N-CSRS 1 d216892dncsrs.htm N-CSRS N-CSRS
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23112

 

 

JANUS DETROIT STREET TRUST

 

 

(Exact name of registrant as specified in charter)

151 Detroit Street, Denver, Colorado 80206-4805

 

 

(Address of principal executive offices)(Zip code)

 

(Name and Address of Agent for Service)    Copy to:

Byron Hittle

151 Detroit Street
Denver, Colorado 80206-4805

   

Eric S. Purple
Stradley Ronon Stevens & Young, LLP

1250 Connecticut Avenue, N.W., Suite 500

Washington, District of Columbia 20036

Registrant’s telephone number, including area code: 303-333-3863

Date of fiscal year end: October 31

Date of reporting period: April 30, 2016

Table of Contents

Item 1: Reports to Shareholders.

Table of Contents

SEMIANNUAL REPORT

April 30, 2016

 

Janus Small Cap Growth Alpha ETF

 

Janus Detroit Street Trust

 

LOGO

Table of Contents

Table of Contents

 

Janus Small Cap Growth Alpha ETF  

Performance Overview

     1   

Disclosure of Fund Expenses

     5   

Schedule of Investments

     6   

Statement of Assets and Liabilities

     13   

Statement of Operations

     14   

Statement of Changes in Net Assets

     15   

Financial Highlights

     16   

Notes to Financial Statements

     17   

Additional Information

     22   

Board Considerations Regarding Approval of Investment Advisory Agreements

     23   

Table of Contents

Janus Small Cap Growth Alpha ETF (unaudited)

 

INVESTMENT OBJECTIVE

Janus Small Cap Growth Alpha ETF seeks investment results that correspond generally, before fees and expenses, to the performance of its underlying index, the Janus Small Cap Growth Alpha Index. It pursues its investment objective by using a passive index-based approach, normally investing at least 80% of its net assets in securities that comprise its underlying index.

 

Janus Small Cap Growth Alpha ETF began investment operations on February 23, 2016. The information provided for Janus Small Cap Growth Alpha ETF reflects investment activity for the period February 23, 2016 to April 30, 2016.

 

   Janus Detroit Street Trust  ½  1

Table of Contents

Janus Small Cap Growth Alpha ETF (unaudited)

Fund At A Glance

April 30, 2016

 

5 Largest Equity Holdings – (% of Net Assets)  

AMERCO

   

Road & Rail

      2.9%   

Arista Networks, Inc.

   

Communications Equipment

      2.8%   

Syntel, Inc.

   

IT Services

      2.7%   

Cantel Medical Corp.

   

Health Care Equipment & Supplies

      2.4%   

Ubiquiti Networks, Inc.

   

Communications Equipment

      2.3%   
  

 

 

  
     13.1%   
Sector Allocation – (% of Net Assets)  

Consumer, Non-cyclical

      27.6%   

Industrial

      18.0%   

Technology

      15.9%   

Communications

      11.9%   

Financial

      11.2%   

Consumer, Cyclical

      11.1%   

Basic Materials

      2.3%   

Energy

      1.9%   

Investment Companies

      0.1%   
  

 

 

  
     100.0%   
 

 

2  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF (unaudited)

Performance

 

LOGO

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the life of the Fund. Performance calculations are as of the end of each month. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

Cumulative Total Return for the period ended April 30, 2016      
      Since Fund
Inception

Janus Small Cap Growth Alpha ETF – NAV*

    6.95%

Janus Small Cap Growth Alpha ETF – Market Price*

    6.95%

Janus Small Cap Growth Alpha Index*

    7.07%

Russell 2000® Growth Index

    11.16%

The estimated annual gross expense ratio per the prospectus dated February 22, 2016 is 0.50%.

 

* The Fund’s inception date is February 23, 2016. The inception date of Janus Small Cap Growth Alpha Index is December 31, 2015.

Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS (52687) or visit janus.com/ETFs.

Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Market returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. Eastern time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times. Ordinary brokerage commissions apply and will reduce returns.

There are risks involved with investing, including possible loss of principal. Performance depends upon the investment performance of the underlying index in which it invests. Smaller capitalization companies may be less stable and more susceptible to adverse developments, and their securities may be more volatile and less liquid than larger capitalization companies.

There is no assurance that the rules-based proprietary index methodology will select securities that individually, or in the aggregate, outperform the broader small-capitalization universes.

The ETF is new and has less than one year of operating history.

Janus Small Cap Growth Alpha Index (JSMLID) seeks to select companies that are poised for Smart GrowthTM , and is intended to deliver risk-adjusted outperformance relative to a market cap weighted universe of small capitalization growth stocks. The Index replicates a portfolio consisting of stocks selected from an associated index of the Solactive Small Cap Index. The stocks in the associated index are the “Eligible Universe” for the Index. The percentage weight of each stock within each Index is determined on a quarterly basis in accordance with the Index Methodology document which can be downloaded from janus.com/etfs.

Russell 2000® Growth Index measures the performance of those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.

One cannot invest directly in an index. Index performance does not reflect fund performance.

 

   Janus Detroit Street Trust  ½  3

Table of Contents

Janus Small Cap Growth Alpha ETF (unaudited)

Performance

 

Returns include reinvestment of dividends and capital gains.

The index provider is Janus Index and Calculation Services LLC (“Janus Index”). Janus Index maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Janus index receives compensation in connection with licensing its indices to third parties including the provision of any related data.

Janus Capital Management LLC is the investment adviser and ALPS Distributors, Inc. is the distributor. ALPS is not affiliated with Janus. Holdings are subject to change.

 

4  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF (unaudited)

Disclosure of Fund Expenses

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’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 Fund 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 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 creation and redemption fees, or brokerage charges. These fees are fully described in the Fund’s prospectus. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Actual

     Hypothetical
(5% return before expenses)		        
Beginning
Account
Value
(2/23/16)		   Ending
Account
Value
(4/30/16)		     Expenses
Paid During
Period
(2/23/16 - 4/30/16)*		     Beginning
Account
Value
(11/1/15)		     Ending
Account
Value
(4/30/16)		     Expenses
Paid During
Period
(11/1/15 - 4/30/16)†		     Net Annualized
Expense Ratio
(2/23/16 - 4/30/16)		  
$1,000.00   $ 1,069.50      $ 0.96      $ 1,000.00      $ 1,022.38      $ 2.51        0.50%   

 

* Actual Expenses Paid During Period reflects only the inception period for the Fund (February 23, 2016 to April 30, 2016) and is equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 68/366 (to reflect the period). Therefore, actual expenses shown are lower than would be expected for a six-month period.

 

† Expenses Paid During Period is equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

   Janus Detroit Street Trust  ½  5

Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – 99.9%            
Aerospace & Defense – 2.2%            

Astronics Corp.*

     283        $10,457   

HEICO Corp.

     642        39,361   

TASER International, Inc.*

     598        10,919   
   

 

 

  
      60,737   
Air Freight & Logistics – 0.9%            

Echo Global Logistics, Inc.*

     335        7,829   

Forward Air Corp.

     342        15,589   

Radiant Logistics, Inc.*

     544        2,143   
   

 

 

  
      25,561   
Airlines – 1.0%            

Virgin America, Inc.*

     496        27,622   
Auto Components – 1.4%            

Dorman Products, Inc.*

     303        16,298   

Fox Factory Holding Corp.*

     322        5,574   

Gentherm, Inc.*

     316        11,610   

Horizon Global Corp.*

     157        1,926   

Strattec Security Corp.

     32        1,693   
   

 

 

  
      37,101   
Beverages – 0.3%            

Boston Beer Co., Inc. - Class A*

     46        7,180   
Biotechnology – 3.6%            

Alder Biopharmaceuticals, Inc.*

     1,014        26,922   

Ardelyx, Inc.*

     801        6,416   

BioSpecifics Technologies Corp.*

     160        5,690   

Enanta Pharmaceuticals, Inc.*

     438        12,789   

Insys Therapeutics, Inc.*

     1,668        24,169   

PDL BioPharma, Inc.

     3,805        14,345   

REGENXBIO, Inc.*

     609        6,346   
   

 

 

  
      96,677   
Building Products – 0.5%            

CSW Industrials, Inc.*

     174        5,665   

Patrick Industries, Inc.*

     174        7,978   
   

 

 

  
      13,643   
Capital Markets – 1.9%            

Artisan Partners Asset Management, Inc. - Class A

     184        5,945   

Cohen & Steers, Inc.

     214        8,404   

Diamond Hill Investment Group, Inc.

     16        2,804   

Financial Engines, Inc.

     242        7,795   

HFF, Inc. - Class A

     177        5,634   

Houlihan Lokey, Inc.

     56        1,412   

Ladenburg Thalmann Financial Services, Inc.*

     856        2,294   

Virtu Financial, Inc. - Class A

     177        3,690   

Virtus Investment Partners, Inc.

     39        3,050   

Westwood Holdings Group, Inc.

     40        2,302   

WisdomTree Investments, Inc.

     638        6,948   
   

 

 

  
      50,278   
Chemicals – 2.1%            

Balchem Corp.

     157        9,634   

Flotek Industries, Inc.*

     267        2,523   

Innospec, Inc.

     120        5,803   

Quaker Chemical Corp.

     66        5,878   

Westlake Chemical Corp.

     652        32,724   
   

 

 

  
      56,562   
Commercial Banks – 2.0%            

Customers Bancorp, Inc.*

     126        3,273   

Eagle Bancorp, Inc.*

     157        7,960   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

6  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Commercial Banks – (continued)            

First Foundation, Inc.*

     75        $1,691   

First NBC Bank Holding Co.*

     90        1,957   

Home BancShares, Inc.

     328        14,101   

ServisFirst Bancshares, Inc.

     122        6,012   

South State Corp.

     114        7,978   

Texas Capital Bancshares, Inc.*

     214        9,805   

Triumph Bancorp, Inc.*

     84        1,335   
   

 

 

  
      54,112   
Commercial Services & Supplies – 0.3%            

Team, Inc.*

     243        6,981   
Communications Equipment – 5.5%            

Alliance Fiber Optic Products, Inc.*

     365        6,760   

Arista Networks, Inc.*

     1,136        75,680   

Clearfield, Inc.*

     288        5,345   

Ubiquiti Networks, Inc.

     1,745        62,157   
   

 

 

  
      149,942   
Computers & Peripherals – 2.2%            

Cray, Inc.*

     856        32,417   

Super Micro Computer, Inc.*

     1,005        27,044   
   

 

 

  
      59,461   
Construction & Engineering – 0.3%            

Argan, Inc.

     166        5,674   

NV5 Global, Inc.*

     90        2,235   
   

 

 

  
      7,909   
Consumer Finance – 1.2%            

Credit Acceptance Corp.*

     94        18,449   

Enova International, Inc.*

     155        1,366   

First Cash Financial Services, Inc.

     132        6,036   

PRA Group, Inc.*

     225        7,466   
   

 

 

  
    33,317   
Diversified Consumer Services – 0.8%            

American Public Education, Inc.*

     141        3,265   

Grand Canyon Education, Inc.*

     404        17,667   
   

 

 

  
      20,932   
Electrical Equipment – 1.1%            

Allied Motion Technologies, Inc.

