions to Shareholders: | | | | | | |
| | Institutional Shares | | (561,306) | | | (70,400,164) | |
| | Service Shares | | (84,691) | | | (25,045,507) | |
Net Decrease from Dividends and Distributions to Shareholders | (645,997) | | | (95,445,671) | |
Capital Share Transactions: | | | | | | |
| | Institutional Shares | | (17,193,165) | | | 37,409,779 | |
| | Service Shares | | (5,214,528) | | | 11,902,394 | |
Net Increase/(Decrease) from Capital Share Transactions | (22,407,693) | | | 49,312,173 | |
Net Increase/(Decrease) in Net Assets | | 104,049,995 | | | (252,006,680) | |
Net Assets: | | | | | | |
| Beginning of period | | 452,313,560 | | | 704,320,240 | |
| End of period | $ | 556,363,555 | | $ | 452,313,560 | |
| | | | | | | | |
| | |
See Notes to Financial Statements. |
| |
Janus Aspen Series | 13 |
Janus Henderson VIT Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Institutional Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $31.58 | | | $56.31 | | | $49.35 | | | $40.79 | | | $33.70 | | | $36.51 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.05 | | | 0.09 | | | (0.01) | | | 0.14 | | | 0.21 | | | 0.19 | |
| | Net realized and unrealized gain/(loss) | | 9.06 | | | (16.93) | | | 9.73 | | | 12.20 | | | 11.26 | | | (0.94) | |
| Total from Investment Operations | | 9.11 | | | (16.84) | | | 9.72 | | | 12.34 | | | 11.47 | | | (0.75) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.06) | | | (0.06) | | | (0.05) | | | (0.18) | | | (0.18) | | | (0.21) | |
| | Distributions (from capital gains) | | — | | | (7.83) | | | (2.71) | | | (3.60) | | | (4.20) | | | (1.85) | |
| Total Dividends and Distributions | | (0.06) | | | (7.89) | | | (2.76) | | | (3.78) | | | (4.38) | | | (2.06) | |
| Net Asset Value, End of Period | | $40.63 | | | $31.58 | | | $56.31 | | | $49.35 | | | $40.79 | | | $33.70 | |
| Total Return* | | 28.84% | | | (29.89)% | | | 20.33% | | | 32.95% | | | 35.52% | | | (2.58)% | |
| Net Assets, End of Period (in thousands) | | $411,282 | | | $334,877 | | | $519,679 | | | $474,525 | | | $398,888 | | | $328,803 | |
| Average Net Assets for the Period (in thousands) | | $368,890 | | | $389,504 | | | $496,858 | | | $414,413 | | | $374,004 | | | $380,194 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.56% | | | 0.56% | | | 0.60% | | | 0.60% | | | 0.59% | | | 0.58% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.56% | | | 0.56% | | | 0.60% | | | 0.60% | | | 0.59% | | | 0.58% | |
| | Ratio of Net Investment Income/(Loss) | | 0.29% | | | 0.24% | | | (0.01)% | | | 0.33% | | | 0.55% | | | 0.50% | |
| Portfolio Turnover Rate | | 16% | | | 30% | | | 33% | | | 33% | | | 38% | | | 47% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
| | |
See Notes to Financial Statements. |
| |
14 | JUNE 30, 2023 |
Janus Henderson VIT Research Portfolio
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
Service Shares | | | | | | | | | | | | | | | | | | |
For a share outstanding during the period ended June 30, 2023 (unaudited) and the year ended December 31 | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $30.17 | | | $54.34 | | | $47.78 | | | $39.64 | | | $32.87 | | | $35.68 | |
| Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income/(loss)(1) | | 0.01 | | | —(2) | | | (0.13) | | | 0.03 | | | 0.11 | | | 0.09 | |
| | Net realized and unrealized gain/(loss) | | 8.64 | | | (16.34) | | | 9.41 | | | 11.80 | | | 10.98 | | | (0.92) | |
| Total from Investment Operations | | 8.65 | | | (16.34) | | | 9.28 | | | 11.83 | | | 11.09 | | | (0.83) | |
| Less Dividends and Distributions: | | | | | | | | | | | | | | | | | | |
| | Dividends (from net investment income) | | (0.02) | | | — | | | (0.01) | | | (0.09) | | | (0.12) | | | (0.13) | |
| | Distributions (from capital gains) | | — | | | (7.83) | | | (2.71) | | | (3.60) | | | (4.20) | | | (1.85) | |
| Total Dividends and Distributions | | (0.02) | | | (7.83) | | | (2.72) | | | (3.69) | | | (4.32) | | | (1.98) | |
| Net Asset Value, End of Period | | $38.80 | | | $30.17 | | | $54.34 | | | $47.78 | | | $39.64 | | | $32.87 | |
| Total Return* | | 28.68% | | | (30.06)% | | | 20.05% | | | 32.58% | | | 35.22% | | | (2.84)% | |
| Net Assets, End of Period (in thousands) | | $145,082 | | | $117,437 | | | $184,641 | | | $172,198 | | | $150,614 | | | $126,817 | |
| Average Net Assets for the Period (in thousands) | | $129,770 | | | $136,703 | | | $178,748 | | | $151,973 | | | $141,550 | | | $148,101 | |
| Ratios to Average Net Assets**: | | | | | | | | | | | | | | | | | | |
| | Ratio of Gross Expenses | | 0.81% | | | 0.81% | | | 0.85% | | | 0.85% | | | 0.84% | | | 0.83% | |
| | Ratio of Net Expenses (After Waivers and Expense Offsets) | | 0.81% | | | 0.81% | | | 0.85% | | | 0.85% | | | 0.84% | | | 0.83% | |
| | Ratio of Net Investment Income/(Loss) | | 0.04% | | | (0.01)% | | | (0.26)% | | | 0.08% | | | 0.30% | | | 0.25% | |
| Portfolio Turnover Rate | | 16% | | | 30% | | | 33% | | | 33% | | | 38% | | | 47% | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* 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 Research Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Research Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 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 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
Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally 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. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-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 by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation 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 value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the Portfolio, if any, will be calculated using the NAV of such funds.
