N-Q 1 jas0311.txt JAS 3-31-11 NQ OMB APPROVAL OMB Number: 3235-0578 Expires: April 30, 2013 Estimated average burden hours per response. . . . . . 5.6 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-7736 Janus Aspen Series (Exact name of registrant as specified in charter) 151 Detroit Street, Denver, Colorado 80206 (Address of principal executive offices) (Zip code) Stephanie Grauerholz-Lofton, 151 Detroit Street, Denver, Colorado 80206 (Name and address of agent for service) Registrant's telephone number, including area code: 303-333-3863 Date of fiscal year end: 12/31 Date of reporting period: 3/31/11 Item 1. Schedule of Investments. -------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio Schedule of Investments (unaudited)
Shares or Principal Amount Value -------------------------------------------------------------------------------------------------------------------- Asset-Backed/Commercial Mortgage-Backed Securities -- 0.8% $ 1,465,000 Bear Stearns Commercial Mortgage Securities 5.5370%, 10/12/41 $ 1,573,246 1,284,000 Commercial Mortgage Pass Through Certificates 5.8148%, 12/10/49*** 1,393,202 1,390,917 DBUBS Mortgage Trust 3.7420%, 6/1/17 (144A) 1,409,153 1,333,000 GS Mortgage Securities Corp. II 5.5600%, 11/10/39 1,433,697 890,000 JPMorgan Chase Commercial Mortgage Securities Corp. 5.6330%, 12/5/27 (144A) 959,624 1,514,000 JPMorgan Chase Commercial Mortgage Securities Corp. 4.3110%, 8/5/32 (144A) 1,453,200 883,000 JPMorgan Chase Commercial Mortgage Securities Corp. 5.8633%, 4/15/45*** 970,265 1,482,000 JPMorgan Chase Commercial Mortgage Securities Corp. 4.7171%, 2/15/46 (144A) 1,487,195 1,315,000 Morgan Stanley Capital I 3.8840%, 2/15/16 (144A) 1,337,211 840,000 Morgan Stanley Capital I 4.7530%, 3/10/44 845,916 1,000,000 Oxbow Resources LLC 4.9690%, 5/1/36 1,005,000 -------------------------------------------------------------------------------------------------------------------- Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $13,882,386) 13,867,709 -------------------------------------------------------------------------------------------------------------------- Bank Loans -- 0.8% Aerospace and Defense - Equipment -- 0.2% 3,215,000 TransDigm Group, Inc. 4.0000%, 2/14/17*** 3,235,094 Automotive - Cars and Light Trucks -- 0.1% 1,136,963 Ford Motor Co. 3.0100%, 12/15/13*** 1,136,031 Data Processing and Management -- 0% 478,800 Fidelity National Information 5.2500%, 7/18/16 481,591 Food - Canned -- 0.2% 3,355,000 Del Monte Foods Co. 4.5000%, 3/8/18*** 3,360,603 Retail - Apparel and Shoe -- 0.1% 2,616,093 Phillips-Van Heusen Corp. 3.5000%, 5/6/16*** 2,637,885 Retail - Restaurants -- 0.2% 2,724,000 DineEquity, Inc. 4.2500%, 10/19/17*** 2,743,286 Telecommunication Equipment -- 0% 819,000 CommScope, Inc. 5.0000%, 1/14/18*** 824,119 -------------------------------------------------------------------------------------------------------------------- Total Bank Loans (cost $14,301,193) 14,418,609 -------------------------------------------------------------------------------------------------------------------- Common Stock -- 62.0% Aerospace and Defense -- 1.1% 265,905 Boeing Co. 19,658,357 Agricultural Chemicals -- 1.0% 269,724 Syngenta A.G. (ADR)** 17,577,913 Airlines -- 0.5% 857,320 Delta Air Lines, Inc.* 8,401,736 Apparel Manufacturers -- 1.4% 151,330 Coach, Inc. 7,875,213 134,010 Polo Ralph Lauren Corp. 16,570,337 24,445,550 Athletic Footwear -- 1.3% 300,749 NIKE, Inc. - Class B 22,766,699 Automotive - Cars and Light Trucks -- 1.7% 202,935 Daimler A.G. 14,365,769 1,014,390 Ford Motor Co.* 15,124,555 29,490,324 Broadcast Services and Programming -- 0.4% 131,685 Scripps Networks Interactive, Inc. - Class A 6,596,102 Cable Television -- 1.0% 227,138 DIRECTV - Class A* 10,630,058 102,550 Time Warner Cable, Inc. - Class A 7,315,917 17,945,975 Casino Hotels -- 0.5% 191,350 Las Vegas Sands Corp.* 8,078,797 Cellular Telecommunications -- 0.5% 272,305 Vodafone Group PLC** 7,828,769 Chemicals - Diversified -- 2.1% 526,025 E.I. du Pont de Nemours & Co. 28,915,594 203,050 LyondellBasell Industries N.V.* 8,030,628 36,946,222 Commercial Banks -- 3.1% 463,185 CIT Group, Inc.* 19,708,522 202,270 ICICI Bank, Ltd. (ADR) 10,079,114 457,450 Itau Unibanco Holding S.A. (ADR) 11,001,673 455,342 Standard Chartered PLC** 11,810,086 52,599,395 Commercial Services - Finance -- 1.2% 45,685 MasterCard, Inc. - Class A 11,499,828 471,811 Western Union Co. 9,799,515 21,299,343 Computer Services -- 1.1% 117,427 International Business Machines Corp. 19,148,821 Computers -- 1.7% 59,611 Apple, Inc.* 20,771,453 166,165 Research In Motion, Ltd. (U.S. Shares)* 9,399,954 30,171,407 Computers - Integrated Systems -- 0.6% 203,335 Terdata Corp.* 10,309,084 Cosmetics and Toiletries -- 1.1% 182,514 Colgate-Palmolive Co. 14,739,830 50,355 Estee Lauder Cos., Inc. - Class A 4,852,208 19,592,038 Diversified Banking Institutions -- 3.5% 3,248,760 Citigroup, Inc. 14,359,519 426,005 Credit Suisse Group A.G. (ADR)** 18,139,293 996,061 Morgan Stanley 27,212,387 59,711,199 E-Commerce/Services -- 1.9% 683,754 eBay, Inc.* 21,223,724 50,880 Netflix, Inc.* 12,075,351 33,299,075 Electric Products - Miscellaneous -- 0.6% 173,157 Emerson Electric Co. 10,117,563 Electronic Components - Semiconductors -- 0.9% 114,138 Broadcom Corp. - Class A 4,494,754 173,755 Microchip Technology, Inc. 6,604,428 404,150 ON Semiconductor Corp.* 3,988,960 15,088,142 Electronic Connectors -- 0.6% 202,093 Amphenol Corp. - Class A 10,991,838 Electronic Forms -- 0.7% 342,880 Adobe Systems, Inc.* 11,369,901 Enterprise Software/Services -- 2.1% 1,085,025 Oracle Corp. 36,207,284 Finance - Other Services -- 1.3% 642,827 NYSE Euronext 22,608,226 Food - Miscellaneous/Diversified -- 0.6% 193,679 Nestle S.A.** 11,105,641 Hotels and Motels -- 0.8% 405,940 Marriott International, Inc. - Class A 14,443,345 Investment Management and Advisory Services -- 1.1% 1,095,140 Blackstone Group L.P. 19,581,103 Life and Health Insurance -- 0.3% 89,470 AFLAC, Inc. 4,722,227 Medical - Biomedical and Genetic -- 1.8% 200,728 Celgene Corp.* 11,547,882 449,635 Gilead Sciences, Inc.* 19,082,509 30,630,391 Medical - Drugs -- 3.0% 1,006,379 Bristol-Myers Squibb Co. 26,598,597 154,530 Endo Pharmaceuticals Holdings, Inc.* 5,896,865 507,620 Pfizer, Inc. 10,309,762 101,325 Shire PLC (ADR)** 8,825,407 51,630,631 Medical - Generic Drugs -- 0.7% 509,820 Mylan, Inc.* 11,557,619 Medical - HMO -- 0.8% 203,050 Humana, Inc.* 14,201,317 Metal - Copper -- 0.8% 237,133 Freeport-McMoRan Copper & Gold, Inc. - Class B 13,172,738 Metal Processors and Fabricators -- 0.5% 63,105 Precision Castparts Corp. 9,287,794 Non-Hazardous Waste Disposal -- 0.5% 213,365 Waste Management, Inc. 7,967,049 Oil Companies - Exploration and Production -- 2.4% 406,055 Canadian Natural Resources, Ltd. 20,071,298 205,528 Occidental Petroleum Corp. 21,475,621 41,546,919 Oil Companies - Integrated -- 3.4% 127,595 Chevron Corp. 13,707,531 334,185 Hess Corp. 28,475,904 453,817 Petroleo Brasileiro S.A. (U.S. Shares) 16,128,656 58,312,091 Pharmacy Services -- 1.2% 359,310 Express Scripts, Inc. - Class A* 19,981,229 Pipelines -- 0.6% 255,460 Enterprise Products Partners L.P. 11,000,108 Retail - Building Products -- 0.8% 349,352 Home Depot, Inc. 12,946,985 Retail - Regional Department Stores -- 0.7% 510,198 Macy's, Inc. 12,377,403 Super-Regional Banks -- 0.5% 317,820 U.S. Bancorp. 8,399,983 Telecommunication Equipment - Fiber Optics -- 0.6% 476,733 Corning, Inc. 9,835,002 Telephone - Integrated -- 0.3% 672,440 Qwest Communications International, Inc. 4,592,765 Television -- 1.5% 1,023,731 CBS Corp. - Class B 25,634,224 Tobacco -- 3.5% 479,435 Altria Group, Inc. 12,479,693 718,985 Philip Morris International, Inc.