     104        2,241   

Generac Holdings, Inc.*

     749        28,552   
   

 

 

  
      30,793   
Electronic Equipment & Instruments – 7.2%            

Fitbit, Inc. - Class A*

     1,242        22,666   

Kimball Electronics, Inc.*

     608        6,652   

Littelfuse, Inc.

     473        55,095   

Mesa Laboratories, Inc.

     76        7,659   

Methode Electronics, Inc.

     807        23,992   

OSI Systems, Inc.*

     418        21,272   

Universal Display Corp.*

     989        57,669   
   

 

 

  
      195,005   
Energy Equipment & Services – 0.6%            

Atwood Oceanics, Inc.

     104        1,005   

C&J Energy Services Ltd.*

     192        278   

Dril-Quip, Inc.*

     61        3,954   

Frank’s International NV

     247        4,113   

RPC, Inc.

     346        5,231   

US Silica Holdings, Inc.

     85        2,172   
   

 

 

  
      16,753   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  7

Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Food & Staples Retailing – 0.5%            

Natural Grocers by Vitamin Cottage, Inc.*

     106        $ 1,416   

PriceSmart, Inc.

     144        12,462   
   

 

 

  
      13,878   
Food Products – 1.7%            

Amplify Snack Brands, Inc.*

     355        5,471   

Blue Buffalo Pet Products, Inc.*

     928        22,977   

Inventure Foods, Inc.*

     93        666   

Seaboard Corp.*

     6        18,018   
   

 

 

  
      47,132   
Health Care Equipment & Supplies – 10.1%            

Anika Therapeutics, Inc.*

     348        15,890   

Atrion Corp.

     43        17,084   

Cantel Medical Corp.

     966        64,712   

Entellus Medical, Inc.*

     434        6,311   

Glaukos Corp.*

     744        14,017   

Globus Medical, Inc. - Class A*

     1,652        41,366   

Inogen, Inc.*

     455        22,231   

Neogen Corp.*

     867        40,957   

Penumbra, Inc.*

     696        37,932   

Vascular Solutions, Inc.*

     402        14,050   
   

 

 

  
      274,550   
Health Care Providers & Services – 5.7%            

AAC Holdings, Inc.*

     518        10,666   

Air Methods Corp.*

     902        33,356   

Diplomat Pharmacy, Inc.*

     1,492        45,193   

HealthEquity, Inc.*

     1,334        33,550   

Surgery Partners, Inc.*

     1,116        18,180   

US Physical Therapy, Inc.

     289        14,409   
   

 

 

  
      155,354   
Health Care Technology – 3.2%            

Computer Programs & Systems, Inc.

     310        15,912   

Inovalon Holdings, Inc. - Class A*

     1,142        19,528   

Veeva Systems, Inc. - Class A*

     1,888        51,939   
   

 

 

  
      87,379   
Hotels, Restaurants & Leisure – 2.0%            

Chuy’s Holdings, Inc.*

     143        4,367   

El Pollo Loco Holdings, Inc.*

     333        4,392   

Nathan’s Famous, Inc.*

     38        1,691   

Noodles & Co.*

     228        2,542   

Planet Fitness, Inc. - Class A*

     318        4,885   

Shake Shack, Inc. - Class A*

     132        4,821   

Texas Roadhouse, Inc.

     610        24,839   

Wingstop, Inc.*

     249        6,210   
   

 

 

  
      53,747   
Household Durables – 1.6%            

Bassett Furniture Industries, Inc.

     95        2,804   

Century Communities, Inc.*

     185        3,189   

GoPro, Inc. - Class A*

     885        11,186   

iRobot Corp.*

     252        9,420   

LGI Homes, Inc.*

     174        4,874   

Taylor Morrison Home Corp. - Class A*

     278        4,003   

Universal Electronics, Inc.*

     126        8,368   
   

 

 

  
      43,844   
Insurance – 2.3%            

AmTrust Financial Services, Inc.

     826        20,526   

Atlas Financial Holdings, Inc.*

     55        966   

Erie Indemnity Co. - Class A

     217        20,483   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

8  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Insurance – (continued)            

HCI Group, Inc.

     51        $ 1,528   

Heritage Insurance Holdings, Inc.

     141        1,874   

National General Holdings Corp.

     508        10,257   

Patriot National, Inc.*

     131        1,090   

United Insurance Holdings Corp.

     100        1,631   

Universal Insurance Holdings, Inc.

     163        2,870   
   

 

 

  
    61,225   
Internet Software & Services – 3.1%            

NIC, Inc.

     1,381        24,457   

Shutterstock, Inc.*

     742        30,437   

Stamps.com, Inc.*

     352        28,991   
   

 

 

  
      83,885   
IT Services – 8.2%            

Blackhawk Network Holdings, Inc.*

     1,149        36,918   

Cardtronics, Inc.*

     950        37,449   

Datalink Corp.*

     476        3,822   

Luxoft Holding, Inc.*

     411        23,760   

NeuStar, Inc. - Class A*

     1,115        26,191   

Syntel, Inc.*

     1,698        72,216   

Virtusa Corp.*

     630        22,390   
   

 

 

  
    222,746   
Leisure Equipment & Products – 0.2%            

Malibu Boats, Inc. - Class A*

     155        2,728   

MCBC Holdings, Inc.*

     165        2,214   
   

 

 

  
      4,942   
Machinery – 2.0%            

Alamo Group, Inc.

     127        7,168   

Greenbrier Cos., Inc.

     321        9,627   

Hyster-Yale Materials Handling, Inc.

     138        8,452   

Proto Labs, Inc.*

     293        17,530   

Tennant Co.

     197        10,522   
   

 

 

  
      53,299   
Media – 2.2%            

Cable One, Inc.

     51        23,407   

Crown Media Holdings, Inc. - Class A*

     3,130        15,869   

Gannett Co., Inc.

     1,001        16,867   

Tribune Publishing Co.

     228        2,583   
   

 

 

  
      58,726   
Oil, Gas & Consumable Fuels – 1.3%            

Abraxas Petroleum Corp.*

     170        258   

Antero Resources Corp.*

     442        12,509   

Carrizo Oil & Gas, Inc.*

     93        3,289   

Cheniere Energy Partners LP Holdings

     369        7,188   

Evolution Petroleum Corp.

     53        294   

Laredo Petroleum, Inc.*

     341        4,153   

Oasis Petroleum, Inc.*

     288        2,791   

Rice Energy, Inc.*

     218        3,774   
   

 

 

  
      34,256   
Personal Products – 0.2%            

USANA Health Sciences, Inc.*

     57        6,751   
Pharmaceuticals – 1.8%            

Depomed, Inc.*

     1,412        24,541   

Lannett Co., Inc.*

     847        16,245   

Phibro Animal Health Corp. - Class A

     428        8,877   
   

 

 

  
      49,663   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  9

Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Professional Services – 1.7%            

Exponent, Inc.

     287        $ 14,304   

GP Strategies Corp.*

     187        4,365   

RPX Corp.*

     575        6,371   

WageWorks, Inc.*

     401        21,598   
   

 

 

  
      46,638   
Real Estate Investment Trusts (REITs) – 1.1%            

Altisource Residential Corp.

     265        3,079   

American Capital Mortgage Investment Corp.

     224        3,322   

Apollo Commercial Real Estate Finance, Inc.

     324        5,161   

Colony Capital, Inc. - Class A

     532        9,406   

NexPoint Residential Trust, Inc.

     101        1,420   

Orchid Island Capital, Inc.

     102        987   

PennyMac Mortgage Investment Trust

     347        4,716   

Western Asset Mortgage Capital Corp.

     206        2,054   

ZAIS Financial Corp.

     38        553   
   

 

 

  
      30,698   
Real Estate Management & Development – 0.3%            

Altisource Portfolio Solutions SA*

     90        2,816   

Marcus & Millichap, Inc.*

     173        4,339   
   

 

 

  
      7,155   
Road & Rail – 2.9%            

AMERCO

     220        77,440   
Semiconductors & Semiconductor Equipment – 1.5%            

Ambarella, Inc.*

     674        27,701   

Lattice Semiconductor Corp.*

     2,480        13,814   
   

 

 

  
      41,515   
Software – 4.6%            

Fleetmatics Group PLC*

     813        29,471   

Globant SA*

     716        25,411   

Paycom Software, Inc.*

     1,243        47,495   

Qualys, Inc.*

     724        18,230   

Zix Corp.*

     1,167        4,353   
   

 

 

  
      124,960   
Specialty Retail – 4.1%            

Boot Barn Holdings, Inc.*

     229        1,878   

DSW, Inc. - Class A

     691        16,978   

Five Below, Inc.*

     475        19,807   

Francesca’s Holdings Corp.*

     363        6,026   

Hibbett Sports, Inc.*

     198        7,148   

Lumber Liquidators Holdings, Inc.*

     236        3,519   

Mattress Firm Holding Corp.*

     307        11,979   

Monro Muffler Brake, Inc.

     280        19,381   

Outerwall, Inc.

     144        5,949   

Sportsman’s Warehouse Holdings, Inc.*

     365        4,154   

Vitamin Shoppe, Inc.*

     224        6,131   

Winmark Corp.

     36        3,427   

Zumiez, Inc.*

     232        3,893   
   

 

 

  
      110,270   
Textiles, Apparel & Luxury Goods – 1.9%            

Fossil Group, Inc.*

     420        17,010   

G-III Apparel Group Ltd.*

     398        18,010   

Tumi Holdings, Inc.*

     587        15,661   
   

 

 

  
      50,681   
Thrifts & Mortgage Finance – 0.6%            

BofI Holding, Inc.*

     294        5,989   

Essent Group Ltd.*

     432        8,821   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

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Table of Contents

Janus Small Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Thrifts & Mortgage Finance – (continued)            

PennyMac Financial Services, Inc. - Class A*

     103        $ 1,312   
   

 

 

  
        16,122   

Total Common Stocks (cost $2,589,248)

  

     2,707,422   
Investment Companies – 0.1%            

State Street Institutional U.S. Government Money Market Fund (cost $1,855)

     1,855        1,855   

Total Investments (total cost $2,591,103) – 100.0%

  

     2,709,277   

Liabilities, net of Cash, Receivables, and Other Assets (0.0)%

  

     (1,031)   

Net Assets – 100%

  

     $2,708,246   

Summary of Investments by Country - (unaudited)

 

Country    Value      % of
Investment
Securities		  

United States

    $ 2,620,627         96.7%   

Ireland

      29,471         1.1   

Luxembourg

      28,227         1.0   

Switzerland

      23,760         0.9   

Netherlands

      4,113         0.2   

Virgin Islands (British)

      3,079         0.1   
  

 

 

  

Total

    $ 2,709,277         100.0%   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  11

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Janus Small Cap Growth Alpha ETF

Notes to Schedule of Investments and Other Information (unaudited)

 

LP      Limited Partnership
PLC      Public Limited Company

 

* Non-income producing security.

The following is a summary of the inputs that were used to value the Fund’s investments in securities and other financial instruments as of April 30, 2016. See Notes to Financial Statements for more information.