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal period.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of June 30, 2023 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.
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Market Risk
The value of the Portfolio’s portfolio may decrease if the value of one or more issuers in the Portfolio’s portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio’s portfolio decreases, the Portfolio’s NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, and social unrest, could
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.
• COVID-19 Pandemic. The effects of COVID-19 have contributed to increased volatility in global financial markets and have affected and may continue to affect certain countries, regions, issuers, industries and market sectors more dramatically than others. These conditions and events could have a significant impact on the Portfolio and its investments, the Portfolio’s ability to meet redemption requests, and the processes and operations of the Portfolio’s service providers, including the Adviser.
• Russia/Ukraine Invasion. Russia launched a large-scale invasion of Ukraine on February 24, 2022. The extent and duration of the military action, resulting sanctions and resulting future market disruptions in the region are impossible to predict, but could be significant and have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas, as well as other sectors.
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.
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. For financial reporting purposes, the Portfolio does not offset financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities. 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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
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 June 30, 2023, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $868. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2023 is $913, resulting in the net amount due to the counterparty of $45.
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 Offsetting Assets and Liabilities table located in the Schedule of Investments 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.
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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
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 period ended June 30, 2023, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.46%.
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 authorized to perform, or cause others to perform 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 $9,912 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2023. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
Janus Henderson Services US 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, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. 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.
The Transfer Agent is not compensated for 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 (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.
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
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2023 on the Statement of Assets and Liabilities in the asset, “Trustees’ deferred compensation,” and liability, “Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2023 are included in “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 $219,100 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2023.
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”). 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 period ended June 30, 2023 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
4. Federal Income Tax
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.
The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2022, 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, 2022 | | |
| No Expiration | | | |
| Short-Term | Long-Term | Accumulated
Capital Losses | | |
| $(7,617,272) | $ - | $ (7,617,272) | | |
Janus Henderson VIT Research Portfolio
Notes to Financial Statements (unaudited)
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2023 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals, straddle deferrals, and investments in partnerships.
| | | | |
Federal Tax Cost | Unrealized
Appreciation | Unrealized
(Depreciation) | Net Tax Appreciation/
(Depreciation) |
$311,185,263 | $257,736,513 | $ (12,142,540) | $ 245,593,973 |
5. Capital Share Transactions
| | | | | | | |
| | | | | | |
| | Period ended June 30, 2023 | | Year ended December 31, 2022 |
| | Shares | Amount | | Shares | Amount |
| | | | | | | |
Institutional Shares: | | | | | |
Shares sold | 141,451 | $ 5,163,296 | | 144,237 | $ 5,476,747 |
Reinvested dividends and distributions | 14,132 | 561,306 | | 2,228,505 | 70,400,164 |
Shares repurchased | (636,662) | (22,917,767) | | (999,614) | (38,467,132) |
Net Increase/(Decrease) | (481,079) | $(17,193,165) | | 1,373,128 | $37,409,779 |
Service Shares: | | | | | |
Shares sold | 111,073 | $ 3,860,263 | | 225,334 | $ 7,953,370 |
Reinvested dividends and distributions | 2,233 | 84,691 | | 830,421 | 25,045,507 |
Shares repurchased | (266,332) | (9,159,482) | | (561,806) | (21,096,483) |
Net Increase/(Decrease) | (153,026) | $ (5,214,528) | | 493,949 | $11,902,394 |
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2023, 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 |
$80,531,711 | $ 102,140,566 | $ - | $ - |
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2023 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
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; and (ii) 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.