** 47,186,986 59,666,679 Toys -- 0.9% 646,835 Mattel, Inc. 16,125,597 Transportation - Railroad -- 2.4% 139,827 Canadian National Railway Co. (U.S. Shares) 10,524,778 312,173 Union Pacific Corp. 30,695,971 41,220,749 Transportation - Services -- 0.4% 150,950 Expeditors International of Washington, Inc. 7,568,633 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $830,597,266) 1,069,757,982 -------------------------------------------------------------------------------------------------------------------- Corporate Bonds -- 30.8% Advertising Services -- 0.1% $ 439,000 WPP Finance UK 5.8750%, 6/15/14** 482,624 1,778,000 WPP Finance UK 8.0000%, 9/15/14** 2,072,463 2,555,087 Agricultural Chemicals -- 0.5% 4,050,000 CF Industries, Inc. 6.8750%, 5/1/18 4,546,125 1,525,000 CF Industries, Inc. 7.1250%, 5/1/20 1,730,875 1,214,000 Incitec Pivot, Ltd. 4.0000%, 12/7/15 (144A) 1,214,920 1,617,000 Mosaic Co. 7.6250%, 12/1/16 (144A) 1,746,360 9,238,280 Agricultural Operations -- 0.1% 893,000 Archer-Daniels Midland 4.4790%, 3/1/21 904,375 837,000 Archer-Daniels Midland 5.7650%, 3/1/41 856,980 1,761,355 Apparel Manufacturers -- 0.1% 1,790,000 Hanesbrands, Inc. 3.8313%, 12/15/14*** 1,781,050 Automotive - Cars and Light Trucks -- 0.2% 3,111,000 Daimler Finance North America LLC 6.5000%, 11/15/13 3,474,281 Beverages - Non-Alcoholic -- 0.6% 5,887,000 Coca-Cola Co. 0.7500%, 11/15/13 5,802,009 4,002,000 Coca-Cola Co. 1.5000%, 11/15/15 3,830,382 961,000 PepsiCo, Inc. 3.7500%, 3/1/14 1,021,999 10,654,390 Building - Residential and Commercial -- 0.2% 1,073,000 D.R. Horton, Inc. 7.8750%, 8/15/11 1,083,730 1,550,000 MDC Holdings, Inc. 5.3750%, 12/15/14 1,632,569 2,716,299 Building Products - Cement and Aggregate -- 0.6% 392,000 CRH America, Inc. 5.6250%, 9/30/11 400,729 864,000 CRH America, Inc. 4.1250%, 1/15/16 864,841 1,279,000 CRH America, Inc. 8.1250%, 7/15/18 1,505,313 3,173,000 CRH America, Inc. 5.7500%, 1/15/21 3,255,929 2,778,000 Hanson, Ltd. 6.1250%, 8/15/16** 2,889,120 1,369,000 Holcim U.S. Finance (U.S. Shares) 6.0000%, 12/30/19 (144A) 1,434,800 10,350,732 Cable Television -- 0.1% 1,834,000 Comcast Corp. 5.1500%, 3/1/20 1,909,122 Chemicals - Diversified -- 0.6% 2,374,000 Dow Chemical Co. 4.2500%, 11/15/20 2,267,248 3,446,000 LBI Escrow Corp. 8.0000%, 11/1/17 (144A) 3,799,215 3,107,000 Lyondell Chemical Co. 11.0000%, 5/1/18 3,487,608 9,554,071 Chemicals - Specialty -- 0.2% 2,432,000 Ashland, Inc. 9.1250%, 6/1/17 2,790,720 Coatings and Paint Products -- 0.4% 3,216,000 RPM International, Inc. 6.1250%, 10/15/19 3,373,603 2,574,000 Sherwin-Williams Co. 3.1250%, 12/15/14 2,684,623 6,058,226 Commercial Banks -- 2.5% 5,330,000 American Express Bank FSB 5.5000%, 4/16/13 5,716,633 6,741,000 Bank of Montreal 2.6250%, 1/25/16 (144A) 6,708,879 1,772,494 CIT Group, Inc. 7.0000%, 5/1/13 1,792,081 3,010,000 CIT Group, Inc. 5.2500%, 4/1/14 (144A) 3,028,873 3,278,000 CIT Group, Inc. 7.0000%, 5/1/14 3,339,462 2,471,000 CIT Group, Inc. 6.6250%, 4/1/18 (144A) 2,507,123 2,308,000 Credit Suisse New York 5.0000%, 5/15/13** 2,464,009 1,238,000 Discover Bank / Greenwood DE 7.0000%, 4/15/20 1,362,050 3,019,000 HSBC USA, Inc. 5.0000%, 9/27/20 2,964,326 3,973,000 Royal Bank of Scotland PLC 3.9500%, 9/21/15** 3,976,008 2,386,000 Royal Bank of Scotland PLC 4.3750%, 3/16/16** 2,401,142 3,048,000 SVB Financial Group 5.3750%, 9/15/20 2,998,113 2,832,000 Zions Bancorp. 7.7500%, 9/23/14 3,075,597 42,334,296 Commercial Services - Finance -- 0.4% 6,898,000 Verisk Analytics, Inc. 5.8000%, 5/1/21 6,929,655 Computer Services -- 0.1% 1,526,000 Affiliated Computer Services, Inc. 5.2000%, 6/1/15 1,645,597 Computers - Memory Devices -- 0.4% 3,069,000 Seagate Technology 6.3750%, 10/1/11 3,138,052 2,789,000 Seagate Technology 10.0000%, 5/1/14 (144A) 3,249,185 6,387,237 Containers - Metal and Glass -- 0.1% 1,614,000 Ball Corp. 5.7500%, 5/15/21 1,581,720 Data Processing and Management -- 0.1% 1,983,000 Fiserv, Inc. 3.1250%, 10/1/15 1,973,539 Diversified Banking Institutions -- 2.9% 3,280,000 Bank of America Corp. 3.6250%, 3/17/16 3,233,811 4,676,000 Bank of America Corp. 5.6250%, 7/1/20 4,800,737 1,762,000 Citigroup, Inc. 5.6250%, 8/27/12 1,852,227 836,000 Citigroup, Inc. 5.3000%, 10/17/12 882,169 3,154,000 Citigroup, Inc. 5.0000%, 9/15/14 3,293,416 1,444,000 Citigroup, Inc. 4.7500%, 5/19/15 1,513,607 5,631,000 Citigroup, Inc. 5.3750%, 8/9/20 5,796,850 742,000 GMAC, Inc. 6.8750%, 9/15/11 755,913 671,000 Goldman Sachs Group, Inc. 3.7000%, 8/1/15 675,951 2,078,000 Goldman Sachs Group, Inc. 3.6250%, 2/7/16 2,058,365 4,897,000 Goldman Sachs Group, Inc. 5.3750%, 3/15/20 4,972,095 2,440,000 JPMorgan Chase & Co. 6.0000%, 1/15/18 2,675,421 1,432,000 JPMorgan Chase & Co. 4.4000%, 7/22/20 1,383,817 2,340,000 JPMorgan Chase & Co. 4.2500%, 10/15/20 2,236,366 868,000 Morgan Stanley 6.7500%, 4/15/11 869,438 853,000 Morgan Stanley 5.2500%, 11/2/12 902,951 1,741,000 Morgan Stanley 4.0000%, 7/24/15 1,769,343 1,790,000 Morgan Stanley 3.4500%, 11/2/15 1,759,547 3,835,000 Morgan Stanley 5.6250%, 9/23/19 3,916,820 1,432,000 Morgan Stanley 5.5000%, 7/24/20 1,430,993 3,263,000 Morgan Stanley 5.7500%, 1/25/21 3,293,333 50,073,170 Diversified Financial Services -- 1.7% 3,895,000 American Express Travel Related Services Co., Inc. 5.2500%, 11/21/11 (144A) 4,003,772 1,115,000 General Electric Capital Corp. 4.8000%, 5/1/13 1,184,700 1,602,000 General Electric Capital Corp. 5.9000%, 5/13/14 1,768,175 7,363,000 General Electric Capital Corp. 6.0000%, 8/7/19 8,038,673 4,494,000 General Electric Capital Corp. 5.5000%, 1/8/20 4,754,733 2,762,000 General Electric Capital Corp. 4.6250%, 1/7/21 2,720,078 5,119,000 General Electric Capital Corp. 5.3000%, 2/11/21 5,199,210 866,000 Hyundai Capital Services, Inc. 4.3750%, 7/27/16 (144A) 870,601 28,539,942 Diversified Minerals -- 0.4% 1,172,000 Teck Resources, Ltd. 7.0000%, 9/15/12 1,252,137 1,035,000 Teck Resources, Ltd. 9.7500%, 5/15/14 1,257,479 2,477,000 Teck Resources, Ltd. 5.3750%, 10/1/15 2,686,473 1,106,000 Teck Resources, Ltd. 10.2500%, 5/15/16 1,329,965 6,526,054 Diversified Operations -- 0.3% 5,072,000 Tyco Electronics Group S.A. 6.0000%, 10/1/12 5,406,417 545,000 Tyco International Finance S.A. 4.1250%, 10/15/14 578,686 5,985,103 Diversified Operations - Commercial Services -- 0.1% 1,686,000 ARAMARK Corp. 8.5000%, 2/1/15 1,757,655 Electric - Integrated -- 0.8% 1,221,000 CMS Energy Corp. 8.5000%, 4/15/11 1,223,115 1,564,000 CMS Energy Corp. 1.2531%, 1/15/13*** 1,544,450 2,547,000 CMS Energy Corp. 4.2500%, 9/30/15 2,554,106 1,925,000 CMS Energy Corp. 5.0500%, 2/15/18 1,917,054 1,583,000 Public Service Co. of Colorado 3.2000%, 11/15/20 1,471,436 2,226,000 Virginia Electric and Power Co. 5.1000%, 11/30/12 2,367,424 2,852,000 Xcel Energy, Inc. 4.7000%, 5/15/20 2,936,260 14,013,845 Electronic Components - Semiconductors -- 0.6% 3,278,000 National Semiconductor Corp. 6.1500%, 6/15/12 3,443,722 4,342,000 National Semiconductor Corp. 3.9500%, 4/15/15 4,422,952 3,004,000 National Semiconductor Corp. 6.6000%, 6/15/17 3,305,584 11,172,258 Electronic Connectors -- 0.3% 4,633,000 Amphenol Corp. 4.7500%, 11/15/14 4,971,001 Electronic Measuring Instruments -- 0.1% 980,000 Agilent Technologies, Inc. 2.5000%, 7/15/13 988,732 Electronics - Military -- 0.7% 7,921,000 L-3 Communications Corp. 6.3750%, 10/15/15 8,158,630 892,000 L-3 Communications Corp. 5.2000%, 10/15/19 930,412 2,237,000 L-3 Communications Corp. 4.7500%, 7/15/20 2,227,887 1,229,000 L-3 Communications Corp. 4.9500%, 2/15/21 1,236,171 12,553,100 Enterprise Software/Services -- 0.2% 2,410,000 BMC Software, Inc. 7.2500%, 6/1/18 2,741,876 489,000 CA, Inc. 5.3750%, 12/1/19 503,801 3,245,677 Finance - Auto Loans -- 0.4% 1,559,000 Ford Motor Credit Co. LLC 7.2500%, 10/25/11 1,604,336 1,682,000 Ford Motor Credit Co. LLC 7.5000%, 8/1/12 1,793,459 1,363,000 Ford Motor Credit Co. LLC 8.0000%, 6/1/14 1,515,900 2,123,000 Ford Motor Credit Co. LLC 6.6250%, 8/15/17 2,265,774 398,000 Hyundai Capital America 3.7500%, 4/6/16 (144A) 392,092 7,571,561 Finance - Consumer Loans -- 0.2% 3,261,000 SLM Corp. 6.2500%, 1/25/16 3,399,593 Finance - Credit Card -- 0.1% 2,481,000 American Express Co. 6.8000%, 9/1/66*** 2,530,620 Finance - Investment Bankers/Brokers -- 0.8% 1,613,000 Jefferies Group, Inc. 3.8750%, 11/9/15 1,609,519 2,845,000 Jefferies Group, Inc. 8.5000%, 7/15/19 3,356,244 2,230,000 Lazard Group LLC 7.1250%, 5/15/15 2,449,856 162,000 Lazard Group LLC 6.8500%, 6/15/17 172,452 1,207,000 Schwab Capital Trust I 7.5000%, 11/15/37*** 1,246,734 2,498,000 TD Ameritrade Holding Corp. 4.1500%, 12/1/14 2,600,446 1,418,000 TD Ameritrade Holding Corp. 5.6000%, 12/1/19 1,500,553 12,935,804 Food - Canned -- 0% 358,000 Blue Merger Sub, Inc. 7.6250%, 2/15/19 (144A) 362,923 Food - Meat Products -- 0.5% 88,000 Smithfield Foods, Inc. 7.7500%, 5/15/13 94,600 7,698,000 Tyson Foods, Inc. 6.8500%, 4/1/16 8,602,515 8,697,115 Food - Miscellaneous/Diversified -- 0.6% 2,457,000 Corn Products International, Inc. 3.2000%, 11/1/15 2,452,794 1,994,000 Corn Products International, Inc. 6.6250%, 4/15/37 2,084,206 488,000 Kellogg Co. 4.2500%, 3/6/13 514,590 827,000 Kraft Foods, Inc. 2.6250%, 5/8/13 846,389 2,041,000 Kraft Foods, Inc. 5.3750%, 2/10/20 2,154,778 2,634,000 Kraft Foods, Inc. 6.5000%, 2/9/40 2,813,338 10,866,095 Food - Retail -- 0.1% 2,180,000 Delhaize Group 5.8750%, 2/1/14 2,380,124 Gold Mining -- 0.1% 1,240,000 Gold Fields Orogen Holding BVI, Ltd. 4.8750%, 10/7/20 (144A) 1,189,951 Hotels and Motels -- 0.1% 1,232,000 Hyatt Hotels Corp. 5.7500%, 8/15/15 (144A) 1,275,520 527,000 Starwood Hotels & Resorts Worldwide, Inc. 6.7500%, 5/15/18 572,454 1,847,974 Investment Management and Advisory Services -- 0.5% 2,316,000 Ameriprise Financial, Inc. 7.3000%, 6/28/19 2,766,564 925,000 Ameriprise Financial, Inc. 5.3000%, 3/15/20 980,485 3,303,000 Ameriprise Financial, Inc. 7.5180%, 6/1/66*** 3,468,150 1,875,000 FMR LLC 6.4500%, 11/15/39 (144A) 1,845,971 9,061,170 Life and Health Insurance -- 0% 546,000 Prudential Financial, Inc. 4.7500%, 6/13/15 578,860 Medical - Biomedical and Genetic -- 0.3% 110,000 Bio-Rad Laboratories, Inc. 8.0000%, 9/15/16 121,825 1,036,000 Genzyme Corp. 3.6250%, 6/15/15 1,076,238 1,293,000 Genzyme Corp. 5.0000%, 6/15/20 1,373,172 2,474,000 Gilead Sciences, Inc. 4.5000%, 4/1/21 2,444,597 5,015,832 Medical - Drugs -- 0.1% 1,237,000 Sanofi-Aventis S.A. 2.6250%, 3/29/16 1,226,367 1,237,000 Sanofi-Aventis S.A. 4.0000%, 3/29/21 1,216,589 2,442,956 Medical - HMO -- 0% 410,000 Health Care Service Corp. 4.7000%, 1/15/21 (144A) 411,563 Medical - Hospitals -- 0.2% 3,316,000 HCA, Inc. 9.2500%, 11/15/16 3,568,845 Medical Instruments -- 0.1% 822,000 Boston Scientific Corp. 4.5000%, 1/15/15 847,799 1,643,000 Boston Scientific Corp. 6.0000%, 1/15/20 1,721,564 2,569,363 Medical Products -- 0.1% 2,010,000 CareFusion Corp. 4.1250%, 8/1/12 2,076,276 Money Center Banks -- 0.1% 1,218,000 Lloyds TSB Bank PLC 4.8750%, 1/21/16** 1,255,909 974,000 Lloyds TSB Bank PLC 6.3750%, 1/21/21** 1,015,002 2,270,911 Multi-Line Insurance -- 0.8% 2,055,000 American International Group, Inc. 5.4500%, 5/18/17 2,109,538 6,601,000 American International Group, Inc. 6.4000%, 12/15/20 7,045,208 2,004,000 MetLife, Inc. 2.3750%, 2/6/14 2,006,711 1,051,000 MetLife, Inc. 6.7500%, 6/1/16 1,214,897 1,201,000 MetLife, Inc. 7.7170%, 2/15/19 1,459,905 13,836,259 Multimedia -- 0.2% 2,835,000 NBC Universal, Inc. 2.8750%, 4/1/16 (144A) 2,769,532 1,600,000 NBC Universal, Inc. 5.9500%, 4/1/41 (144A) 1,533,227 4,302,759 Non-Hazardous Waste Disposal -- 0.2% 2,861,000 Allied Waste North America, Inc. 7.1250%, 5/15/16 2,986,169 Oil and Gas Drilling -- 0.6% 1,222,000 Ensco PLC 3.2500%, 3/15/16** 1,217,506 2,038,000 Ensco PLC 4.7000%, 3/15/21** 2,022,931 6,736,000 Nabors Industries, Inc. 5.0000%, 9/15/20 6,690,781 496,000 Noble Holding International, Ltd. 3.4500%, 8/1/15 506,365 10,437,583 Oil Companies - Exploration and Production -- 0.2% 4,000,000 Forest Oil Corp. 8.0000%, 12/15/11 4,180,000 Oil Companies - Integrated -- 0.5% 3,462,000 BP Capital Markets PLC 3.1250%, 10/1/15** 3,481,356 1,577,000 BP Capital Markets PLC 4.5000%, 10/1/20** 1,564,947 1,685,000 Petrobras International Finance Co. 3.8750%, 1/27/16 1,696,264 1,713,000 Petrobras International Finance Co. 5.3750%, 1/27/21 1,718,170 377,000 Petrobras International Finance Co. 6.7500%, 1/27/41 388,388 8,849,125 Oil Refining and Marketing -- 0.3% 189,000 Frontier Oil Corp. 8.5000%, 9/15/16 205,065 1,909,000 Motiva Enterprises LLC 5.7500%, 1/15/20 (144A) 2,087,008 2,486,000 NuStar Logistics L.P. 4.8000%, 9/1/20 2,445,282 4,737,355 Paper and Related Products -- 0.2% 4,268,000 Georgia-Pacific LLC 5.4000%, 11/1/20 (144A) 4,214,535 Pipelines -- 0.9% 1,218,000 Buckeye Partners L.P. 4.8750%, 2/1/21 1,209,897 2,010,000 DCP Midstream Operating L.P. 3.2500%, 10/1/15 1,969,639 467,000 El Paso Pipeline Partners Operating Co. LLC 6.5000%, 4/1/20 513,529 687,000 Kinder Morgan Energy Partners L.P. 5.9500%, 2/15/18 756,467 3,770,000 Kinder Morgan Finance Co. ULC 5.7000%, 1/5/16 3,953,787 2,828,000 Plains All American Pipeline L.P. 3.9500%, 9/15/15 2,916,364 726,000 Plains All American Pipeline L.P. 8.7500%, 5/1/19 908,262 2,436,000 Plains All American Pipeline L.P. / PAA Finance Corp. 5.0000%, 2/1/21 2,443,242 924,000 Williams Partners L.P. 3.8000%, 2/15/15 956,506 15,627,693 Property and Casualty Insurance -- 0.1% 1,212,000 Fidelity National Financial, Inc. 6.6000%, 5/15/17 1,253,819 Publishing - Newspapers -- 0.1% 321,000 Gannett Co., Inc. 6.3750%, 9/1/15 (144A) 333,840 1,249,000 Gannett Co., Inc. 7.1250%, 9/1/18 (144A) 1,252,123 1,585,963 Publishing - Periodicals -- 0.2% 3,205,000 United Business Media, Ltd. 5.7500%, 11/3/20 (144A) 3,117,568 Real Estate Management/Services -- 0.2% 962,000 AMB Property L.P. 6.1250%, 12/1/16 1,052,788 1,002,000 AMB Property L.P. 4.0000%, 1/15/18 969,587 620,000 AMB Property L.P. 6.6250%, 12/1/19 684,673 1,435,000 CB Richard Ellis Services, Inc. 6.6250%, 10/15/20 1,478,050 4,185,098 Real Estate Operating/Development -- 0.1% 1,951,000 Post Apartment Homes L.P. 4.7500%, 10/15/17 1,918,972 Reinsurance -- 0.8% 4,674,000 Berkshire Hathaway Finance Corp. 4.0000%, 4/15/12 4,838,988 2,745,000 Berkshire Hathaway, Inc. 1.4000%, 2/10/12 2,768,033 2,745,000 Berkshire Hathaway, Inc. 2.1250%, 2/11/13 2,803,345 2,754,000 Berkshire Hathaway, Inc. 3.2000%, 2/11/15 2,834,863 13,245,229 REIT - Diversified -- 0.3% 1,246,000 Goodman Funding Pty, Ltd. 6.3750%, 11/12/20 (144A) 1,252,200 3,428,000 Goodman Funding Pty, Ltd. 6.3750%, 4/15/21 (144A) 3,420,637 4,672,837 REIT - Health Care -- 0.4% 416,000 HCP, Inc. 2.7000%, 2/1/14 417,246 427,000 HCP, Inc. 3.7500%, 2/1/16 429,158 416,000 HCP, Inc. 5.3750%, 2/1/21 420,111 1,596,000 Senior Housing Properties Trust 6.7500%, 4/15/20 1,689,406 792,000 Ventas Realty L.P. / Ventas Capital Corp. 6.5000%, 6/1/16 819,849 2,555,000 Ventas Realty L.P. / Ventas Capital Corp. 6.7500%, 4/1/17 2,708,865 6,484,635 REIT - Hotels -- 0.3% 1,228,000 Host Hotels & Resorts L.P. 7.1250%, 11/1/13 1,246,420 2,966,000 Host Hotels & Resorts L.P. 6.7500%, 6/1/16 3,058,687 4,305,107 REIT - Office Property -- 0.4% 937,000 Reckson Operating Partnership L.P. 6.0000%, 3/31/16 997,811 4,482,000 Reckson Operating Partnership L.P. 7.7500%, 3/15/20 5,033,779 6,031,590 REIT - Regional Malls -- 0.5% 2,962,000 Rouse Co. L.P. 6.7500%, 11/9/15 3,080,480 5,863,000 Rouse Co. L.P. / TRC Co-Issuer, Inc. 6.7500%, 5/1/13 (144A) 6,060,876 9,141,356 REIT - Shopping Centers -- 0.1% 1,230,000 Developers Diversified Realty Corp. 4.7500%, 4/15/18 1,197,293 Resorts and Theme Parks -- 0.1% 1,454,000 Vail Resorts, Inc. 6.7500%, 2/15/14 1,472,175 Retail - Apparel and Shoe -- 0.1% 823,000 Phillips-Van Heusen Corp. 7.3750%, 5/15/20 870,323 Retail - Computer Equipment -- 0% 291,000 GameStop Corp. 8.0000%, 10/1/12 297,184 Retail - Regional Department Stores -- 0.6% 1,519,000 Macy's Retail Holdings, Inc. 5.8750%, 1/15/13 1,615,836 3,165,000 Macy's Retail Holdings, Inc. 5.7500%, 7/15/14 3,386,550 3,080,000 Macy's Retail Holdings, Inc. 5.9000%, 12/1/16 3,311,000 1,439,000 Macy's Retail Holdings, Inc. 6.9000%, 4/1/29 1,456,988 9,770,374 Retail - Restaurants -- 0.2% 3,345,000 Brinker International 5.7500%, 6/1/14 3,521,241 Shipbuilding -- 0.1% 664,000 Huntington Ingalls Industries, Inc. 6.8750%, 3/15/18 (144A) 693,050 636,000 Huntington Ingalls Industries, Inc. 7.1250%, 3/15/21 (144A) 663,030 1,356,080 Steel - Producers -- 0% 377,000 ArcelorMittal 5.3750%, 6/1/13 400,944 Super-Regional Banks -- 0.5% 1,223,000 KeyCorp 5.1000%, 3/24/21 1,215,450 1,346,000 National City Corp. 6.8750%, 5/15/19 1,536,589 915,000 PNC Funding Corp. 3.6250%, 2/8/15 945,970 1,627,000 SunTrust Banks, Inc. 3.6000%, 4/15/16 1,617,297 3,319,000 Wells Fargo & Co. 4.6000%, 4/1/21 3,282,176 8,597,482 Telecommunication Services -- 0.1% 1,421,000 Virgin Media Secured Finance PLC 6.5000%, 1/15/18** 1,552,443 Telephone - Integrated -- 0.8% 880,000 Qwest Communications International, Inc. 7.5000%, 2/15/14 894,300 6,913,000 Qwest Communications International, Inc. 7.1250%, 4/1/18 (144A) 7,457,399 1,445,000 Sprint Capital Corp. 8.3750%, 3/15/12 1,524,475 1,624,000 Telefonica Emisiones SAU 3.9920%, 2/16/16 1,631,858 1,624,000 Telefonica Emisiones SAU 5.4620%, 2/16/21 1,644,641 13,152,673 Television -- 0.2% 2,540,000 CBS Corp. 8.2000%, 5/15/14 2,977,091 550,000 CBS Corp. 4.3000%, 2/15/21 519,875 3,496,966 Transportation - Railroad -- 0.3% 1,285,259 CSX Corp. 8.3750%, 10/15/14 1,490,193 2,506,000 Kansas City Southern de Mexico S.A. de C.V. 8.0000%, 2/1/18 2,731,540 1,078,000 Kansas City Southern de Mexico S.A. de C.V. 6.6250%, 12/15/20 (144A) 1,099,560 424,000 Kansas City Southern Railway 13.0000%, 12/15/13 505,620 5,826,913 Transportation - Services -- 0.5% 3,954,000 Asciano Finance, Ltd. 5.0000%, 4/7/18 (144A)# 3,932,570 3,197,000 Asciano Finance, Ltd. 4.6250%, 9/23/20 (144A) 3,027,888 855,000 Ryder System, Inc. 3.6000%, 3/1/16 863,804 7,824,262 Transportation - Truck -- 0.2% 3,019,000 JB Hunt Transport Services, Inc. 3.3750%, 9/15/15 2,992,508 -------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds (cost $513,089,462) 530,742,243 -------------------------------------------------------------------------------------------------------------------- Preferred Stock -- 0.2% Diversified Banking Institutions -- 0.1% 94,230 Citigroup Capital XIII, 7.8750% 2,581,902 Food - Miscellaneous/Diversified -- 0.1% 10 H.J. Heinz Finance Co., 8.0000% (144A) 1,075,000 -------------------------------------------------------------------------------------------------------------------- Total Preferred Stock (cost $3,483,603) 3,656,902 -------------------------------------------------------------------------------------------------------------------- U.S. Treasury Notes/Bonds -- 4.8% U.S. Treasury Notes/Bonds: $ 3,911,000 0.8750%, 1/31/12 3,930,402 4,770,000 1.3750%, 2/15/12 4,815,277 3,000,000 0.8750%, 2/29/12 3,015,690 6,835,000 0.6250%, 7/31/12 6,850,515 2,790,000 1.3750%, 9/15/12 2,824,113 710,000 1.3750%, 1/15/13 718,404 450,000 1.7500%, 4/15/13 458,509 2,850,000 1.1250%, 6/15/13 2,864,022 2,660,000 1.0000%, 7/15/13 2,664,150 3,231,000 0.7500%, 8/15/13 3,214,593 632,000 2.7500%, 10/31/13 659,403 4,316,000 1.7500%, 1/31/14 4,383,774 430,000 1.2500%, 2/15/14 430,269 5,562,000 1.8750%, 2/28/14 5,664,986 2,384,000 2.6250%, 