Valuation Inputs Summary

 

      Level 1 -
Quoted Prices		      Level 2 -
Other Significant
Observable Inputs		      Level 3 -
Significant
Unobservable Inputs		  

Assets

         

Investments in Securities:

         

Common Stocks

    $ 2,707,422       $ —       $ —   

Investment Companies

      —         1,855         —   
  

 

 

  

Total Assets

    $ 2,707,422       $ 1,855       $ —   

 

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Table of Contents

Janus Small Cap Growth Alpha ETF

Statement of Assets and Liabilities (unaudited)

April 30, 2016

 

Assets:

  

Investments, at cost

   $ 2,591,103   

Investments, at value

   $ 2,709,277   

Receivables:

  

Dividends

     81   

Total Assets

     2,709,358   

Liabilities:

  

Payables:

  

Management fees

     1,112   

Total Liabilities

     1,112   

Net Assets

   $ 2,708,246   

Net Assets Consists of:

  

Capital (par value and paid-in surplus)

   $ 2,510,622   

Accumulated net investment income/(loss)

     (274)   

Undistributed net realized gain/(loss) from investments

     79,724   

Unrealized net appreciation/(depreciation) on investments

     118,174   

Total Net Assets

   $ 2,708,246   

Net Assets

   $ 2,708,246   

Shares outstanding, $0.001 Par Value (unlimited shares authorized)

     102,000   

Net Asset Value Per Share

   $ 26.55   

 

See Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  13

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Janus Small Cap Growth Alpha ETF

Statement of Operations (unaudited)

For the period ended April 30, 2016(1)

 

Investment Income:

  

Dividends

   $ 2,752   

Interest

     2   

Foreign Taxes Withheld

     (10)   

Total Investment Income

     2,744   

Expenses:

  

Management fees

     2,387   

Total Expenses

     2,387   

Net Investment Income/(Loss)

     357   

Net Realized Gain/(Loss) on Investments:

  

Investments and foreign currency transactions

   $ 79,724   

Total Net Realized Gain/(Loss) on Investments

   $ 79,724   

Change in Unrealized Net Appreciation/Depreciation:

  

Investments and foreign currency translations

   $ 118,174   

Total Change in Unrealized Net Appreciation/Depreciation

     118,174   

Net Increase/(Decrease) in Net Assets Resulting from Operations

   $ 198,255   

 

 

 

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

 

See Notes to Financial Statements.

 

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Table of Contents

Janus Small Cap Growth Alpha ETF

Statement of Changes in Net Assets (unaudited)

 

     Period Ended
April 30, 2016(1)		  

Operations:

        

Net investment income/(loss)

   $ 357   

Net realized gain/(loss) on investments

     79,724   

Change in unrealized net appreciation/depreciation

     118,174   

Net Increase/(Decrease) in Net Assets Resulting from Operations

     198,255   

Dividends and Distributions to Shareholders:

  

Dividends from Net Investment Income

     (631)   

Capital Share Transactions

     2,510,622   

Net Increase/(Decrease) in Net Assets

     2,708,246   

Net Assets:

  

Beginning of period

     —   

End of period

   $ 2,708,246   
 

Undistributed Net Investment Income/(Loss)

   $ (274)   

 

 

 

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

 

See Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  15

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Janus Small Cap Growth Alpha ETF

Financial Highlights (unaudited)

 

For a share outstanding during the period ended April 30   2016(1)  
 

Net Asset Value, Beginning of Period

     $24.83   
 

Income/(Loss) from Investment Operations:

  
 

Net investment income/(loss)(2)

     0.00(3)   
 

Net realized and unrealized gain/(loss)

     1.73   
 

Total from Investment Operations

     1.73   
 

Less Dividends and Distributions:

  
 

Dividends (from net investment income)

    
 (0.01)
   
 

Distributions (from capital gains)

     —   
 

Total Dividends and Distributions

     (0.01)   
 

Net Asset Value, End of Period

     $26.55   
 

Total Return*

     6.95%   
 

Net Assets, End of period (in thousands)

     $2,708   
 

Average Net Assets for the Period (in thousands)

     $2,608   
 

Ratios to Average Net Assets**:

  
 

Ratio of Gross Expenses

     0.50%   
 

Ratio of Net Investment Income/(Loss)

     0.07%   
 

Portfolio Turnover Rate

     64%   

 

 

 

* Total return not annualized for periods of less than one full year.
** Annualized for periods of less than one full year.
(1) Period from February 23, 2016 (inception date) through April 30, 2016.
(2) Per share amounts are calculated based on average shares outstanding during the year or period.
(3) Less than $0.005 on a per share basis.

 

See Notes to Financial Statements.

 

16  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

1. Organization and Significant Accounting Policies

Janus Small Cap Growth Alpha ETF (the “Fund”) is a series fund. The Fund is part of Janus Detroit Street Trust (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 financial statements include information for the period from February 23, 2016 (inception date) through April 30, 2016. The Trust offers two Funds which represent shares of beneficial interest in a separate portfolio of securities and other assets with its own objective and policies. The Fund invests primarily in equity securities. The Fund is classified as diversified, as defined in the 1940 Act.

Unlike shares of traditional mutual funds, shares of the Fund are not individually redeemable and may only be purchased or redeemed directly from the Fund at net asset value (“NAV”) in large increments called “Creation Units” (50,000 or more shares per Creation Unit) through certain participants, known as “Authorized Participants.” The Fund will issue or redeem Creation Units in exchange for portfolio securities included in the Fund’s Underlying Index and/or cash. Except when aggregated in Creation Units, Fund shares are not redeemable securities of the Fund. Shares of the Fund are listed and trade on the NASDAQ, and individual investors can purchase or sell shares in much smaller increments and for cash in the secondary market through a broker. These transactions, which do not involve the Fund, are made at market prices that may vary throughout the day and differ from the Fund’s net asset value. As a result, you may pay more than net asset value (at a premium) when you purchase shares, and receive less than net asset value (at a discount) when you sell shares, in the secondary market.

The following accounting policies have been followed by the Fund and are in conformity with accounting principles generally accepted in the United States of America.

Investment Valuation

Securities held by the Fund are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Fund will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Fund uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.

Valuation Inputs Summary

FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market

 

   Janus Detroit Street Trust  ½  17

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Janus Small Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

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 Fund 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 Fund’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 Fund’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 Fund since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of April 30, 2016 to fair value the Fund’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.

There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Fund recognizes transfers between the levels as of the beginning of the fiscal year.

Investment Transactions and Investment Income

Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Fund 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. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications

In the normal course of business, the Fund may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Fund’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Fund that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.

Foreign Currency Translations

The Fund 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

 

18  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

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 Fund generally declares and distributes dividends of net investment income quarterly. Net realized capital gains (if any) are distributed annually. The Fund may treat a portion of the amount paid to redeem shares as a distribution of investment company taxable income and realized capital gains that are reflected in the net asset value. This practice, commonly referred to as “equalization,” has no effect on the redeeming shareholder or a Fund’s total return, but may reduce the amounts that would otherwise be required to be paid as taxable dividends to the remaining shareholders. It is possible that the Internal Revenue Service (IRS) could challenge the Fund’s equalization methodology or calculations, and any such challenge could result in additional tax, interest, or penalties to be paid by the Fund.

The Fund 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 Fund distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.

Federal Income Taxes

The Fund intends 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 Fund’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 Fund’s financial statements. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

2. Other Investments and Strategies

Additional Investment Risk

The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed income/credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Fund, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Fund’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.

The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Fund and the investment management industry as a whole, is not yet certain.

A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in

 

   Janus Detroit Street Trust  ½  19

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Janus Small Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and

others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more “bailouts” from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/ or withdraw from the EU, placing its currency and banking system in jeopardy.

Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Fund’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Fund invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.

Real Estate Investing

The Fund may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.

3. Investment Advisory Agreements and Other Transactions with Affiliates

Under its unitary fee structure, the Fund pays Janus Capital Management LLC (“Janus Capital” or “Janus”) a “Management Fee” in return for providing certain investment advisory, supervisory, and administrative services to the Fund, including the costs of transfer agency, custody, fund administration, legal, audit, and other services. Janus Capital’s fee structure is designed to pay substantially all of the Fund’s expenses. However, the Fund bears other expenses which are not covered under the Management Fee which may vary and affect the total level of expenses paid by shareholders, such as distribution fees (if any), brokerage expenses or commissions, interest, dividends, taxes, litigation expenses, acquired fund fees and expenses (if any), and extraordinary expenses. The Fund’s Management Fee is calculated daily and paid monthly. The Fund’s contractual Management Fee rate (expressed as an annual rate) is 0.50% of the Fund’s average daily net assets.

State Street Bank and Trust Company (“State Street”) provides certain fund administration services to the Fund, including services related to the Fund’s accounting, including calculating the daily NAV, audit, tax, and reporting obligations, pursuant to an Agreement with Janus Capital, on behalf of each Fund. As compensation for such services, Janus Capital pays State Street a fee based on a percentage of the Fund’s assets, with a minimum flat fee, for certain services. Janus Capital serves as administrator to the Fund, providing oversight and coordination of the Fund’s service providers, recordkeeping and other administrative services. Janus Capital does not receive any additional compensation, beyond the unitary fee, for serving as administrator. State Street also serves as transfer agent for the shares of the Fund.

The Trust has adopted a Distribution and Servicing Plan for shares of the Fund pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan permits compensation in connection with the distribution and marketing of Fund shares and/or the provision of certain shareholder services. The Plan permits the Fund to pay ALPS Distributors, Inc. (the “Distributor”) or its designee, a fee for the sale and distribution and/or shareholder servicing of the shares at an annual rate of up to 0.25% of average daily net assets of the Fund. However, the Trustees have determined not to authorize payment under this Plan at this time. Under the terms of the Plan, the Trust is authorized to make payments to the Distributor or its designee for remittance to retirement plan service providers, broker-dealers, bank trust departments, financial advisors, and other financial intermediaries, as compensation for distribution and/or shareholder services performed by such entities for their customers who are investors in the Fund. The 12b-1 fee may only be imposed or increased when the Trustees determine that it is in the best interests of shareholders to do so. Because these fees are paid out of the Fund’s assets on an ongoing basis, to the extent that a fee is authorized, over time they will increase the cost of an investment in the Fund. The Plan fee may cost an investor more than other types of sales charges.

 

20  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

As of April 30, 2016, Janus Capital owned 2,000 shares or 1.96% of the Fund.

4. Federal Income Tax

Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.

The Fund 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 April 30, 2016 are noted below.

Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference(s) 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)		  
$ 2,591,368      $ 191,207      $ (73,298)      $ 117,909   

5. Capital Share Transactions

 

       Period ended April 30, 2016(1)  
        Shares        Amount  
Shares sold        152,000         $ 3,810,889   
Shares repurchased        (50,000)           (1,300,267)   

Net Increase/(Decrease)

        102,000         $ 2,510,622   

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

6. Purchases and Sales of Investment Securities

For the period ended April 30, 2016, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:

 

Purchases of

Securities

    

Proceeds from Sales

of Securities

    

Purchases of Long-

Term U.S. Government

Obligations

    

Proceeds from Sales

of Long-Term U.S.

Government Obligations

  
$ 4,218,513      $ 1,708,988      $             —      $             —   

7. Subsequent Event

Management has evaluated whether any events or transactions occurred subsequent to April 30, 2016 and through the date of issuance of the Fund’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Fund’s financial statements.