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 (the “Adviser”) 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 9-10, 2022 and December 13-14, 2022, the Trustees evaluated the information provided by the Adviser and the independent fee consultant, as well as other information provided by the Adviser and the independent fee consultant during the year. Following such evaluation, the Trustees determined that the overall arrangements between each Janus Henderson Fund and the Adviser were fair and reasonable in light of the nature, extent, and quality of the services provided by the Adviser and its affiliates, 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 for the period from February 1, 2023 through February 1, 2024, 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 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, 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, such as managing the execution of portfolio transactions and the selection of broker-dealers for
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
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 Janus Henderson Fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that the Adviser provides a number of different services for the Janus Henderson Funds and their 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 to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory 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 had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable fund 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, noting that: (i) for the 36 months ended May 31, 2022, approximately 38% of the Janus Henderson Funds were in the top two quartiles of their Broadridge peer groups; (ii) for the 36 months ended September 30, 2022, approximately 45% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar, and (iii) for the 12 months ended September 30, 2022, approximately 55% of the Janus Henderson Funds were in the top two quartiles of performance as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Adaptive Risk Managed U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Balanced Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022 The Trustees noted the reasons for the VIT Portfolio’s underperformance and the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the evaluated performance period ended May 31, 2022. The Trustees noted that 36 month-end performance was not yet available.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the third Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022. The Trustees noted the reasons for the VIT Portfolio’s underperformance, while also noting that the VIT Portfolio has a performance fee structure that results in lower management fees during periods of underperformance, the steps the Adviser had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2022 and the first Broadridge quartile for the 12 months ended May 31, 2022.
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2022 and the second Broadridge quartile for the 12 months ended May 31, 2022.
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, as applicable, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory agreement.
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. 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 6% under the average total expenses of the respective Broadridge peer group; and (3) the management fees for the Janus Henderson Funds, on average, were 5% under the average management fees for the respective Broadridge peer 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 Janus Henderson Funds with three or more years of performance history, 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, changes in portfolio management, relative average net asset levels, and the existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
The Trustees considered the methodology used by the Adviser 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 to comparable separate account clients and to comparable non-affiliated funds subadvised by the Adviser (for which the Adviser 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 different from the retail fund market; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged in these other markets; and (4) as part of its 2022 review, 9 of 11 Janus Henderson Funds have lower management fees than similar funds subadvised by the Adviser. The Trustees noted that for the two Janus Henderson Funds that did not, management fees for each were under the average of its 15(c) peer group.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2021 (except for Janus Henderson Global Sustainable Equity Portfolio for which the period end was March 31, 2022) and noted the following with regard to each Janus Henderson Fund’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”) as reflected in the comparative information provided by Broadridge:
· For Janus Henderson Adaptive Risk Management U.S. Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for its sole share class.
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group for one share class, overall the VIT Portfolio’s total expenses were reasonable. The Trustees also noted that the Adviser has contractually agreed to limit the VIT Portfolio’s expenses.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that, although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
· For Janus Henderson Global Sustainable Equity Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology and Innovation Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, the VIT Portfolio’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that although the VIT Portfolio’s total expenses exceeded the peer group average for one share class, overall the VIT Portfolio’s total expenses were reasonable.
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
· For Janus Henderson Research Portfolio, the Trustees noted that the VIT Portfolio’s total expenses were below the peer group average for both share classes.
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 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 as part of its 2022 review 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 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 charges 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, 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 June 2022 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 from the independent fee consultant’s report: (1) that 31% of Janus Henderson Funds had management fee breakpoints in place whereby investors pay lower management fees as fund AUM increases; (2) that 29% of Janus Henderson Funds have low flat-rate fees and performance fees where the Adviser is incentivized to invest in resources which drive Janus Henderson Fund performance; and (3) that 39% of Janus Henderson Funds have low flat-rate fees versus peers where investors pay low fixed fees when the Janus Henderson Fund is small/midsized and higher fees when the Janus Henderson Fund grows in assets. 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
Janus Henderson VIT Research Portfolio
Additional Information (unaudited)
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 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 Janus Henderson 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. The Trustees concluded that the Adviser’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 pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and the Adviser 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 benefits 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 receipt of those products and services as well as research products and services acquired through commissions paid by other clients of the Adviser. They further concluded that the success of any Janus Henderson Fund could attract other business to the Adviser or other Janus Henderson Funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the Janus Henderson Funds.