7/31/14 2,476,380 2,250,000 2.3750%, 8/31/14 2,316,094 1,505,000 2.3750%, 9/30/14 1,548,386 630,000 2.1250%, 11/30/14 641,468 1,880,000 2.6250%, 12/31/14 1,946,387 10,045,000 2.2500%, 1/31/15 10,252,178 6,323,000 2.3750%, 2/28/15 6,477,155 3,295,034 0.5000%, 4/15/15**** 3,420,143 110,000 2.5000%, 4/30/15 112,999 1,330,000 2.1250%, 5/31/15 1,344,550 390,000 1.8750%, 6/30/15 389,787 136,000 1.7500%, 7/31/15 134,980 473,000 1.2500%, 9/30/15 457,443 355,000 1.2500%, 10/31/15 342,547 5,334,000 2.0000%, 1/31/16 5,295,243 1,189,000 2.1250%, 2/29/16 1,185,284 1,176,000 4.7500%, 2/15/41 1,222,305 -------------------------------------------------------------------------------------------------------------------- Total U.S. Treasury Notes/Bonds (cost $81,152,253) 82,057,436 -------------------------------------------------------------------------------------------------------------------- Money Market -- 0.6% 9,939,000 Janus Cash Liquidity Fund LLC, 0% (cost $9,939,000) 9,939,000 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $1,466,445,163) - 100% $1,724,439,881 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) % of Investment Country Value Securities --------------------------------------------------------------- Australia $ 12,848,215 0.7% Belgium 2,380,124 0.1% Brazil 27,130,329 1.6% Canada 57,184,750 3.3% Cayman Islands 10,696,424 0.6% France 2,442,956 0.1% Germany 14,365,769 0.8% India 10,079,114 0.6% Jersey 11,942,975 0.7% Luxembourg 7,820,847 0.5% Mexico 3,831,100 0.2% Netherlands 8,030,628 0.5% South Korea 870,601 0.1% Spain 3,276,499 0.2% Switzerland 49,286,856 2.9% United Kingdom 43,570,306 2.5% United States++ 1,457,492,437 84.5% Virgin Islands (British) 1,189,951 0.1% --------------------------------------------------------------- Total $ 1,724,439,881 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (83.9% excluding Cash Equivalents). Forward Currency Contracts, Open -------------------------------------------------------------------------------- Unrealized Counterparty/Currency Currency Currency Appreciation/ Sold and Settlement Date Units Sold Value U.S. $ (Depreciation) -------------------------------------------------------------------------------- Credit Suisse Securities (USA) LLC: British Pound 5/6/11 3,620,000 $ 5,804,140 $ 65,726 Swiss Franc 5/6/11 290,000 315,912 (3,287) -------------------------------------------------------------------------------- 6,120,052 62,439 -------------------------------------------------------------------------------- HSBC Securities (USA), Inc.: British Pound 5/12/11 3,800,000 6,092,117 79,387 Swiss Franc 5/12/11 10,300,000 11,220,933 162,169 -------------------------------------------------------------------------------- 17,313,050 241,556 -------------------------------------------------------------------------------- JPMorgan Chase & Co.: British Pound 4/28/11 1,000,000 1,603,541 25,667 -------------------------------------------------------------------------------- Total $25,036,643 $329,662 Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt PLC Public Limited Company REIT Real Estate Investment Trust ULC Unlimited Liability Corporation U.S. Shares Securities of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. *** Rate is subject to change. Rate shown reflects current rate. **** Security is a U.S. Treasury Inflation-Protected Security (TIPS) # Schedule of Restricted and Illiquid Securities (as of March 31, 2011)
Value as a % of Acquisition Date Acquisition Cost Value Total Investments -------------------------------------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio Asciano Finance, Ltd., 5.0000%, 4/7/18 3/31/2011 $ 3,932,570 $ 3,932,570 0.2% --------------------------------------------------------------------------------------------------------------
The Portfolio has registration rights for certain restricted securities held as of March 31, 2011. The issuer incurs all registration costs. 144A Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended March 31, 2011 is indicated in the table below: Value as a % of Portfolio Value Total Investments -------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio $ 84,678,174 4.9% -------------------------------------------------------------------------------- The following is a summary of inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information.
Level 2 Level 3 Other Significant Significant Level 1 Observable Unobservable Valuation Inputs Summary (as of March 31, 2011) Quoted - Prices Inputs(a) Inputs ------------------------------------------------------------------------------------------------------------------ Investments in Securities: ------------------------------------------------------------------------------------------------------------------ Janus Aspen Balanced Portfolio ------------------------------------------------------------------------------------------------------------------ Asset-Backed/Commercial Mortgage-Backed Securities $ -- $ 13,867,709 $ -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Bank Loans -- 14,418,609 -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Common Stock ------------------------------------------------------------------------------------------------------------------ Agricultural Chemicals -- 17,577,913 -- ------------------------------------------------------------------------------------------------------------------ Cellular Telecommunications -- 7,828,769 -- ------------------------------------------------------------------------------------------------------------------ Commercial Banks 31,518,608 21,080,787 -- ------------------------------------------------------------------------------------------------------------------ Diversified Banking Institutions 41,571,906 18,139,293 -- ------------------------------------------------------------------------------------------------------------------ Medical - Drugs 42,805,224 8,825,407 -- ------------------------------------------------------------------------------------------------------------------ Oil Companies - Integrated 42,183,435 16,128,656 -- ------------------------------------------------------------------------------------------------------------------ All Other 822,097,984 -- -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Corporate Bonds -- 530,742,243 -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Preferred Stock -- 3,656,902 -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ U.S. Treasury Notes/Bonds -- 82,057,436 -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Money Market -- 9,939,000 -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Total Investments in Securities $ 980,177,157 $ 744,262,724 $ -- ------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------ Other Financial Instruments(b): ------------------------------------------------------------------------------------------------------------------ Janus Aspen Balanced Portfolio $ -- $ 329,662 $ -- ------------------------------------------------------------------------------------------------------------------
(a) Includes fair value factors. (b) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio $ 108,245,567 Janus Aspen Enterprise Portfolio Schedule of Investments (unaudited)
Shares Value ---------------------------------------------------------------------------------------------------------------------------- Common Stock -- 97.7% Advertising Sales -- 0.9% 160,201 Lamar Advertising Co. - Class A* $ 5,917,825 Aerospace and Defense -- 0.9% 71,625 TransDigm Group, Inc.* 6,004,324 Agricultural Chemicals -- 2.3% 249,420 Potash Corporation of Saskatchewan, Inc. (U.S. Shares) 14,698,321 Airlines -- 1.1% 260,428 Ryanair Holdings PLC (ADR)*,** 7,239,898 Apparel Manufacturers -- 0.6% 29,529 Polo Ralph Lauren Corp. 3,651,261 Auction House - Art Dealer -- 2.4% 556,800 Ritchie Bros. Auctioneers, Inc. (U.S. Shares) 15,673,920 Commercial Services -- 0.7% 76,045 CoStar Group, Inc.* 4,766,501 Commercial Services - Finance -- 4.3% 196,760 Global Payments, Inc. 9,625,499 545,600 Verisk Analytics, Inc.* 17,873,856 27,499,355 Computer Aided Design -- 0.4% 48,765 ANSYS, Inc.* 2,642,575 Computer Services -- 3.0% 221,205 IHS, Inc. - Class A* 19,631,944 Computers -- 1.4% 25,133 Apple, Inc.* 8,757,594 Consulting Services -- 1.4% 220,039 Gartner, Inc.* 9,169,025 Containers - Metal and Glass -- 0.7% 120,582 Ball Corp. 4,322,865 Decision Support Software -- 2.4% 419,100 MSCI, Inc.* 15,431,262 Diagnostic Equipment -- 1.8% 176,467 Gen-Probe, Inc.* 11,708,585 Diagnostic Kits -- 0.6% 46,925 Idexx Laboratories, Inc.* 3,623,548 Distribution/Wholesale -- 4.5% 143,630 Fastenal Co. 9,311,533 3,127,860 Li & Fung, Ltd. 16,024,738 28,945 W.W. Grainger, Inc. 3,985,148 29,321,419 Educational Software -- 0.6% 103,085 Blackboard, Inc.* 3,735,800 Electric Products - Miscellaneous -- 1.0% 143,257 AMETEK, Inc. 6,284,685 Electronic Components - Miscellaneous -- 2.6% 638,200 Flextronics International, Ltd.