 

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Janus Small Cap Growth Alpha ETF

Additional Information (unaudited)

 

Proxy Voting Policies and Voting Record

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-0020 (toll free); (ii) on the Fund’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov.

Quarterly Portfolio Holdings

The Fund files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Fund’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).

Licensing Agreements

Janus Index & Calculation Services LLC (“Janus Index Services”) is the Index Provider for the Underlying Index. Janus Capital has entered into a license agreement with Janus Index Services to use the Underlying Index. Janus Index Services is affiliated with the Fund and Janus Capital. This affiliation may create potential conflicts for Janus Index Services as it may have an interest in the performance of the Fund, which could motivate it to alter the Underlying Index methodology for the Underlying Index. Janus Index Services has adopted procedures that it believes are reasonably designed to mitigate these and other potential conflicts.

Janus Index Services is the licensor of certain trademarks, service marks, and trade names. Neither Janus Index Services nor any of its affiliates make any representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly or the ability of the Underlying Index to track general market performance. The Underlying Index is determined, composed, and calculated by Janus Index Services without regard to Janus Capital or the Fund. Janus Index Services has no obligation to take the needs of Janus Capital or the owners of the Fund into consideration in determining, composing, or calculating the Underlying Index. Janus Index Services is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Fund to be issued or in the determination or calculation of the equation by which the Fund is to be converted into cash.

ALTHOUGH JANUS INDEX SERVICES SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE UNDERLYING INDEX FROM SOURCES WHICH IT CONSIDERS RELIABLE, IT DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN AND SHALL HAVE NO LIABILITY FOR ERRORS OR OMISSIONS OF ANY KIND RELATED TO THE UNDERLYING INDEX OR DATA. JANUS INDEX SERVICES MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JANUS CAPITAL, OWNERS OF THE FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED TO JANUS CAPITAL FOR ANY OTHER USE. JANUS INDEX SERVICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL IT HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

Janus Capital does not guarantee the accuracy and/or the completeness of the Underlying Index or any data included therein, and Janus Capital shall have no liability for any errors, omissions or interruptions therein. Janus Capital makes no warranty, express or implied, as to results to be obtained by the Fund, owners of the shares of the Fund or any other person or entity from the use of the Underlying Index or any data included therein. Janus Capital makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Underlying Index or any data included therein. Without limiting any of the foregoing, in no event shall Janus Capital have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the Underlying Index even if notified of the possibility of such damages.

 

22  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Board Considerations Regarding Approval of Investment Advisory Agreements (unaudited)

 

APPROVAL OF ADVISORY AGREEMENT DURING THE PERIOD FOR JANUS SMALL CAP GROWTH ALPHA ETF AND JANUS SMALL/MID CAP GROWTH ALPHA ETF

The Trustees of Janus Detroit Street Trust (the “Trust”), the majority of whom serve as “independent” Trustees (the “Independent Trustees”) met on February 3, 2016 to consider the proposed investment management agreement (the “Investment Management Agreement”) for Janus Small Cap Growth Alpha ETF and Janus Small/Mid Cap Growth Alpha ETF (each a “New Fund” and collectively, the “New Funds”). In the course of their consideration of the Investment Management Agreement, the Trustees met in executive session and were advised by their independent counsel. In this regard, the Board, including the Independent Trustees, evaluated the terms of the Investment Management Agreement and reviewed the duties and responsibilities of the Trustees in evaluating and approving such agreements. In considering approval of the Investment Management Agreement, the Board, including the Independent Trustees, reviewed the Board Materials and other information from counsel and from Janus Capital Management LLC, the investment adviser (the “Adviser”), including: (i) a copy of the form of Investment Management Agreement, with respect to the Adviser’s management of the assets of each New Fund; (ii) information describing the nature, quality and extent of the services that the Adviser will provide to the New Fund, and the fees the Adviser will charge to the New Funds; (iii) information concerning the Adviser’s financial condition, business, operations, portfolio management teams and compliance programs; (iv) information describing each New Fund’s anticipated advisory fee and operating expenses; (v) a copy of the Adviser’s current Form ADV; and (vi) a memorandum from counsel on the responsibilities of trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of the Adviser. The Board also received information comparing the advisory fees and expenses of the New Funds to those from fund complexes that were defined as competitors.

During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: the nature, extent and quality of the services to be provided to each New Fund by the Adviser; the Advisers’ personnel and operations; each New Fund’s proposed expense level; the anticipated profitability to the Adviser under the Investment Management Agreement at certain asset levels; any “fall-out” benefits to the Adviser and its affiliates (i.e., the ancillary benefits realized by the Adviser and its affiliates from the Adviser’s relationship with the Trust); the effect of asset growth on each New Fund’s expenses; and possible conflicts of interest.

The Trustees also considered benefits that accrue to the Adviser and its affiliates from their relationships with the New Funds. They recognized that an affiliate of the Adviser would separately serve the New Funds as index provider. 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 the New Funds therefor, the New Funds and the Adviser may potentially benefit from their relationship with each other in other ways. They concluded that the success of the New Funds could attract other business to the Adviser or other Janus funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the New Funds.

The Board, including the Independent Trustees, considered the following in respect of each New Fund:

The nature, extent and quality of services to be provided by the Advisers; personnel and operations of the Adviser.

The Board reviewed the services that the Adviser would provide to each New Fund. In connection with the investment advisory services to be provided by the Adviser, the Board noted the responsibilities that the Adviser would have as the Funds’ investment adviser, including: the overall supervisory responsibility for the general management and investment of each New Fund’s securities portfolio; providing oversight of the investment performance and processes and compliance with the New Fund’s investment objectives, policies and limitations; the implementation of the investment management program of each New Fund; the management of the day-to-day investment and reinvestment of the assets of each New Fund; determining daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of New Fund shares conducted on a cash-in-lieu basis; the responsibility for daily monitoring of tracking error and quarterly reporting to the Board; the review of brokerage matters; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the New Funds.

The Board reviewed the Adviser’s experience, resources and strengths in managing other pooled investment vehicles, including the Adviser’s personnel. Based on its consideration and review of the foregoing information, the Board determined that each New Fund was likely to benefit from the nature, quality and extent of these services, as well as the Adviser’s ability to render such services based on their experience, personnel, operations and resources.

 

   Janus Detroit Street Trust  ½  23

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Janus Small Cap Growth Alpha ETF

Board Considerations Regarding Approval of Investment Advisory Agreements (unaudited)

 

Comparison of services to be rendered and fees to be paid to those under other investment advisory contracts, and the cost of the services to be provided and profits to be realized by the Advisers from the relationship with the New Funds’; “fall-out” benefits.

The Board then compared both the services to be rendered and the proposed fees to be paid under other contracts of the Adviser, and under contracts of other investment advisers with respect to similar ETFs. In particular, the Board compared each New Fund’s proposed advisory fee and projected expense ratio to other investment companies considered to be in that New Fund’s peer group. With regard to each New Fund, the Board noted the following:

The Board noted that the Adviser was recommending a unitary fee that was lower than each New Fund’s respective peer group median total expense ratio.

The Board also discussed the anticipated costs and projected profitability of the Adviser in connection with its serving as investment adviser to each New Fund, including operational costs. In addition, the Board discussed the entrepreneurial risk undertaken by the Adviser in creating the Trust. After comparing each New Fund’s proposed fees with those of other funds in the New Fund’s peer group, and in light of the nature, extent and quality of services proposed to be provided by the Adviser and the costs expected to be incurred by the Adviser in rendering those services, the Board concluded that the level of fees proposed to be paid to the Adviser with respect to the New Funds were fair and reasonable.

The Board also considered that the Adviser may experience reputational “fall-out” benefits based on the success of the New Funds, but that such benefits are not easily quantifiable.

The extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale.

The Board next discussed potential economies of scale. Since the Trust is newly formed, the Trust and the New Funds had not commenced operations, and the eventual aggregate amount of assets was uncertain, the Adviser was not able to provide the Board New Fund specific information concerning the extent to which economies of scale would be realized as each New Fund grows and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching a new investment product and estimating future asset levels.

Investment performance of the Funds and the Adviser.

Because each New Fund is newly formed and had not commenced operations, the Board did not consider the investment performance of the New Fund or the Adviser. The Board noted that it had received performance information of comparable operational New Funds tracking similar underlying indices.

Conclusion.

No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fee rate and projected total expense ratio are reasonable in relation to the services to be provided by the Adviser to each New Fund, as well as the costs to be incurred and benefits to be gained by the Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar actual or anticipated size. As a result, the Board concluded that the initial approval of the Investment Management Agreement was in the best interests of each New Fund.

After full consideration of the above factors, as well as other factors, the Trustees, including all of the independent Trustees voting separately, determined to approve the investment advisory agreement for each New Fund.

 

24  ½  APRIL 30, 2016   

Table of Contents

Janus Small Cap Growth Alpha ETF

Notes

 

 

   Janus Detroit Street Trust  ½  25

Table of Contents

125-24-93061 04-16

Please consider the charges, risks, expenses, and investment objectives carefully before investing. For a prospectus containing this and other information, please call 877.33JANUS (52687) or download the file from janus.com/ETFs. Read it carefully before you invest or send money.

C-0516-1982

JNS172

Table of Contents

SEMIANNUAL REPORT

April 30, 2016

 

Janus Small/Mid Cap Growth Alpha ETF

 

Janus Detroit Street Trust

 

LOGO

Table of Contents

Table of Contents

 

Janus Small/Mid Cap Growth Alpha ETF  

Performance Overview

     1   

Disclosure of Fund Expenses

     5   

Schedule of Investments

     6   

Statement of Assets and Liabilities

     14   

Statement of Operations

     15   

Statement of Changes in Net Assets

     16   

Financial Highlights

     17   

Notes to Financial Statements

     18   

Additional Information

     23   

Board Considerations Regarding Approval of Investment Advisory Agreements

     24   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF (unaudited)

 

INVESTMENT OBJECTIVE

Janus Small/Mid Cap Growth Alpha ETF seeks investment results that correspond generally, before fees and expenses, to the performance of its underlying index, the Janus Small/Mid Cap Growth Alpha Index. It pursues its investment objective by using a passive index-based approach, normally investing at least 80% of its net assets in securities that comprise its underlying index.

 

Janus Small/Mid Cap Growth Alpha ETF began investment operations on February 23, 2016. The information provided for Janus Small/Mid Cap Growth Alpha ETF reflects investment activity for the period February 23, 2016 to April 30, 2016.

 

   Janus Detroit Street Trust  ½  1

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF (unaudited)

Fund At A Glance

April 30, 2016

 

5 Largest Equity Holdings – (% of Net Assets)  

Baxalta, Inc.

   

Biotechnology

      3.1%   

Westlake Chemical Corp.

   

Chemicals

      2.3%   

AMERCO

   

Road & Rail

      2.1%   

Gartner, Inc.

   

IT Services

      2.0%   

Middleby Corp.