Janus Henderson VIT Research Portfolio
Liquidity Risk Management Program (unaudited)
Liquidity Risk Management Program
Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), requires open-end funds (but not money market funds) to adopt and implement a written liquidity risk management program (the “LRMP”) that is reasonably designed to assess and manage liquidity risk, which is the risk that a fund could not meet redemption requests without significant dilution of remaining investors’ interest in the fund. The Portfolio has implemented a LRMP, which incorporates the following elements: (i) assessment, management, and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) the establishment and monitoring of a highly liquid investment minimum, as applicable; (iv) a 15% limitation on a Portfolio’s illiquid investments; (v) redemptions in-kind; and (vi) board oversight.
The Trustees of the Portfolio (the “Trustees”) have designated Janus Henderson Investors US LLC, the Portfolio’s investment adviser (the “Adviser”), as the Program Administrator for the LRMP responsible for administering the LRMP and carrying out the specific responsibilities of the LRMP. A working group comprised of various teams within the Adviser’s business is responsible for administering the LRMP and carrying out the specific responsibilities of different aspects of the LRMP (the “Liquidity Risk Working Group”). In assessing each Portfolio’s liquidity risk, the Liquidity Risk Working Group periodically considers, as relevant, factors including (i) the liquidity of a Portfolio’s portfolio investments during normal and reasonably foreseeable stressed conditions; (ii) whether a Portfolio’s investment strategy is appropriate for an open-end fund; (iii) the extent to which a Portfolio’s strategy involves a relatively concentrated portfolio or large positions in any issuer; (iv) a Portfolio’s use of borrowing for investment purposes; and (v) a Portfolio’s use of derivatives.
The Liquidity Rule requires the Trustees to review at least annually a written report provided by the Program Administrator that addresses the operation of the LRMP and assesses its adequacy and the effectiveness of its implementation, including, if applicable, the operation of the highly liquid investment minimum, and any material changes to the LRMP (the “Program Administrator Report”). At a meeting held on March 15, 2023, the Adviser provided the Program Administrator Report to the Trustees which covered the operation of the LRMP from January 1, 2022 through December 31, 2022 (the “Reporting Period”).
The Program Administrator Report discussed the operation and effectiveness of the LRMP during the Reporting Period. Among other things, the Program Administrator Report indicated that there were no material changes to the LRMP during the Reporting Period, although there were certain methodology adjustments implemented relating to a change in data provider. Additionally, the findings presented in the Program Administrator Report indicated that the LRMP operated adequately during the Reporting Period. These findings included that the Portfolio was able to meet redemptions during the normal course of business during the Reporting Period. The Program Administrator Report also stated that the Portfolio did not exceed the 15% limit on illiquid assets during the Reporting Period, that the Portfolio held primarily highly liquid assets, and was considered to be a primarily highly liquid fund during the Reporting Period. Also included among the Program Administrator Report’s findings was the determination that the Portfolio’s investment strategy remains appropriate for an open-end fund. In addition, the Adviser expressed its belief in the Program Administrator Report that the LRMP is reasonably designed and adequate to assess and manage the Portfolio’s liquidity risk, considering the Portfolio’s particular risks and circumstances, and includes policies and procedures reasonably designed to implement each required component of the Liquidity Rule.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the risks to which an investment in the Portfolio may be subject.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
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. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by 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.
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
Janus Henderson VIT Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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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 is a trademark of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc Janus Henderson Distributors US LLC Janus Henderson Group is the ultimate parent of Janus Henderson Distributors US LLC |
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(b) Not applicable.
Item 2 - Code of Ethics
Not applicable to semiannual reports.
Item 3 - Audit Committee Financial Expert
Not applicable to semiannual reports.
Item 4 - Principal Accountant Fees and Services
Not applicable to semiannual reports.
Item 5 - Audit Committee of Listed Registrants
Not applicable.
Item 6 - Investments
(a) Schedule of Investments is contained in the Reports to Shareholders included under Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable to this Registrant.
Item 8 - Portfolio Managers of Closed-End Management Investment Companies
Not applicable to this Registrant.
Item 9 - Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable to this Registrant.
Item 10 - Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.
Item 11 - Controls and Procedures
(a) The Registrant's Principal Executive Officer and Principal Financial Officer have evaluated the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures were effective, as of that date.
(b) There have been no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the 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, President and Chief Executive Officer of Janus Aspen Series
(Principal Executive Officer)
Date: August 29, 2023
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, President and Chief Executive Officer of Janus Aspen Series
(Principal Executive Officer)
Date: August 29, 2023
By: /s/ Jesper Nergaard
Jesper Nergaard, Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Janus Aspen Series (Principal Accounting Officer and Principal Financial Officer)
Date: August 29, 2023