* 4,767,354 351,875 TE Connectivity, Ltd. (U.S. Shares) 12,252,287 17,019,641 Electronic Components - Semiconductors -- 2.0% 1,316,106 ON Semiconductor Corp.* 12,989,966 Electronic Connectors -- 2.2% 266,630 Amphenol Corp. - Class A 14,502,006 Electronic Measuring Instruments -- 0.9% 114,879 Trimble Navigation, Ltd.* 5,805,985 Entertainment Software -- 0.7% 227,355 Electronic Arts, Inc.* 4,440,243 Fiduciary Banks -- 0.6% 76,733 Northern Trust Corp. 3,894,200 Finance - Investment Bankers/Brokers -- 0.8% 150,038 LPL Investment Holdings, Inc.* 5,372,861 Hazardous Waste Disposal -- 0.5% 38,980 Stericycle, Inc.* 3,456,357 Instruments - Controls -- 2.3% 36,895 Mettler-Toledo International, Inc.* 6,345,940 237,150 Sensata Technologies Holding N.V.*,** 8,236,219 14,582,159 Instruments - Scientific -- 3.0% 225,496 Thermo Fisher Scientific, Inc.* 12,526,303 81,430 Waters Corp.* 7,076,267 19,602,570 Insurance Brokers -- 0.8% 92,865 AON Corp. 4,918,130 Investment Management and Advisory Services -- 1.9% 150,559 Eaton Vance Corp. 4,854,022 116,556 T. Rowe Price Group, Inc. 7,741,650 12,595,672 Machinery - General Industrial -- 1.2% 91,115 Roper Industries, Inc. 7,877,803 Medical - Biomedical and Genetic -- 4.4% 231,480 Celgene Corp.*,** 13,317,044 132,762 Gilead Sciences, Inc.* 5,634,419 268,110 Incyte Corp., Ltd.* 4,249,544 104,975 Vertex Pharmaceuticals, Inc.* 5,031,452 28,232,459 Medical - Drugs -- 1.4% 178,807 Valeant Pharmaceuticals International, Inc. 8,906,377 Medical Information Systems -- 1.0% 146,990 athenahealth, Inc.* 6,633,659 Medical Instruments -- 3.3% 318,780 St. Jude Medical, Inc. 16,340,663 72,250 Techne Corp. 5,173,100 21,513,763 Medical Products -- 4.2% 154,890 Henry Schein, Inc.* 10,868,631 238,970 Varian Medical Systems, Inc.* 16,163,931 27,032,562 Metal Processors and Fabricators -- 1.2% 52,170 Precision Castparts Corp. 7,678,381 Networking Products -- 1.0% 147,680 Juniper Networks, Inc.* 6,214,374 Oil Companies - Exploration and Production -- 1.3% 173,600 Ultra Petroleum Corp. (U.S. Shares)* 8,549,800 Oil Field Machinery and Equipment -- 2.7% 321,355 Dresser-Rand Group, Inc.* 17,231,055 Pipelines -- 1.5% 145,625 Kinder Morgan Management LLC* 9,551,544 Printing - Commercial -- 2.4% 294,956 VistaPrint N.V. (U.S. Shares)*,** 15,308,216 Reinsurance -- 0.6% 43,405 Berkshire Hathaway, Inc. - Class B* 3,629,960 Retail - Automobile -- 1.8% 264,110 Copart, Inc.* 11,443,886 Retail - Bedding -- 0.6% 81,416 Bed Bath & Beyond, Inc.* 3,929,950 Retail - Office Supplies -- 0.6% 193,935 Staples, Inc. 3,766,218 Retail - Petroleum Products -- 1.1% 172,900 World Fuel Services Corp. 7,021,469 Retail - Regional Department Stores -- 0.7% 81,070 Kohl's Corp. 4,299,953 Semiconductor Components/Integrated Circuits -- 2.3% 1,103,750 Atmel Corp.* 15,044,112 Semiconductor Equipment -- 2.7% 114,810 ASML Holdings N.V. (U.S. Shares)** 5,109,045 260,007 KLA-Tencor Corp. 12,316,532 17,425,577 Telecommunication Equipment - Fiber Optics -- 0.7% 222,315 Corning, Inc. 4,586,358 Telecommunication Services -- 1.7% 392,514 Amdocs, Ltd. (U.S. Shares)* 11,324,029 Transactional Software -- 1.0% 125,625 Solera Holdings, Inc. 6,419,437 Transportation - Railroad -- 0.6% 47,745 Canadian National Railway Co. (U.S. Shares) 3,593,766 Transportation - Services -- 2.7% 145,855 C.H. Robinson Worldwide, Inc. 10,812,231 133,432 Expeditors International of Washington, Inc. 6,690,281 17,502,512 Transportation - Truck -- 1.0% 148,340 Landstar System, Inc. 6,776,171 Vitamins and Nutrition Products -- 0.8% 91,915 Mead Johnson Nutrition Co. - Class A 5,324,636 Wireless Equipment -- 3.9% 587,395 Crown Castle International Corp.* 24,993,657 ---------------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $381,575,863) 631,072,181 ---------------------------------------------------------------------------------------------------------------------------- Money Market -- 2.3% 14,971,271 Janus Cash Liquidity Fund LLC, 0% (cost $14,971,271) 14,971,271 ---------------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $396,547,134) - 100% $ 646,043,452 ----------------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) March 31, 2011 (unaudited) % of Investment Country Value Securities ---------------------------------------------------------------- Bermuda $ 16,024,738 2.5% Canada 51,422,184 8.0% Guernsey 11,324,029 1.8% Ireland 7,239,898 1.1% Netherlands 28,653,480 4.4% Singapore 4,767,354 0.7% Switzerland 12,252,287 1.9% United States++ 514,359,482 79.6% ---------------------------------------------------------------- Total $ 646,043,452 100.0% ---------------------------------------------------------------- ++ Includes Cash Equivalents (77.3% excluding Cash Equivalents). Forward Currency Contracts, Open Counterparty/Currency Unrealized Sold and Settlement Currency Currency Appreciation/ Date Units Sold Value U.S. $ (Depreciation) -------------------------------------------------------------------------------- Credit Suisse Securities (USA) LLC: Euro 5/6/11 2,840,000 $ 4,021,626 $ (94,928) -------------------------------------------------------------------------------- HSBC Securities (USA), Inc.: Euro 5/12/11 2,276,387 3,223,088 (2,194) -------------------------------------------------------------------------------- JP Morgan Chase & Co.: Euro 4/28/11 2,530,000 3,583,251 (141,135) -------------------------------------------------------------------------------- Total $ 10,827,965 $ (238,257) Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt PLC Public Limited Company U.S. Shares Shares of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information. Valuation Inputs Summary (as of March 31, 2011)
Level 2 - Other Level 3 - Level 1 - Significant Significant Quoted Prices Observable Inputs Unobservable Inputs -------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Enterprise Portfolio Common Stock Airlines $ - $ 7,239,898 $ - All Other 623,832,283 - - Money Market - 14,971,271 - Total Investments in Securities $623,832,283 $ 22,211,169 - -------------------------------------------------------------------------------------------- Other Financial Instruments(a): Janus Aspen Enterprise Portfolio $ - $ (238,257) $ - --------------------------------------------------------------------------------------------
(a) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Enterprise Portfolio $ 14,071,079 Janus Aspen Flexible Bond Portfolio Schedule of Investments (unaudited)
Shares or Principal Amount Value -------------------------------------------------------------------------------------------------------------------- Asset-Backed/Commercial Mortgage-Backed Securities -- 2.2% $1,010,000 Bear Stearns Commercial Mortgage Securities, 5.5370%, 10/12/41 $1,084,627 897,000 Commercial Mortgage Pass Through Certificates, 5.8148%, 12/10/49 *** 973,288 943,908 DBUBS Mortgage Trust, 3.7420%, 6/1/17 (144A) 956,283 919,000 GS Mortgage Securities Corp. II, 5.5600%, 11/10/39 988,423 584,000 JPMorgan Chase Commercial Mortgage Securities Corp., 5.6330%, 12/5/27 (144A) 629,686 JPMorgan Chase Commercial Mortgage Securities Corp., 4.3110%, 8/5/32 992,000 (144A) 952,163 JPMorgan Chase Commercial Mortgage Securities Corp., 5.8633%, 584,000 4/15/45*** 641,715 979,000 JPMorgan Chase Commercial Mortgage Securities Corp., 4.7171%, 2/15/46 (144A) 982,432 881,000 Morgan Stanley Capital I, 3.8840%, 2/15/16 (144A) 895,880 576,000 Morgan Stanley Capital I, 4.7530%, 3/10/44 580,057 1,000,000 Oxbow Resources LLC, 4.9690%, 5/1/36 1,005,000 -------------------------------------------------------------------------------------------------------------------- Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $9,697,848) 9,689,554 -------------------------------------------------------------------------------------------------------------------- Bank Loans -- 2.2% Aerospace and Defense - Equipment -- 0.5% 2,165,000 TransDigm Group, Inc., 4.0000%, 2/14/17 *** 2,178,531 Automotive - Cars and Light Trucks -- 0.2% 809,363 Ford Motor Co., 3.1000%, 12/16/13 *** 808,700 Data Processing and Management -- 0.1% 339,150 Fidelity National Information, 5.2500%, 7/18/16 *** 341,127 Food - Canned -- 0.5% 2,185,000 Del Monte Foods Co., 4.5000%, 3/8/18*** 2,188,649 Retail - Apparel and Shoe -- 0.4% 1,780,473 Phillips-Van Heusen Corp., 3.5000%, 5/6/16*** 1,795,304 Retail - Restaurants -- 0.4% 1,905,000 DineEquity, Inc., 4.2500%, 10/19/17*** 1,918,488 Telecommunication Equipment -- 0.1% 537,000 CommScope, Inc., 5.0000%, 1/3/18*** 540,356 -------------------------------------------------------------------------------------------------------------------- Total Bank Loans (cost $9,690,641) 9,771,155 -------------------------------------------------------------------------------------------------------------------- Corporate Bonds -- 72.4% Advertising Services -- 0.4% 195,000 WPP Finance UK, 5.8750%, 6/15/14 214,377 1,282,000 WPP Finance UK, 8.0000%, 9/15/14 1,494,319 1,708,696 Agricultural Chemicals -- 1.1% 2,752,000 CF Industries, Inc., 6.8750%, 5/1/18 