   

Machinery

      1.9%   
  

 

 

  
     11.4%   
Sector Allocation – (% of Net Assets)  

Consumer, Non-cyclical

      24.6%   

Industrial

      18.7%   

Technology

      18.5%   

Consumer, Cyclical

      14.2%   

Financial

      11.0%   

Communications

      6.8%   

Basic Materials

      3.9%   

Energy

      2.2%   

Investment Companies

      0.1%   
  

 

 

  
     100.0%   
 

 

2  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF (unaudited)

Performance

 

LOGO

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the life of the Fund. Performance calculations are as of the end of each month. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

Cumulative Total Return for the period ended April 30, 2016

      Since Fund
Inception

Janus Small/Mid Cap Growth Alpha ETF – NAV*

    10.31%

Janus Small/Mid Cap Growth Alpha ETF – Market Price*

    10.31%

Janus Small/Mid Cap Growth Alpha Index*

    10.40%

Russell 2500TM Growth Index

    10.96%

The estimated annual gross expense ratio per the prospectus dated February 22, 2016 is 0.50%.

 

* The Fund’s inception date is February 23, 2016. The inception date of Janus Small/Mid Cap Growth Alpha Index is December 31, 2015.

Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 877.33JANUS (52687) or visit janus.com/ETFs.

Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Market returns are based upon the midpoint of the bid/ask spread at 4:00 p.m. Eastern time (when NAV is normally determined for most ETFs), and do not represent the returns you would receive if you traded shares at other times. Ordinary brokerage commissions apply and will reduce returns.

There are risks involved with investing, including possible loss of principal. Performance depends upon the investment performance of the underlying index in which it invests. Smaller capitalization companies may be less stable and more susceptible to adverse developments, and their securities may be more volatile and less liquid than larger capitalization companies.

There is no assurance that the rules-based proprietary index methodology will select securities that individually, or in the aggregate, outperform the broader small-capitalization universes.

The ETF is new and has less than one year of operating history.

Janus Small/Mid Cap Growth Alpha Index (JSMDID) seeks to select companies that are poised for Smart GrowthTM, and is intended to deliver risk-adjusted outperformance relative to a market cap weighted universe of small and medium capitalization growth stocks. The Index replicates a portfolio consisting of stocks selected from an associated index of the Solactive Small/Mid Cap Index. The stocks in the associated index are the “Eligible Universe” for the Index. The percentage weight of each stock within each Index is determined on a quarterly basis in accordance with the Index Methodology document which can be downloaded from janus.com/etfs.

Russell 2500TM Growth Index measures the performance of those Russell 2500TM companies with higher price-to-book ratios and higher forecasted growth values. One cannot invest directly in an index. Index performance does not reflect fund performance.

 

   Janus Detroit Street Trust  ½  3

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF (unaudited)

Performance

 

Returns include reinvestment of dividends and capital gains.

The index provider is Janus Index and Calculation Services LLC (“Janus Index”). Janus Index maintains the indices and calculates the index levels and performance shown or discussed, but does not manage actual assets. Janus index receives compensation in connection with licensing its indices to third parties including the provision of any related data.

Janus Capital Management LLC is the investment adviser and ALPS Distributors, Inc. is the distributor. ALPS is not affiliated with Janus. Holdings are subject to change.

 

4  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF (unaudited)

Disclosure of Fund Expenses

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees or brokerage charges; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’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 Fund 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 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 creation and redemption fees, or brokerage charges. These fees are fully described in the Fund’s prospectus. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Actual

     Hypothetical
(5% return before expenses)		        
Beginning
Account
Value
(2/23/16)		  

Ending

Account
Value
(4/30/16)

     Expenses
Paid During
Period
(2/23/16 - 4/30/16)*		     Beginning
Account
Value
(11/1/15)		     Ending
Account
Value
(4/30/16)		     Expenses
Paid During
Period
(11/1/15 - 4/30/16)†		     Net Annualized
Expense Ratio
(2/23/16 - 4/30/16)		  

$1,000.00

   $ 1,103.10      $ 0.98      $ 1,000.00      $ 1,022.38      $ 2.51        0.50%   

 

* Actual Expenses Paid During Period reflects only the inception period for the Fund (February 23, 2016 to April 30, 2016) and is equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 68/366 (to reflect the period). Therefore, actual expenses shown are lower than would be expected for a six-month period.

 

† Expenses Paid During Period is equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

   Janus Detroit Street Trust  ½  5

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – 99.9%            
Aerospace & Defense – 2.7%            

Astronics Corp.*

     217        $8,018   

HEICO Corp.

     489        29,981   

Hexcel Corp.

     797        36,080   
   

 

 

  
      74,079   
Air Freight & Logistics – 0.6%            

Echo Global Logistics, Inc.*

     257        6,006   

Forward Air Corp.

     261        11,896   
   

 

 

  
      17,902   
Airlines – 1.7%            

Spirit Airlines, Inc.*

     615        27,017   

Virgin America, Inc.*

     381        21,218   
   

 

 

  
      48,235   
Auto Components – 1.4%            

Dorman Products, Inc.*

     155        8,338   

Fox Factory Holding Corp.*

     165        2,856   

Gentex Corp.

     1,288        20,660   

Gentherm, Inc.*

     161        5,915   

Horizon Global Corp.*

     81        994   

Strattec Security Corp.

     16        846   
   

 

 

  
      39,609   
Beverages – 0.1%            

Boston Beer Co., Inc. - Class A*

     13        2,029   
Biotechnology – 5.0%            

Alder Biopharmaceuticals, Inc.*

     273        7,248   

Ardelyx, Inc.*

     213        1,706   

Baxalta, Inc.

     2,049        85,956   

BioSpecifics Technologies Corp.*

     42        1,493   

Enanta Pharmaceuticals, Inc.*

     117        3,416   

Insys Therapeutics, Inc.*

     444        6,434   

PDL BioPharma, Inc.

     1,013        3,819   

United Therapeutics Corp.*

     279        29,351   
   

 

 

  
      139,423   
Building Products – 2.3%            

Allegion PLC

     819        53,604   

CSW Industrials, Inc.*

     133        4,330   

Patrick Industries, Inc.*

     132        6,052   
   

 

 

  
      63,986   
Capital Markets – 1.6%            

Artisan Partners Asset Management, Inc. - Class A

     118        3,813   

Cohen & Steers, Inc.

     137        5,380   

Diamond Hill Investment Group, Inc.

     10        1,753   

Evercore Partners, Inc. - Class A

     109        5,629   

Financial Engines, Inc.

     155        4,992   

HFF, Inc. - Class A

     114        3,629   

Houlihan Lokey, Inc.

     37        933   

Ladenburg Thalmann Financial Services, Inc.*

     550        1,474   

Virtu Financial, Inc. - Class A

     114        2,377   

Virtus Investment Partners, Inc.

     25        1,955   

Waddell & Reed Financial, Inc. - Class A

     265        5,390   

Westwood Holdings Group, Inc.

     26        1,496   

WisdomTree Investments, Inc.

     410        4,465   
   

 

 

  
      43,286   
Chemicals – 3.9%            

Balchem Corp.

     303        18,592   

Flotek Industries, Inc.*

     516        4,876   

Innospec, Inc.

     230        11,123   

Quaker Chemical Corp.

     126        11,222   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

6  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Chemicals – (continued)            

Westlake Chemical Corp.

     1,253        $ 62,888   
   

 

 

  
      108,701   
Commercial Banks – 3.8%            

Bank of the Ozarks, Inc.

     271        11,192   

Eagle Bancorp, Inc.*

     100        5,070   

First Foundation, Inc.*

     48        1,082   

First NBC Bank Holding Co.*

     57        1,239   

Home BancShares, Inc.

     210        9,028   

Prosperity Bancshares, Inc.

     213        11,240   

ServisFirst Bancshares, Inc.

     78        3,844   

Signature Bank*

     152        20,950   

South State Corp.

     73        5,109   

Stonegate Bank

     38        1,197   

SVB Financial Group*

     154        16,059   

Texas Capital Bancshares, Inc.*

     138        6,323   

Triumph Bancorp, Inc.*

     55        874   

Western Alliance Bancorp*

     310        11,340   
   

 

 

  
      104,547   
Communications Equipment – 2.2%            

Alliance Fiber Optic Products, Inc.*

     132        2,445   

Arista Networks, Inc.*

     519        34,576   

Clearfield, Inc.*

     104        1,930   

Ubiquiti Networks, Inc.

     630        22,440   
   

 

 

  
      61,391   
Computers & Peripherals – 0.8%            

Cray, Inc.*

     310        11,740   

Super Micro Computer, Inc.*

     363        9,768   
   

 

 

  
      21,508   
Construction & Engineering – 0.2%            

Argan, Inc.

     127        4,341   

NV5 Global, Inc.*

     69        1,713   
   

 

 

  
      6,054   
Consumer Finance – 0.6%            

Credit Acceptance Corp.*

     61        11,973   

Enova International, Inc.*

     100        881   

PRA Group, Inc.*

     145        4,811   
   

 

 

  
      17,665   
Distributors – 1.6%            

LKQ Corp.*

     1,363        43,684   
Diversified Consumer Services – 0.6%            

American Public Education, Inc.*

     73        1,691   

Grand Canyon Education, Inc.*

     207        9,052   

LifeLock, Inc.*

     408        4,749   
   

 

 

  
      15,492   
Diversified Financial Services – 0.5%            

MarketAxess Holdings, Inc.

     112        13,749   
Electrical Equipment – 0.8%            

Allied Motion Technologies, Inc.

     79        1,702   

Generac Holdings, Inc.*

     575        21,919   
   

 

 

  
      23,621   
Electronic Equipment & Instruments – 5.6%            

Cognex Corp.

     645        22,917   

FEI Co.

     313        27,863   

Fitbit, Inc. - Class A*

     449        8,194   

IPG Photonics Corp.*

     401        34,755   

Kimball Electronics, Inc.*

     220        2,407   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  7

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Electronic Equipment & Instruments – (continued)            

Littelfuse, Inc.

     170        $ 19,802   

Mesa Laboratories, Inc.

     28        2,822   

Methode Electronics, Inc.

     289        8,592   

OSI Systems, Inc.*

     150        7,633   

Universal Display Corp.*

     356        20,758   
   

 

 

  
      155,743   
Energy Equipment & Services – 0.5%            

C&J Energy Services Ltd.*

     127        184   

Dril-Quip, Inc.*

     40        2,593   

Frank’s International NV

     163        2,714   

Oceaneering International, Inc.

     104        3,811   

RPC, Inc.

     230        3,478   

US Silica Holdings, Inc.

     57        1,456   
   

 

 

  
      14,236   
Food & Staples Retailing – 0.3%            

Natural Grocers by Vitamin Cottage, Inc.*

     31        414   

PriceSmart, Inc.

     41        3,548   

Sprouts Farmers Market, Inc.*

     210        5,895   
   

 

 

  
      9,857   
Food Products – 0.9%            

Amplify Snack Brands, Inc.*

     102        1,572   

Blue Buffalo Pet Products, Inc.*

     269        6,660   

Inventure Foods, Inc.*

     27        193   

Seaboard Corp.*

     2        6,006   

WhiteWave Foods Co.*

     241        9,691   
   

 

 

  
      24,122   
Health Care Equipment & Supplies – 4.8%            

ABIOMED, Inc.*

     261        25,354   

Align Technology, Inc.*

     491        35,445   

Anika Therapeutics, Inc.*

     92        4,201   

Atrion Corp.

     12        4,768   

Cantel Medical Corp.

     257        17,216   

Entellus Medical, Inc.*

     116        1,687   

Glaukos Corp.*

     198        3,730   

Globus Medical, Inc. - Class A*

     440        11,018   

Inogen, Inc.*

     121        5,912   

Neogen Corp.*

     230        10,865   

Penumbra, Inc.*

     183        9,973   

Vascular Solutions, Inc.*

     106        3,705   
   

 

 

  
      133,874   
Health Care Providers & Services – 6.8%            

AAC Holdings, Inc.*

     138        2,841   

Acadia Healthcare Co., Inc.*

     513        32,417   

Air Methods Corp.*

     239        8,838   

Centene Corp.*

     750        46,470   

Diplomat Pharmacy, Inc.*

     397        12,025   

HealthEquity, Inc.*

     355        8,928   

Mednax, Inc.*

     578        41,206   

Premier, Inc. - Class A*

     279        9,433   

Surgery Partners, Inc.*

     297        4,838   

Team Health Holdings, Inc.*

     453        18,949   

US Physical Therapy, Inc.

     77        3,839   
   

 

 

  
      189,784   
Health Care Technology – 0.7%            

Inovalon Holdings, Inc. - Class A*

     304        5,198   

Veeva Systems, Inc. - Class A*

     503        13,838   
   

 

 

  
      19,036   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

8  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Hotels, Restaurants & Leisure – 3.8%            

Bojangles’, Inc.*

     161        $ 2,838   

Buffalo Wild Wings, Inc.*

     83        11,094   

Chuy’s Holdings, Inc.*

     73        2,229   

El Pollo Loco Holdings, Inc.*

     171        2,256   

Fiesta Restaurant Group, Inc.*

     120        3,853   

J Alexander’s Holdings, Inc.*

     67        690   

Nathan’s Famous, Inc.*

     18        801   

Panera Bread Co. - Class A*

     103        22,092   

Planet Fitness, Inc. - Class A*

     163        2,504   

Shake Shack, Inc. - Class A*

     67        2,447   

Texas Roadhouse, Inc.

     312        12,705   

Wingstop, Inc.*

     127        3,167   

Wynn Resorts, Ltd.

     453        40,000   
   

 

 

  
      106,676   
Household Durables – 0.5%            

GoPro, Inc. - Class A*

     452        5,713   

iRobot Corp.*

     129        4,822   

LGI Homes, Inc.*

     89        2,493   

Taylor Morrison Home Corp. - Class A*

     142        2,045   
   

 

 

  
      15,073   
Insurance – 0.9%            

AmTrust Financial Services, Inc.

     527        13,096   

Atlas Financial Holdings, Inc.*

     35        615   

Federated National Holding Co.

     43        819   

HCI Group, Inc.

     32        959   

Heritage Insurance Holdings, Inc.

     92        1,223   

National General Holdings Corp.

     324        6,541   

United Insurance Holdings Corp.

     65        1,060   

Universal Insurance Holdings, Inc.

     106        1,867   
   

 

 

  
      26,180   
Internet Software & Services – 2.5%            

j2 Global, Inc.

     369        23,439   

NIC, Inc.

     499        8,837   

Rackspace Hosting, Inc.*

     1,001        22,893   

RetailMeNot, Inc.*

     377        3,178   

Stamps.com, Inc.*

     126        10,378   
   

 

 

  
      68,725   
IT Services – 8.2%            

Blackhawk Network Holdings, Inc.*

     415        13,334   

Cardtronics, Inc.*

     344        13,561   

Datalink Corp.*

     171        1,373   

EPAM Systems, Inc.*

     383        27,932   

Gartner, Inc.*

     626        54,568   

Jack Henry & Associates, Inc.

     599        48,537   

Luxoft Holding, Inc.*

     148        8,556   

MAXIMUS, Inc.

     493        26,080   

Syntel, Inc.*

     638        27,134   

Virtusa Corp.*

     226        8,032   
   

 

 

  
      229,107   
Leisure Equipment & Products – 1.6%            

Malibu Boats, Inc. - Class A*

     79        1,391   

MCBC Holdings, Inc.*

     84        1,127   

Polaris Industries, Inc.

     289        28,287   

Vista Outdoor, Inc.*

     271        13,003   
   

 

 

  
      43,808   
Life Sciences Tools & Services – 2.5%            

PAREXEL International Corp.*

     331        20,224   

Quintiles Transnational Holdings, Inc.*

     736        50,836   
   

 

 

  
      71,060   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  9

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Machinery – 2.9%            

Greenbrier Cos., Inc.

     245        $ 7,348   

Hyster-Yale Materials Handling, Inc.

     106        6,492   

Middleby Corp.*

     489        53,614   

Proto Labs, Inc.*

     224        13,402   
   

 

 

  
      80,856   
Media – 3.1%            

AMC Networks, Inc. - Class A*

     271        17,677   

Cable One, Inc.

     27        12,392   

Crown Media Holdings, Inc. - Class A*

     1,602        8,122   

Gannett Co., Inc.

     512        8,627   

Scripps Networks Interactive, Inc. - Class A

     422        26,312   

Starz - Class A*

     449        12,217   

Tribune Publishing Co.

     117        1,326   
   

 

 

  
      86,673   
Oil, Gas & Consumable Fuels – 1.6%            

Abraxas Petroleum Corp.*

     112        170   

Carrizo Oil & Gas, Inc.*

     61        2,158   

Cheniere Energy Partners LP Holdings LLC

     245        4,773   

Continental Resources, Inc.*

     394        14,680   

Evolution Petroleum Corp.

     35        194   

Gulfport Energy Corp.*

     114        3,568   

Laredo Petroleum, Inc.*

     226        2,753   

Northern Oil and Gas, Inc.*

     67        366   

Oasis Petroleum, Inc.*

     191        1,851   

Rice Energy, Inc.*

     144        2,493   

SM Energy Co.

     72        2,243   

Southwestern Energy Co.*

     412        5,533   

Western Refining, Inc.

     96        2,569   
   

 

 

  
      43,351   
Personal Products – 0.3%            

Herbalife, Ltd.*

     126        7,302   

USANA Health Sciences, Inc.*

     17        2,013   
   

 

 

  
      9,315   
Pharmaceuticals – 0.5%            

Depomed, Inc.*

     373        6,483   

Lannett Co., Inc.*

     226        4,335   

Phibro Animal Health Corp. - Class A

     114        2,364   
   

 

 

  
      13,182   
Professional Services – 0.9%            

GP Strategies Corp.*

     143        3,338   

RPX Corp.*

     441        4,886   

WageWorks, Inc.*

     307        16,535   
   

 

 

  
      24,759   
Real Estate Investment Trusts (REITs) – 1.5%            

Altisource Residential Corp.

     169        1,964   

American Capital Mortgage Investment Corp.

     143        2,121   

Apollo Commercial Real Estate Finance, Inc.

     202        3,218   

Colony Capital, Inc. - Class A

     335        5,923   

New Residential Investment Corp.

     701        8,482   

NexPoint Residential Trust, Inc.

     64        900   

Orchid Island Capital, Inc.

     65        629   

PennyMac Mortgage Investment Trust

     222        3,017   

Starwood Property Trust, Inc.

     725        14,036   

Western Asset Mortgage Capital Corp.

     126        1,256   

ZAIS Financial Corp.

     24        349   
   

 

 

  
      41,895   
Real Estate Management & Development – 0.7%            

Altisource Portfolio Solutions SA*

     57        1,783   

Jones Lang LaSalle, Inc.

     134        15,433   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

10  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

     Shares     Value  
Common Stocks – (continued)            
Real Estate Management & Development – (continued)            

Marcus & Millichap, Inc.*

     112        $ 2,809   
   

 

 

  
      20,025   
Road & Rail – 3.8%            

AMERCO

     168        59,136   

Old Dominion Freight Line, Inc.*

     716        47,292   
   

 

 

  
      106,428   
Semiconductors & Semiconductor Equipment – 1.1%            

Ambarella, Inc.*

     244        10,028   

Synaptics, Inc.*

     278        19,891   
   

 

 

  
      29,919   
Software – 8.4%            

FactSet Research Systems, Inc.

     124        18,693   

Fleetmatics Group PLC*

     294        10,658   

Globant SA*

     259        9,192   

Manhattan Associates, Inc.*

     555        33,600   

Paycom Software, Inc.*

     449        17,156   

Qualys, Inc.*

     261        6,572   

Tyler Technologies, Inc.*

     277        40,556   

Ultimate Software Group, Inc.*

     219        43,053   

VMware, Inc. - Class A*

     940        53,495   
   

 

 

  
      232,975   
Specialty Retail – 2.3%            

Dick’s Sporting Goods, Inc.

     401        18,582   

Five Below, Inc.*

     242        10,091   

Francesca’s Holdings Corp.*

     186        3,088   

GNC Holdings, Inc. - Class A

     330        8,039   

Hibbett Sports, Inc.*

     101        3,646   

Lumber Liquidators Holdings, Inc.*

     120        1,789   

Mattress Firm Holding Corp.*

     157        6,126   

Outerwall, Inc.

     73        3,016   

Sportsman’s Warehouse Holdings, Inc.*

     187        2,128   

Vitamin Shoppe, Inc.*

     114        3,120   

Winmark Corp.

     18        1,714   

Zumiez, Inc.*

     119        1,997   
   

 

 

  
      63,336   
Textiles, Apparel & Luxury Goods – 0.9%            

Fossil Group, Inc.*

     214        8,667   

G-III Apparel Group Ltd.*

     202        9,140   

Tumi Holdings, Inc.*

     300        8,004   
   

 

 

  
      25,811   
Thrifts & Mortgage Finance – 0.4%            

BofI Holding, Inc.*

     189        3,850   

Essent Group Ltd.*

     277        5,656   

PennyMac Financial Services, Inc. - Class A*

     65        828   
   

 

 

  
      10,334   
Trading Companies & Distributors – 1.5%            

Watsco, Inc.

     304        40,879   

Total Common Stocks (cost $2,631,220)

             2,781,980   
Investment Companies – 0.1%            

State Street Institutional U.S. Government Money Market Fund (cost $2,402)

     2,402        2,402   

Total Investments (total cost $2,633,622) – 100.0%

             2,784,382   

Liabilities, net of Cash, Receivables, and Other Assets (0.0)%

             (926)   

Net Assets - 100%

             $2,783,456   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  11

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Schedule of Investments (unaudited)

April 30, 2016

 

Summary of Investments by Country - (unaudited)

 

Country    Value      % of
Investment
Securities		  

United States

    $ 2,695,911         96.8%   

Ireland

      64,262         2.3   

Luxembourg

      10,975         0.4   

Switzerland

      8,556         0.3   

Netherlands

      2,714         0.1   

Virgin Islands (British)

      1,964         0.1   
  

 

 

  

Total

    $ 2,784,382         100.0%   

 

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

 

12  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Notes to Schedule of Investments and Other Information (unaudited)

 

LLC      Limited Liability Company
LP      Limited Partnership
PLC      Public Limited Company

 

* Non-income producing security.