3,089,120 973,000 CF Industries, Inc., 7.1250%, 5/1/20 1,104,355 866,000 Incitec Pivot, Ltd., 4.0000%, 12/7/15 (144A) 866,656 5,060,131 Agricultural Operations -- 0.3% 533,000 Archer-Daniels Midland, 4.4790%, 3/1/21 539,789 560,000 Archer-Daniels Midland, 5.7650%, 3/1/41 573,368 1,113,157 Airlines -- 0.1% 504,000 Southwest Airlines Co., 5.2500%, 10/1/14 538,266 Beverages - Wine and Spirits -- 0.3% 1,040,000 Constellation Brands, Inc., 7.2500%, 9/1/16 1,124,500 Building - Residential and Commercial -- 0.3% 458,000 D.R. Horton, Inc., 7.8750%, 8/15/11 462,580 657,000 MDC Holdings, Inc., 5.3750%, 12/15/14 691,998 1,154,578 Building Products - Cement and Aggregate -- 1.6% 165,000 CRH America, Inc., 5.6250%, 9/30/11 168,674 628,000 CRH America, Inc., 4.1250%, 1/15/16 628,612 929,000 CRH America, Inc., 8.1250%, 7/15/18 1,093,382 2,315,000 CRH America, Inc., 5.7500%, 1/15/21 2,375,505 1,579,000 Hanson, Ltd., 6.1250%, 8/15/16 1,642,160 990,000 Holcim U.S. Finance (U.S. Shares), 6.0000%, 12/30/19 (144A) 1,037,583 6,945,916 Cable Television -- 0.4% 1,873,000 Comcast Corp., 5.1500%, 3/1/20 1,949,720 Chemicals - Diversified -- 1.1% 2,461,000 LBI Escrow Corp., 8.0000%, 11/1/17 (144A) 2,713,252 1,953,000 Lyondell Chemical Co., 11.0000%, 5/1/18 2,192,243 4,905,495 Chemicals - Specialty -- 0.5% 1,775,000 Ashland, Inc., 9.1250%, 6/1/17 2,036,813 Coatings and Paint Products -- 0.3% 1,358,000 RPM International, Inc., 6.1250%, 10/15/19 1,424,550 Commercial Banks -- 5.6% 1,355,000 American Express Bank FSB, 5.5000%, 4/16/13 1,453,290 4,459,000 Bank of Montreal, 2.6250%, 1/25/16 (144A) 4,437,753 1,220,492 CIT Group, Inc., 7.0000%, 5/1/13 1,246,831 1,987,000 CIT Group, Inc., 5.2500%, 4/1/14 (144A) 1,999,459 2,282,000 CIT Group, Inc., 7.0000%, 5/1/14 2,324,788 1,647,000 CIT Group, Inc., 6.6250%, 4/1/18 (144A) 1,671,077 902,000 Discover Bank, 7.0000%, 4/15/20 992,382 2,215,000 HSBC USA, Inc., 5.0000%, 9/27/20 2,174,886 2,914,000 Royal Bank of Scotland PLC, 3.9500%, 9/21/15 2,916,206 1,611,000 Royal Bank of Scotland PLC, 4.3750%, 3/16/16 1,621,223 2,216,000 SVB Financial Group, 5.3750%, 9/15/20 2,179,731 1,670,000 Zions Bancorp., 7.7500%, 9/23/14 1,813,647 24,831,273 Commercial Services - Finance -- 1.0% 4,409,000 Verisk Analytics, Inc., 5.8000%, 5/1/21 4,429,233 Computer Services -- 0.2% 842,000 Affiliated Computer Services, Inc., 5.2000%, 6/1/15 907,990 Computers - Memory Devices -- 0.7% 1,280,000 Seagate Technology, 6.3750%, 10/1/11 1,308,800 1,467,000 Seagate Technology, 10.0000%, 5/1/14 (144A) 1,709,055 3,017,855 Consumer Products - Miscellaneous -- 0.1% 490,000 Jarden Corp., 8.0000%, 5/1/16 535,938 Containers - Metal and Glass -- 0.5% 458,000 Ball Corp., 7.1250%, 9/1/16 500,937 1,159,000 Ball Corp., 5.7500%, 5/15/21 1,135,820 508,000 Greif, Inc, 6.7500%, 2/1/17 535,940 2,172,697 Data Processing and Management -- 0.3% 1,475,000 Fiserv, Inc., 3.1250%, 10/1/15 1,467,963 Diversified Banking Institutions -- 7.3% 2,215,000 Bank of America Corp., 3.6250%, 3/17/16 2,183,808 3,371,000 Bank of America Corp., 5.6250%, 7/1/20 3,460,925 1,946,000 Citigroup, Inc., 5.0000%, 9/15/14 2,032,019 988,000 Citigroup, Inc., 4.7500%, 5/19/15 1,035,626 4,068,000 Citigroup, Inc., 5.3750%, 8/9/20 4,187,815 1,814,000 GMAC, Inc., 6.8750%, 9/15/11 1,848,012 459,000 Goldman Sachs Group, Inc., 3.7000%, 8/1/15 462,387 1,387,000 Goldman Sachs Group, Inc., 3.6250%, 2/7/16 1,373,894 3,278,000 Goldman Sachs Group, Inc., 5.3750%, 3/15/20 3,328,268 1,259,000 JPMorgan Chase & Co., 6.0000%, 1/15/18 1,380,473 1,033,000 JPMorgan Chase & Co., 4.4000%, 7/22/20 998,243 1,557,000 JPMorgan Chase & Co., 4.2500%, 10/15/20 1,488,044 1,986,000 Morgan Stanley, 4.0000%, 7/24/15 2,018,332 1,308,000 Morgan Stanley, 3.4500%, 11/2/15 1,285,747 1,832,000 Morgan Stanley, 5.6250%, 9/23/19 1,871,086 1,038,000 Morgan Stanley, 5.5000%, 7/24/20 1,037,270 2,257,000 Morgan Stanley, 5.7500%, 1/25/21 2,277,981 32,269,930 Diversified Financial Services -- 3.3% 530,000 General Electric Capital Corp., 4.8000%, 5/1/13 563,131 743,000 General Electric Capital Corp., 5.9000%, 5/13/14 820,071 3,707,000 General Electric Capital Corp., 6.0000%, 8/7/19 4,047,176 2,987,000 General Electric Capital Corp., 5.5000%, 1/8/20 3,160,300 1,928,000 General Electric Capital Corp., 4.6250%, 1/7/21 1,898,737 3,363,000 General Electric Capital Corp., 5.3000%, 2/11/21 3,415,695 581,000 Hyundai Capital Services, Inc., 4.3750%, 7/27/16 (144A) 584,087 14,489,197 Diversified Minerals -- 0.6% 504,000 Teck Resources, Ltd., 7.0000%, 9/15/12 538,461 448,000 Teck Resources, Ltd., 9.7500%, 5/15/14 544,300 950,000 Teck Resources, Ltd., 5.3750%, 10/1/15 1,030,339 362,000 Teck Resources, Ltd., 10.2500%, 5/15/16 435,305 3,000 Teck Resources, Ltd., 10.7500%, 5/15/19 3,831 2,552,236 Diversified Operations -- 0.7% 713,000 SPX Corp, 7.6250%, 12/15/14 785,191 2,154,000 Tyco Electronics Group S.A., 6.0000%, 10/1/12 2,296,022 3,081,213 Diversified Operations - Commercial Services -- 0.3% 1,093,000 ARAMARK Corp., 8.5000%, 2/1/15 1,139,453 Electric - Integrated -- 1.8% 1,028,000 Calpine Construction Finance Co. L.P., 8.0000%, 6/1/16 (144A) 1,120,520 863,000 CMS Energy Corp., 8.5000%, 4/15/11 864,495 857,000 CMS Energy Corp., 1.2531%, 1/15/13*** 846,287 1,819,000 CMS Energy Corp., 4.2500%, 9/30/15 1,824,075 1,352,000 CMS Energy Corp., 5.0500%, 2/15/18 1,346,419 883,000 Monongahela Power Co., 6.7000%, 6/15/14 964,538 1,090,000 Virginia Electric and Power Co., 5.1000%, 11/30/12 1,159,251 8,125,585 Electronic Components - Semiconductors -- 1.2% 869,000 National Semiconductor Corp., 6.1500%, 6/15/12 912,933 2,567,000 National Semiconductor Corp., 3.9500%, 4/15/15 2,614,859 1,806,000 National Semiconductor Corp., 6.6000%, 6/15/17 1,987,312 5,515,104 Electronic Connectors -- 0.5% 2,140,000 Amphenol Corp., 4.7500%, 11/15/14 2,296,124 Electronic Measuring Instruments -- 0.2% 664,000 Agilent Technologies, Inc., 2.5000%, 7/15/13 669,916 Electronics - Military -- 1.7% 4,488,000 L-3 Communications Corp., 6.3750%, 10/15/15 4,622,640 627,000 L-3 Communications Corp., 5.2000%, 10/15/19 654,001 1,618,000 L-3 Communications Corp., 4.7500%, 7/15/20 1,611,408 841,000 L-3 Communications Corp., 4.9500%, 2/15/21 845,907 7,733,956 Enterprise Software/Services -- 0.4% 1,073,000 BMC Software, Inc., 7.2500%, 6/1/18 1,220,761 337,000 CA, Inc., 5.3750%, 12/1/19 347,200 1,567,961 Finance - Auto Loans -- 0.7% 713,000 Ford Motor Credit Co. LLC, 7.2500%, 10/25/11 733,734 698,000 Ford Motor Credit Co. LLC, 7.5000%, 8/1/12 744,254 1,404,000 Ford Motor Credit Co. LLC, 6.6250%, 8/15/17 1,498,420 297,000 Hyundai Capital America, 3.7500%, 4/6/16 (144A) 292,592 3,269,000 Finance - Consumer Loans -- 0.5% 2,221,000 SLM Corp., 6.2500%, 1/25/16 2,315,392 Finance - Credit Card -- 0.3% 1,368,000 American Express Co., 6.8000%, 9/1/66*** 1,395,360 Finance - Investment Bankers/Brokers -- 1.9% 1,159,000 Jefferies Group, Inc., 3.8750%, 11/9/15 1,156,499 1,044,000 Jefferies Group, Inc., 8.5000%, 7/15/19 1,231,606 2,042,000 Lazard Group LLC, 7.1250%, 5/15/15 2,243,321 113,000 Lazard Group LLC, 6.8500%, 6/15/17 120,291 642,000 Schwab Capital Trust I, 7.5000%, 11/15/37 *** 663,134 2,256,000 TD Ameritrade Holding Corp., 4.1500%, 12/1/14 2,348,521 780,000 TD Ameritrade Holding Corp., 5.6000%, 12/1/19 825,410 8,588,782 Food - Canned -- 0.1% 238,000 Blue Merger Sub, Inc., 7.6250%, 2/15/19 (144A) 241,273 Food - Meat Products -- 1.3% 169,000 Smithfield Foods, Inc., 7.7500%, 5/15/13 181,675 4,896,000 Tyson Foods, Inc., 6.8500%, 4/1/16*** 5,471,280 5,652,955 Food - Miscellaneous/Diversified -- 1.8% 1,792,000 Corn Products International, Inc., 3.2000%, 11/1/15 1,788,932 1,453,000 Corn Products International, Inc., 6.6250%, 4/15/37 1,518,732 290,000 Dole Food Co., Inc., 13.8750%, 3/15/14 352,260 1,292,000 Kraft Foods, Inc., 2.6250%, 5/8/13 1,322,291 1,213,000 Kraft Foods, Inc., 5.3750%, 2/10/20 1,280,620 1,784,000 Kraft Foods, Inc., 6.5000%, 2/9/40 1,905,466 8,168,301 Gas - Distribution -- 0.1% 257,000 Southern Star Central Gas Pipeline, Inc., 6.0000%, 6/1/16 (144A) 275,386 Gold Mining -- 0.2% 880,000 Gold Fields Orogen Holding BVI, Ltd., 4.8750%, 10/7/20 (144A) 844,481 Hotels and Motels -- 1.2% 951,000 Hyatt Hotels Corp., 5.7500%, 8/15/15 (144A) 984,594 306,000 Hyatt Hotels Corp., 6.8750%, 8/15/19 (144A) 327,522 1,340,000 Marriott International, Inc., 4.6250%, 6/15/12 1,392,638 376,000 Marriott International, Inc., 5.6250%, 2/15/13 402,253 266,000 Starwood Hotels & Resorts Worldwide, Inc., 7.8750%, 10/15/14 304,038 348,000 Starwood Hotels & Resorts Worldwide, Inc., 6.7500%, 5/15/18 378,015 1,426,000 Starwood Hotels & Resorts Worldwide, Inc., 7.1500%, 12/1/19 1,566,817 5,355,877 Investment Management and Advisory Services -- 0.9% 900,000 Ameriprise Financial, Inc., 7.3000%, 6/28/19 1,075,090 522,000 Ameriprise Financial, Inc., 5.3000%, 3/15/20 553,312 1,490,000 Ameriprise Financial, Inc., 7.5180%, 6/1/66*** 1,564,500 1,024,000 FMR LLC, 6.4500%, 11/15/39 (144A) 1,008,146 4,201,048 Life and Health Insurance -- 0.1% 377,000 Prudential