The following is a summary of the inputs that were used to value the Fund’s investments in securities and other financial instruments as of April 30, 2016. See Notes to Financial Statements for more information.

Valuation Inputs Summary

 

      Level 1 -
Quoted Prices		     

Level 2 -
Other Significant

Observable Inputs

     

Level 3 -
Significant

Unobservable Inputs

  

Assets

         

Investments in Securities:

         

Common Stocks

    $ 2,781,980       $ —       $ —   

Investment Companies

      —         2,402         —   
  

 

 

  

Total Assets

    $ 2,781,980       $ 2,402       $ —   

 

   Janus Detroit Street Trust  ½  13

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Statement of Assets and Liabilities (unaudited)

April 30, 2016

 

Assets:

        

Investments, at cost

   $ 2,633,622   

Investments, at value

   $ 2,784,382   

Receivables:

  

Dividends

     216   

Total Assets

     2,784,598   

Liabilities:

  

Payables:

  

Management fees

     1,142   

Total Liabilities

     1,142   

Net Assets

   $ 2,783,456   

Net Assets Consists of:

  

Capital (par value and paid-in surplus)

   $ 2,509,801   

Undistributed net investment income/(loss)

     290   

Undistributed net realized gain/(loss) from investments

     122,605   

Unrealized net appreciation/(depreciation) on investments

     150,760   

Total Net Assets

   $ 2,783,456   

Net Assets

   $ 2,783,456   

Shares outstanding, $0.001 Par Value (unlimited shares authorized)

     102,000   

Net Asset Value Per Share

   $ 27.29   

 

See Notes to Financial Statements.

 

14  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Statement of Operations (unaudited)

For the period ended April 30, 2016(1)

 

Investment Income:

  

Dividends

   $ 3,885   

Interest

     2   

Foreign Taxes Withheld

     (3)   

Total Investment Income

     3,884   

Expenses:

  

Management fees

     2,437   

Total Expenses

     2,437   

Net Investment Income/(Loss)

     1,447   

Net Realized Gain/(Loss) on Investments:

  

Investments and foreign currency transactions

   $ 122,605   

Total Net Realized Gain/(Loss) on Investments

   $ 122,605   

Change in Unrealized Net Appreciation/Depreciation:

  

Investments and foreign currency translations

   $ 150,760   

Total Change in Unrealized Net Appreciation/Depreciation

     150,760   

Net Increase/(Decrease) in Net Assets Resulting from Operations

   $ 274,812   

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

 

See Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  15

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Statement of Changes in Net Assets (unaudited)

 

     Period Ended
April 30, 2016(1)		  

Operations:

        

Net investment income/(loss)

   $ 1,447   

Net realized gain/(loss) on investments

     122,605   

Change in unrealized net appreciation/depreciation

     150,760   

Net Increase/(Decrease) in Net Assets Resulting from Operations

     274,812   

Dividends and Distributions to Shareholders:

  

Dividends from Net Investment Income

     (1,157)   

Capital Share Transactions

     2,509,801   

Net Increase/(Decrease) in Net Assets

     2,783,456   

Net Assets:

  

Beginning of period

     —   

End of period

   $ 2,783,456   
 

Undistributed Net Investment Income/(Loss)

   $ 290   

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

 

See Notes to Financial Statements.

 

16  ½  APRIL 30, 2016   

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Financial Highlights (unaudited)

 

For a share outstanding during the period ended April 30   2016(1)  
 

Net Asset Value, Beginning of Period

     $24.75   
 

Income/(Loss) from Investment Operations:

  
 

Net investment income/(loss)(2)

     0.01   
 

Net realized and unrealized gain/(loss)

     2.54   
 

Total from Investment Operations

     2.55   
 

Less Dividends and Distributions:

  
 

Dividends (from net investment income)

     (0.01)   
 

Distributions (from capital gains)

     —   
 

Total Dividends and Distributions

     (0.01)   
 

Net Asset Value, End of Period

     $27.29   
 

Total Return*

     10.31%   
 

Net Assets, End of period (in thousands)

     $2,783   
 

Average Net Assets for the Period (in thousands)

     $2,663   
 

Ratios to Average Net Assets**:

  
 

Ratio of Gross Expenses

     0.50%   
 

Ratio of Net Investment Income/(Loss)

     0.30%   
 

Portfolio Turnover Rate

     66%   

 

* Total return not annualized for periods of less than one full year.
** Annualized for periods of less than one full year.
(1) Period from February 23, 2016 (inception date) through April 30, 2016.
(2) Per share amounts are calculated based on average shares outstanding during the year or period.

 

See Notes to Financial Statements.

 

   Janus Detroit Street Trust  ½  17

Table of Contents

Janus Small/Mid Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

1. Organization and Significant Accounting Policies

Janus Small/Mid Cap Growth Alpha ETF (the “Fund”) is a series fund. The Fund is part of Janus Detroit Street Trust (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 financial statements include information for the period from February 23, 2016 (inception date) through April 30, 2016. The Trust offers two Funds which represent shares of beneficial interest in a separate portfolio of securities and other assets with its own objective and policies. The Fund invests primarily in equity securities. The Fund is classified as diversified, as defined in the 1940 Act.

Unlike shares of traditional mutual funds, shares of the Fund are not individually redeemable and may only be purchased or redeemed directly from the Fund at net asset value (“NAV”) in large increments called “Creation Units” (50,000 or more shares per Creation Unit) through certain participants, known as “Authorized Participants.” The Fund will issue or redeem Creation Units in exchange for portfolio securities included in the Fund’s Underlying Index and/or cash. Except when aggregated in Creation Units, Fund shares are not redeemable securities of the Fund. Shares of the Fund are listed and trade on the NASDAQ, and individual investors can purchase or sell shares in much smaller increments and for cash in the secondary market through a broker. These transactions, which do not involve the Fund, are made at market prices that may vary throughout the day and differ from the Fund’s net asset value. As a result, you may pay more than net asset value (at a premium) when you purchase shares, and receive less than net asset value (at a discount) when you sell shares, in the secondary market.

The following accounting policies have been followed by the Fund and are in conformity with accounting principles generally accepted in the United States of America.

Investment Valuation

Securities held by the Fund are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Fund will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Fund uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.

Valuation Inputs Summary

FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market

 

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Janus Small/Mid Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

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 Fund 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 Fund’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 Fund’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 Fund since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of April 30, 2016 to fair value the Fund’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.

There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the period. The Fund recognizes transfers between the levels as of the beginning of the fiscal year.

Investment Transactions and Investment Income

Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Fund 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. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications

In the normal course of business, the Fund may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Fund’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Fund that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.

Foreign Currency Translations

The Fund 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

 

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Janus Small/Mid Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

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 Fund generally declares and distributes dividends of net investment income quarterly. Net realized capital gains (if any) are distributed annually. The Fund may treat a portion of the amount paid to redeem shares as a distribution of investment company taxable income and realized capital gains that are reflected in the net asset value. This practice, commonly referred to as “equalization,” has no effect on the redeeming shareholder or a Fund’s total return, but may reduce the amounts that would otherwise be required to be paid as taxable dividends to the remaining shareholders. It is possible that the Internal Revenue Service (IRS) could challenge the Fund’s equalization methodology or calculations, and any such challenge could result in additional tax, interest, or penalties to be paid by the Fund.

The Fund 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 Fund distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.

Federal Income Taxes

The Fund intends 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 Fund’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 Fund’s financial statements. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

2. Other Investments and Strategies

Additional Investment Risk

The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed income/ credit markets. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation. The effect of these changes on the markets, and the practical implications for market participants, including the Fund, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Fund’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.

The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Fund and the investment management industry as a whole, is not yet certain.

A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in

 

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Janus Small/Mid Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more “bailouts” from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/ or withdraw from the EU, placing its currency and banking system in jeopardy.

Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Fund’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Fund invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.

Real Estate Investing

The Fund may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.

3. Investment Advisory Agreements and Other Transactions with Affiliates

Under its unitary fee structure, the Fund pays Janus Capital Management LLC (“Janus Capital” or “Janus”) a “Management Fee” in return for providing certain investment advisory, supervisory, and administrative services to the Fund, including the costs of transfer agency, custody, fund administration, legal, audit, and other services. Janus Capital’s fee structure is designed to pay substantially all of the Fund’s expenses. However, the Fund bears other expenses which are not covered under the Management Fee which may vary and affect the total level of expenses paid by shareholders, such as distribution fees (if any), brokerage expenses or commissions, interest, dividends, taxes, litigation expenses, acquired fund fees and expenses (if any), and extraordinary expenses. The Fund’s Management Fee is calculated daily and paid monthly. The Fund’s contractual Management Fee rate (expressed as an annual rate) is 0.50% of the Fund’s average daily net assets.

State Street Bank and Trust Company (“State Street”) provides certain fund administration services to the Fund, including services related to the Fund’s accounting, including calculating the daily NAV, audit, tax, and reporting obligations, pursuant to an Agreement with Janus Capital, on behalf of each Fund. As compensation for such services, Janus Capital pays State Street a fee based on a percentage of the Fund’s assets, with a minimum flat fee, for certain services. Janus Capital serves as administrator to the Fund, providing oversight and coordination of the Fund’s service providers, recordkeeping and other administrative services. Janus Capital does not receive any additional compensation, beyond the unitary fee, for serving as administrator. State Street also serves as transfer agent for the shares of the Fund.

The Trust has adopted a Distribution and Servicing Plan for shares of the Fund pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan permits compensation in connection with the distribution and marketing of Fund shares and/or the provision of certain shareholder services. The Plan permits the Fund to pay ALPS Distributors, Inc. (the “Distributor”) or its designee, a fee for the sale and distribution and/or shareholder servicing of the shares at an annual rate of up to 0.25% of average daily net assets of the Fund. However, the Trustees have determined not to authorize payment under this Plan at this time. Under the terms of the Plan, the Trust is authorized to make payments to the Distributor or its designee for remittance to retirement plan service providers, broker-dealers, bank trust departments, financial advisors, and other financial intermediaries, as compensation for distribution and/or shareholder services performed by such entities for their customers who are investors in the Fund. The 12b-1 fee may only be imposed or increased when the Trustees determine that it is in the best interests of shareholders to do so. Because these fees are paid out of the Fund’s assets on an ongoing basis, to the extent that a fee is authorized, over time they will increase the cost of an investment in the Fund. The Plan fee may cost an investor more than other types of sales charges.

 

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Janus Small/Mid Cap Growth Alpha ETF

Notes to Financial Statements (unaudited)

 

As of April 30, 2016, Janus Capital owned 2,000 shares or 1.96% of the Fund.

4. Federal Income Tax

Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, net investment losses, and capital loss carryovers.

The Fund 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 April 30, 2016 are noted below.

Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference(s) 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)		  
$ 2,633,696      $ 196,690      $ (46,004)      $ 150,686   

5. Capital Share Transactions

 

       Period ended April 30, 2016(1)  
        Shares        Amount  
Shares sold        152,000         $ 3,837,031   
Shares repurchased        (50,000)           (1,327,230)   

Net Increase/(Decrease)

        102,000         $ 2,509,801   

 

(1) Period from February 23, 2016 (inception date) through April 30, 2016.