Financial, Inc., 4.7500%, 6/13/15 399,689 Medical - Biomedical and Genetic -- 0.9% 695,000 Bio-Rad Laboratories, Inc., 8.0000%, 9/15/16 769,712 665,000 Genzyme Corp., 3.6250%, 6/15/15 690,829 832,000 Genzyme Corp., 5.0000%, 6/15/20 883,588 1,654,000 Gilead Sciences, Inc., 4.5000%, 4/1/21 1,634,342 3,978,471 Medical - Drugs -- 0.4% 833,000 Sanofi-Aventis S.A., 2.6250%, 3/29/16*** 825,840 833,000 Sanofi-Aventis S.A., 4.0000%, 3/29/21*** 819,255 1,645,095 Medical - HMO -- 0.1% 283,000 Health Care Service Corp., 4.7000%, 1/15/21 (144A) 284,079 Medical - Hospitals -- 0.4% 1,705,000 HCA, Inc., 9.2500%, 11/15/16 1,835,006 Medical Instruments -- 0.4% 559,000 Boston Scientific Corp., 4.5000%, 1/15/15 576,545 1,119,000 Boston Scientific Corp., 6.0000%, 1/15/20 1,172,507 1,749,052 Medical Products -- 0.2% 882,000 CareFusion Corp., 4.1250%, 8/1/12 911,082 Metal Processors and Fabricators -- 0.1% 306,000 Timken Co., 6.0000%, 9/15/14 337,532 Money Center Banks -- 0.4% 847,000 Lloyds TSB Bank PLC, 4.8750%, 1/21/16 873,362 678,000 Lloyds TSB Bank PLC, 6.3750%, 1/21/21 706,541 1,579,903 Multi-Line Insurance -- 2.1% 1,398,000 American International Group, Inc., 5.4500%, 5/18/17 1,435,101 4,475,000 American International Group, Inc., 6.4000%, 12/15/20 4,776,141 1,350,000 MetLife, Inc., 2.3750%, 2/6/14 1,351,826 588,000 MetLife, Inc., 6.7500%, 6/1/16 679,695 688,000 MetLife, Inc., 7.7170%, 2/15/19 836,316 9,079,079 Multimedia -- 0.7% 2,021,000 NBC Universal, Inc., 2.8750%, 4/1/16 (144A) 1,974,329 1,166,000 NBC Universal, Inc., 5.9500%, 4/1/41 (144A) 1,117,339 3,091,668 Non-Hazardous Waste Disposal -- 0.3% 1,236,000 Allied Waste North America, Inc., 7.1250%, 5/15/16 1,290,075 Oil and Gas Drilling -- 1.6% 848,000 Ensco PLC, 3.2500%, 3/15/16 844,881 1,414,000 Ensco PLC, 4.7000%, 3/15/21 1,403,545 4,618,000 Nabors Industries, Inc., 5.0000%, 9/15/20 4,587,000 337,000 Noble Holding International, Ltd., 3.4500%, 8/1/15 344,042 7,179,468 Oil Companies - Exploration and Production -- 0.6% 1,570,000 Forest Oil Corp., 8.0000%, 12/15/11 1,640,650 746,000 Forest Oil Corp., 8.5000%, 2/15/14 831,790 2,472,440 Oil Companies - Integrated -- 1.4% 2,530,000 BP Capital Markets PLC, 3.1250%, 10/1/15 2,544,145 1,169,000 BP Capital Markets PLC, 4.5000%, 10/1/20 1,160,065 1,112,000 Petrobras International Finance Co., 3.8750%, 1/27/16 1,119,434 1,111,000 Petrobras International Finance Co., 5.3750%, 1/27/21 1,114,353 250,000 Petrobras International Finance Co., 6.7500%, 1/27/41 257,552 6,195,549 Oil Refining and Marketing -- 0.6% 1,031,000 Motiva Enterprises LLC, 5.7500%, 1/15/20 (144A) 1,127,138 1,717,000 NuStar Logistics L.P., 4.8000%, 9/1/20 1,688,877 2,816,015 Paper and Related Products -- 0.6% 2,854,000 Georgia-Pacific LLC, 5.4000%, 11/1/20 (144A) 2,818,248 Pipelines -- 2.4% 848,000 Buckeye Partners L.P., 4.8750%, 2/1/21 842,358 1,470,000 DCP Midstream Operating L.P., 3.2500%, 10/1/15 1,440,482 261,000 El Paso Pipeline Partners Operating Co. LLC, 6.5000%, 4/1/20 287,004 509,000 Energy Transfer Partners L.P., 5.9500%, 2/1/15 558,041 496 Kern River Funding Corp., 4.8930%, 4/30/18***, # 535 322,000 Kinder Morgan Energy Partners L.P., 5.9500%, 2/15/18 354,559 2,218,000 Kinder Morgan Finance Co. ULC, 5.7000%, 1/5/16 2,326,128 1,930,000 Plains All American Pipeline L.P., 3.9500%, 9/15/15 1,990,305 332,000 Plains All American Pipeline L.P., 8.7500%, 5/1/19 415,349 Plains All American Pipeline L.P. / PAA Finance Corp., 5.0000%, 1,695,000 2/1/21 1,700,039 527,000 Williams Partners L.P., 3.8000%, 2/15/15 545,540 10,460,340 Property and Casualty Insurance -- 0.2% 674,000 Fidelity National Financial, Inc., 6.6000%, 5/15/17 697,256 Publishing - Newspapers -- 0.2% 233,000 Gannett Co., Inc., 6.3750%, 9/1/15 (144A) 242,320 837,000 Gannett Co., Inc., 7.1250%, 9/1/18 (144A) 839,093 1,081,413 Publishing - Periodicals -- 0.5% 2,231,000 United Business Media, Ltd., 5.7500%, 11/3/20 (144A) 2,170,138 Real Estate Management/Services -- 0.7% 537,000 AMB Property L.P., 6.1250%, 12/1/16 587,679 744,000 AMB Property L.P., 4.0000%, 1/15/18 719,933 695,000 AMB Property L.P., 6.6250%, 12/1/19 767,496 1,051,000 CB Richard Ellis Services, Inc., 6.6250%, 10/15/20 1,082,530 3,157,638 Real Estate Operating/Development -- 0.3% 1,473,000 Post Apartment Homes L.P., 4.7500%, 10/15/17 1,448,819 Reinsurance -- 1.6% 2,140,000 Berkshire Hathaway Finance Corp., 4.0000%, 4/15/12 2,215,540 1,567,000 Berkshire Hathaway, Inc., 1.4000%, 2/10/12 1,580,149 1,567,000 Berkshire Hathaway, Inc., 2.1250%, 2/11/13 1,600,306 1,592,000 Berkshire Hathaway, Inc., 3.2000%, 2/11/15 1,638,744 7,034,739 REIT - Diversified -- 0.7% 872,000 Goodman Funding Pty, Ltd., 6.3750%, 11/12/20 (144A) 876,339 2,237,000 Goodman Funding Pty, Ltd., 6.3750%, 4/15/21 2,232,195 3,108,534 REIT - Health Care -- 1.1% 278,000 HCP, Inc., 2.7000%, 2/1/14 278,833 283,000 HCP, Inc., 3.7500%, 2/1/16 284,431 277,000 HCP, Inc., 5.3750%, 2/1/21 279,737 884,000 Senior Housing Properties Trust, 6.7500%, 4/15/20 935,736 583,000 Ventas Realty L.P. / Ventas Capital Corp., 6.5000%, 6/1/16 603,500 968,000 Ventas Realty L.P. / Ventas Capital Corp., 6.5000%, 6/1/16 1,000,730 1,606,000 Ventas Realty L.P. / Ventas Capital Corp., 6.7500%, 4/1/17 1,702,715 5,085,682 REIT - Hotels -- 0.7% 775,000 Host Hotels & Resorts L.P., 7.1250%, 11/1/13 786,625 2,153,000 Host Hotels & Resorts L.P., 6.7500%, 6/1/16 2,220,281 3,006,906 REIT - Office Property -- 0.8% 523,000 Reckson Operating Partnership L.P., 6.0000%, 3/31/16 556,943 2,519,000 Reckson Operating Partnership L.P., 7.7500%, 3/15/20 2,829,114 3,386,057 REIT - Regional Malls -- 1.4% 3,931,000 Rouse Co. L.P., 6.7500%, 5/1/13 (144A) 4,063,671 2,152,000 Rouse Co. L.P., 6.7500%, 11/9/15 2,238,080 6,301,751 REIT - Shopping Centers -- 0.2% 839,000 Developers Diversified Realty Corp., 4.7500%, 4/15/18 816,690 Resorts and Theme Parks -- 0.5% 2,095,000 Vail Resorts, Inc., 6.7500%, 2/15/14 2,121,188 Retail - Apparel and Shoe -- 0.3% 1,054,000 Phillips-Van Heusen Corp., 7.3750%, 5/15/20 1,114,605 Retail - Computer Equipment -- 0% 151,000 GameStop Corp., 8.0000%, 10/1/12 154,209 Retail - Regional Department Stores -- 0.7% 688,000 Macy's Retail Holdings, Inc., 5.7500%, 7/15/14 736,160 1,485,000 Macy's Retail Holdings, Inc., 5.9000%, 12/1/16 1,596,375 790,000 Macy's Retail Holdings, Inc., 6.9000%, 4/1/29 799,875 3,132,410 Retail - Restaurants -- 0.3% 1,472,000 Brinker International, 5.7500%, 6/1/14 1,549,557 Shipbuilding -- 0.2% 432,000 Huntington Ingalls Industries, Inc., 6.8750%, 3/15/18 (144A) 450,900 414,000 Huntington Ingalls Industries, Inc., 7.1250%, 3/15/21 (144A) 431,595 882,495 Steel - Producers -- 0.3% 344,000 ArcelorMittal, 5.3750%, 6/1/13 365,849 819,000 Steel Dynamics, Inc., 6.7500%, 4/1/15 838,451 1,204,300 Super-Regional Banks -- 1.2% 835,000 KeyCorp, 5.1000%, 3/24/21 829,846 611,000 National City Corp., 6.8750%, 5/15/19 697,516 528,000 PNC Funding Corp., 3.6250%, 2/8/15 545,871 1,113,000 SunTrust Banks, Inc., 3.6000%, 4/15/16 1,106,362 2,195,000 Wells Fargo & Co., 4.6000%, 4/1/21 2,170,646 5,350,241 Telecommunication Services -- 0.2% 776,000 Virgin Media Secured Finance PLC, 6.5000%, 1/15/18 847,780 Telephone - Integrated -- 2.1% 545,000 Qwest Communications International, Inc., 7.5000%, 2/15/14 553,856 4,986,000 Qwest Communications International, Inc., 7.1250%, 4/1/18 (144A) 5,378,647 1,048,000 Sprint Capital Corp., 8.3750%, 3/15/12 1,105,640 1,143,000 Telefonica Emisiones SAU, 3.9920%, 2/16/16 1,148,531 1,143,000 Telefonica Emisiones SAU, 5.4620%, 2/16/21 1,157,528 9,344,202 Television -- 0.4% 1,365,000 CBS Corp., 8.2000%, 5/15/14 1,599,894 411,000 CBS Corp., 4.3000%, 2/15/21 388,488 1,988,382 Transportation - Railroad -- 1.0% 631,113 CSX Corp., 8.3750%, 10/15/14 731,744 154,000 Kansas City Southern de Mexico S.A. de C.V., 7.3750%, 6/1/14 160,160 2,196,000 Kansas City Southern de Mexico S.A. de C.V., 8.0000%, 2/1/18 2,393,640 751,000 Kansas City Southern de Mexico S.A. de C.V., 6.6250%, 12/15/20 (144A) 766,020 220,000 Kansas City Southern Railway, 13.0000%, 12/15/13 262,350 4,313,914 Transportation - Services -- 1.2% 2,458,000 Asciano Finance, Ltd., 5.0000%, 4/7/18 (144A),# 2,444,678 2,337,000 Asciano Finance, Ltd., 4.6250%, 9/23/20 (144A) 2,213,380 634,000 Ryder System, Inc., 3.6000%, 3/1/16 640,528 5,298,586 Transportation - Truck -- 0.5% 2,214,000 JB Hunt Transport Services, Inc., 3.3750%, 9/15/15 2,194,572 -------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds (cost $311,566,529) 319,988,156 -------------------------------------------------------------------------------------------------------------------- Preferred Stock -- 0.4% Diversified Banking Institutions -- 0.4% 63,600 Citigroup Capital, 7.8750% (cost $1,674,366) 1,742,640 -------------------------------------------------------------------------------------------------------------------- U.S. Treasury Notes/Bonds -- 22.1% U.S. Treasury Notes/Bonds: $4,296,000 4.6250%, 2/29/12 4,464,820 9,276,000 0.8750%, 2/29/12 9,324,513 3,202,000 1.3750%, 5/15/12 