6. Purchases and Sales of Investment Securities

For the period ended April 30, 2016, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:

 

Purchases of

Securities

    

Proceeds from Sales

of Securities

    

Purchases of Long-

Term U.S. Government

Obligations

    

Proceeds from Sales

of Long-Term U.S.

Government Obligations

  
$ 4,286,278      $ 1,777,663      $             —      $             —   

7. Subsequent Event

Management has evaluated whether any events or transactions occurred subsequent to April 30, 2016 and through the date of issuance of the Fund’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Fund’s financial statements.

 

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Janus Small/Mid Cap Growth Alpha ETF

Additional Information (unaudited)

 

Proxy Voting Policies and Voting Record

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-0020 (toll free); (ii) on the Fund’s website at janus.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov.

Quarterly Portfolio Holdings

The Fund files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Fund’s Form N-Q: (i) is available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).

Licensing Agreements

Janus Index & Calculation Services LLC (“Janus Index Services”) is the Index Provider for the Underlying Index. Janus Capital has entered into a license agreement with Janus Index Services to use the Underlying Index. Janus Index Services is affiliated with the Fund and Janus Capital. This affiliation may create potential conflicts for Janus Index Services as it may have an interest in the performance of the Fund, which could motivate it to alter the Underlying Index methodology for the Underlying Index. Janus Index Services has adopted procedures that it believes are reasonably designed to mitigate these and other potential conflicts.

Janus Index Services is the licensor of certain trademarks, service marks, and trade names. Neither Janus Index Services nor any of its affiliates make any representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly or the ability of the Underlying Index to track general market performance. The Underlying Index is determined, composed, and calculated by Janus Index Services without regard to Janus Capital or the Fund. Janus Index Services has no obligation to take the needs of Janus Capital or the owners of the Fund into consideration in determining, composing, or calculating the Underlying Index. Janus Index Services is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Fund to be issued or in the determination or calculation of the equation by which the Fund is to be converted into cash.

ALTHOUGH JANUS INDEX SERVICES SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE UNDERLYING INDEX FROM SOURCES WHICH IT CONSIDERS RELIABLE, IT DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN AND SHALL HAVE NO LIABILITY FOR ERRORS OR OMISSIONS OF ANY KIND RELATED TO THE UNDERLYING INDEX OR DATA. JANUS INDEX SERVICES MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JANUS CAPITAL, OWNERS OF THE FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED TO JANUS CAPITAL FOR ANY OTHER USE. JANUS INDEX SERVICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE UNDERLYING INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL IT HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

Janus Capital does not guarantee the accuracy and/or the completeness of the Underlying Index or any data included therein, and Janus Capital shall have no liability for any errors, omissions or interruptions therein. Janus Capital makes no warranty, express or implied, as to results to be obtained by the Fund, owners of the shares of the Fund or any other person or entity from the use of the Underlying Index or any data included therein. Janus Capital makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Underlying Index or any data included therein. Without limiting any of the foregoing, in no event shall Janus Capital have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the Underlying Index even if notified of the possibility of such damages.

 

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Janus Small/Mid Cap Growth Alpha ETF

Board Considerations Regarding Approval of Investment Advisory Agreements (unaudited)

 

APPROVAL OF ADVISORY AGREEMENT DURING THE PERIOD FOR JANUS SMALL CAP GROWTH ALPHA ETF AND JANUS SMALL/MID CAP GROWTH ALPHA ETF

The Trustees of Janus Detroit Street Trust (the “Trust”), the majority of whom serve as “independent” Trustees (the “Independent Trustees”) met on February 3, 2016 to consider the proposed investment management agreement (the “Investment Management Agreement”) for Janus Small Cap Growth Alpha ETF and Janus Small/Mid Cap Growth Alpha ETF (each a “New Fund” and collectively, the “New Funds”). In the course of their consideration of the Investment Management Agreement, the Trustees met in executive session and were advised by their independent counsel. In this regard, the Board, including the Independent Trustees, evaluated the terms of the Investment Management Agreement and reviewed the duties and responsibilities of the Trustees in evaluating and approving such agreements. In considering approval of the Investment Management Agreement, the Board, including the Independent Trustees, reviewed the Board Materials and other information from counsel and from Janus Capital Management LLC, the investment adviser (the “Adviser”), including: (i) a copy of the form of Investment Management Agreement, with respect to the Adviser’s management of the assets of each New Fund; (ii) information describing the nature, quality and extent of the services that the Adviser will provide to the New Fund, and the fees the Adviser will charge to the New Funds; (iii) information concerning the Adviser’s financial condition, business, operations, portfolio management teams and compliance programs; (iv) information describing each New Fund’s anticipated advisory fee and operating expenses; (v) a copy of the Adviser’s current Form ADV; and (vi) a memorandum from counsel on the responsibilities of trustees in considering investment advisory arrangements under the 1940 Act. The Board also considered presentations made by, and discussions held with, representatives of the Adviser. The Board also received information comparing the advisory fees and expenses of the New Funds to those from fund complexes that were defined as competitors.

During its review of this information, the Board focused on and analyzed the factors that the Board deemed relevant, including: the nature, extent and quality of the services to be provided to each New Fund by the Adviser; the Advisers’ personnel and operations; each New Fund’s proposed expense level; the anticipated profitability to the Adviser under the Investment Management Agreement at certain asset levels; any “fall-out” benefits to the Adviser and its affiliates (i.e., the ancillary benefits realized by the Adviser and its affiliates from the Adviser’s relationship with the Trust); the effect of asset growth on each New Fund’s expenses; and possible conflicts of interest.

The Trustees also considered benefits that accrue to the Adviser and its affiliates from their relationships with the New Funds. They recognized that an affiliate of the Adviser would separately serve the New Funds as index provider. 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 the New Funds therefor, the New Funds and the Adviser may potentially benefit from their relationship with each other in other ways. They concluded that the success of the New Funds could attract other business to the Adviser or other Janus funds, and that the success of the Adviser could enhance the Adviser’s ability to serve the New Funds.

The Board, including the Independent Trustees, considered the following in respect of each New Fund:

The nature, extent and quality of services to be provided by the Advisers; personnel and operations of the Adviser.

The Board reviewed the services that the Adviser would provide to each New Fund. In connection with the investment advisory services to be provided by the Adviser, the Board noted the responsibilities that the Adviser would have as the Funds’ investment adviser, including: the overall supervisory responsibility for the general management and investment of each New Fund’s securities portfolio; providing oversight of the investment performance and processes and compliance with the New Fund’s investment objectives, policies and limitations; the implementation of the investment management program of each New Fund; the management of the day-to-day investment and reinvestment of the assets of each New Fund; determining daily baskets of deposit securities and cash components; executing portfolio security trades for purchases and redemptions of New Fund shares conducted on a cash-in-lieu basis; the responsibility for daily monitoring of tracking error and quarterly reporting to the Board; the review of brokerage matters; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they relate to the New Funds.

The Board reviewed the Adviser’s experience, resources and strengths in managing other pooled investment vehicles, including the Adviser’s personnel. Based on its consideration and review of the foregoing information, the Board determined that each New Fund was likely to benefit from the nature, quality and extent of these services, as well as the Adviser’s ability to render such services based on their experience, personnel, operations and resources.

 

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Janus Small/Mid Cap Growth Alpha ETF

Board Considerations Regarding Approval of Investment Advisory Agreements (unaudited)

 

Comparison of services to be rendered and fees to be paid to those under other investment advisory contracts, and the cost of the services to be provided and profits to be realized by the Advisers from the relationship with the New Funds’; “fall-out” benefits.

The Board then compared both the services to be rendered and the proposed fees to be paid under other contracts of the Adviser, and under contracts of other investment advisers with respect to similar ETFs. In particular, the Board compared each New Fund’s proposed advisory fee and projected expense ratio to other investment companies considered to be in that New Fund’s peer group. With regard to each New Fund, the Board noted the following:

The Board noted that the Adviser was recommending a unitary fee that was lower than each New Fund’s respective peer group median total expense ratio.

The Board also discussed the anticipated costs and projected profitability of the Adviser in connection with its serving as investment adviser to each New Fund, including operational costs. In addition, the Board discussed the entrepreneurial risk undertaken by the Adviser in creating the Trust. After comparing each New Fund’s proposed fees with those of other funds in the New Fund’s peer group, and in light of the nature, extent and quality of services proposed to be provided by the Adviser and the costs expected to be incurred by the Adviser in rendering those services, the Board concluded that the level of fees proposed to be paid to the Adviser with respect to the New Funds were fair and reasonable.

The Board also considered that the Adviser may experience reputational “fall-out” benefits based on the success of the New Funds, but that such benefits are not easily quantifiable.

The extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale.

The Board next discussed potential economies of scale. Since the Trust is newly formed, the Trust and the New Funds had not commenced operations, and the eventual aggregate amount of assets was uncertain, the Adviser was not able to provide the Board New Fund specific information concerning the extent to which economies of scale would be realized as each New Fund grows and whether fee levels would reflect such economies of scale, if any. The Board recognized the uncertainty in launching a new investment product and estimating future asset levels.

Investment performance of the Funds and the Adviser.

Because each New Fund is newly formed and had not commenced operations, the Board did not consider the investment performance of the New Fund or the Adviser. The Board noted that it had received performance information of comparable operational New Funds tracking similar underlying indices.

Conclusion.

No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, the Board concluded that the proposed advisory fee rate and projected total expense ratio are reasonable in relation to the services to be provided by the Adviser to each New Fund, as well as the costs to be incurred and benefits to be gained by the Adviser in providing such services. The Board also found the proposed advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar actual or anticipated size. As a result, the Board concluded that the initial approval of the Investment Management Agreement was in the best interests of each New Fund.

After full consideration of the above factors, as well as other factors, the Trustees, including all of the independent Trustees voting separately, determined to approve the investment advisory agreement for each New Fund.

 

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Please consider the charges, risks, expenses, and investment objectives carefully before investing. For a prospectus containing this and other information, please call 877.33JANUS (52687) or download the file from janus.com/ETFs. Read it carefully before you invest or send money.

C-0516-1984

JNS171

125-24-93062 04-16

Table of Contents

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 the 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.

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(b) There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a)

        (1 )      

Not applicable because the Registrant has posted its Code of Ethics (as defined in Item 2(b) of Form N-CSR) on its website pursuant to paragraph (f)(2) of Item 2 of Form N-CSR.

       (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.

       (3 )      

Not applicable to this Registrant.

(b)        A certification for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached as Ex99.906CERT.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

JANUS DETROIT STREET TRUST

 

By:

   

/s/ Bruce Koepfgen

   
  

Bruce Koepfgen

   
  

President and Chief Executive Officer of Janus Detroit Street Trust (Principal Executive Officer)

Date:

   

June 29, 2016

   

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:

   

/s/ Bruce Koepfgen

   
  

Bruce Koepfgen

   
  

President and Chief Executive Officer of Janus Detroit Street Trust (Principal Executive Officer)

Date:

   

June 29, 2016

   

By:

   

/s/ Jesper Nergaard

   
  

Jesper Nergaard

   
  

Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Janus Detroit Street Trust (Principal Accounting Officer and Principal Financial Officer)

Date:

   

June 29, 2016