3,237,648 331,000 1.5000%, 7/15/12 335,525 4,246,000 0.6250%, 7/31/12 4,255,638 806,000 1.3750%, 1/15/13 815,540 3,466,000 1.3750%, 2/15/13 3,507,024 363,000 1.7500%, 4/15/13 369,864 8,253,000 1.1250%, 6/15/13 8,293,605 13,535,000 1.0000%, 7/15/13** 13,556,115 725,000 0.7500%, 8/15/13 721,318 815,000 2.7500%, 10/31/13 850,338 4,123,000 1.7500%, 1/31/14 4,187,743 280,000 1.2500%, 2/15/14 280,175 830,000 1.8750%, 2/28/14 845,368 574,000 1.7500%, 3/31/14 582,251 4,034,000 2.2500%, 5/31/14** 4,147,142 1,969,000 2.6250%, 7/31/14 2,045,299 1,085,000 2.3750%, 8/31/14 1,116,872 2,976,000 2.3750%, 9/30/14 3,061,792 724,000 2.6250%, 12/31/14 749,566 2,600,000 2.2500%, 1/31/15 2,653,625 1,627,000 2.3750%, 2/28/15 1,666,666 1,808,000 2.5000%, 3/31/15 1,859,564 2,276,957 0.5000%, 4/15/15**** 2,363,410 2,385,000 2.5000%, 4/30/15 2,450,029 1,766,000 2.1250%, 5/31/15 1,785,320 170,000 1.8750%, 6/30/15 169,907 2,028,000 1.7500%, 7/31/15 2,012,790 415,000 1.2500%, 9/30/15 401,350 220,000 1.2500%, 10/31/15 212,283 4,204,000 2.0000%, 1/31/16 4,173,454 631,000 2.1250%, 2/29/16 629,028 1,455,000 5.2500%, 2/15/29 1,638,694 714,000 4.3750%, 11/15/39 698,493 1,712,000 4.6250%, 2/15/40 1,745,706 2,835,000 3.8750%, 8/15/40 2,536,883 4,140,000 4.2500%, 11/15/40 3,959,521 -------------------------------------------------------------------------------------------------------------------- Total U.S. Treasury Notes/Bonds (cost $96,713,047) 97,704,879 -------------------------------------------------------------------------------------------------------------------- Money Market -- 0.7% 3,250,741 Janus Cash Liquidity Fund LLC, 0%, (cost $3,250,741) 3,250,741 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $432,593,172) - 100% $442,147,125 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) --------------------------------------------------------------- % of Investment Country Value Securities Australia $ 8,633,248 2.0% Canada 9,316,117 2.1% Cayman Islands 5,853,236 1.3% France 1,645,095 0.4% Jersey 2,170,138 0.5% Luxembourg 3,699,454 0.8% Mexico 3,319,820 0.8% South Korea 584,087 0.1% Spain 2,306,059 0.5% United Kingdom 16,268,604 3.7% United States++ 387,506,786 87.6% Virgin Islands (British) 844,481 0.2% --------------------------------------------------------------- Total $ 442,147,125 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (86.9% excluding Cash Equivalents). Notes to Schedule of Investments (unaudited) PLC Public Limited Company REIT Real Estate Investment Trust ULC Unlimited Liability Corporation U.S. Shares Securities of foreign companies trading on an American Stock Exchange. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. *** Rate is subject to change. Rate shown reflects current rate. **** Security is a U.S. Treasury Inflation-Protected Security (TIPS) # Schedule of Restricted and Illiquid Securities (as of March 31, 2011)
Value as a % of Acquisition Date Acquisition Cost Value Total Investments -------------------------------------------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio Asciano Finance, Ltd. 5.0000%, 4/7/18 3/31/2011 $2,444,678 $ 2,444,678 0.6% Kern River Funding Corp. 4.8930%, 4/30/18 (144A) 4/28/2003 573 535 0% -------------------------------------------------------------------------------------------------------------------- $2,445,251 $ 2,445,213 0.6% --------------------------------------------------------------------------------------------------------------------
The Portfolio has registration rights for certain restricted securities held as of March 31, 2011. The issuer incurs all registration costs. 144A Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended March 31, 2011 is indicated in the table below: Value as a % of Portfolio Value Total Investments -------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio $ 51,727,794 11.7% -------------------------------------------------------------------------------- The following is a summary of inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information.
Level 3 Level 2 Significant Level 1 Other Significant Unobservable Valuation Inputs Summary (as of March 31, 2011) Quoted - Prices Observable Inputs Inputs -------------------------------------------------------------------------------------------------------------------- Investments in Securities: -------------------------------------------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio -------------------------------------------------------------------------------------------------------------------- Asset-Backed/Commercial Mortgage-Backed Securities $ -- $ 9,689,554 $ -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Bank Loans -- 9,771,155 -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Corporate Bonds -- 319,988,156 -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Preferred Stock -- 1,742,640 -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- U.S. Treasury Notes/Bonds -- 97,704,879 -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Money Market -- 3,250,741 -- -------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------- Total Investments in Securities $ -- $ 442,147,125 $ -- --------------------------------------------------------------------------------------------------------------------
Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio $ 6,062,334 Janus Aspen Forty Portfolio Schedule of Investments (unaudited)
Shares Value ------------------------------------------------------------------------------------------------------------------------------------ Common Stock -- 96.0% Applications Software -- 4.8% 1,997,000 Microsoft Corp. $ 50,643,920 Athletic Footwear -- 1.2% 164,355 NIKE, Inc. - Class B 12,441,674 Automotive - Cars and Light Trucks -- 4.6% 2,134,945 Ford Motor Co.* 31,832,030 551,355 General Motors Co.* 17,108,546 48,940,576 Brewery -- 3.7% 682,200 Anheuser-Busch InBev N.V. 38,855,395 340,184 Anheuser-Busch InBev N.V. - VVPR Strip* 2,410 38,857,805 Chemicals - Diversified -- 1.1% 684,907 Israel Chemicals, Ltd. 11,282,211 Commercial Banks -- 2.1% 849,139 Standard Chartered PLC 22,023,896 Computers -- 6.5% 199,010 Apple, Inc.* 69,345,034 Diversified Banking Institutions -- 4.5% 3,574,912 Bank of America Corp. 47,653,577 E-Commerce/Services -- 5.2% 1,782,335 eBay, Inc.* 55,323,678 Electronic Components - Miscellaneous -- 2.3% 698,215 TE Connectivity, Ltd. (U.S. Shares) 24,311,846 Electronic Connectors -- 1.3% 260,620 Amphenol Corp. - Class A 14,175,122 Electronic Forms -- 1.6% 496,625 Adobe Systems, Inc.* 16,468,085 Enterprise Software/Services -- 3.0% 956,342 Oracle Corp. 31,913,133 Finance - Investment Bankers/Brokers -- 2.7% 1,586,048 Charles Schwab Corp. 28,596,445 Finance - Other Services -- 1.9% 67,780 CME Group, Inc. 20,439,059 Industrial Automation and Robotics -- 2.5% 173,400 Fanuc, Ltd. 26,251,876 Life and Health Insurance -- 4.0% 4,803,200 AIA Group, Ltd.* 14,789,432 2,492,548 Prudential PLC 28,246,265 43,035,697 Medical - Biomedical and Genetic -- 7.1% 1,038,948 Celgene Corp.* 59,770,679 335,682 Vertex Pharmaceuticals, Inc.* 16,089,238 75,859,917 Medical Instruments -- 2.6% 83,760 Intuitive Surgical, Inc.* 27,930,610 Multimedia -- 4.3% 2,622,680 News Corp. - Class A 46,054,261 Networking Products -- 2.2% 1,339,080 Cisco Systems, Inc. 22,965,222 Oil Companies - Integrated -- 2.7% 599,931 BG Group PLC 14,925,141 345,200 Petroleo Brasileiro S.A. (ADR) 13,956,436 28,881,577 Pharmacy Services -- 2.7% 518,214 Medco Health Solutions, Inc.* 29,102,898 Real Estate Operating/Development -- 0.9% 2,220,000 Hang Lung Properties, Ltd. 9,718,190 Retail - Apparel and Shoe -- 3.0% 978,365 Limited Brands, Inc. 32,168,641 Retail - Jewelry -- 2.2% 406,848 Compagnie Financiere Richemont S.A. 23,506,084 Transportation - Services -- 5.9% 312,485 C.H. Robinson Worldwide, Inc. 23,164,513 534,880 United Parcel Service, Inc. - Class B 39,752,282 62,916,795 Web Portals/Internet Service Providers -- 6.7% 97,959 Google, Inc. - Class A*,** 57,424,545 833,606 Yahoo!, Inc.* 13,879,540 71,304,085 Wireless Equipment -- 2.7% 670,955 Crown Castle International Corp.* 28,549,135 ------------------------------------------------------------------------------------------------------------------------------------ Total Common Stock (cost $765,600,599) 1,020,661,049 ------------------------------------------------------------------------------------------------------------------------------------ Money Market - 4.0% 42,902,730 Janus Cash Liquidity Fund LLC, 0% (cost $42,902,730) 42,902,730 ------------------------------------------------------------------------------------------------------------------------------------ Total Investments (total cost $808,503,329) - 100% $1,063,563,779 ------------------------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) % of Investment Country Value Securities -------------------------------------------------------------------------------- Belgium $ 38,857,805 3.6% Brazil 13,956,436 1.3% Hong Kong 24,507,622 2.3% Israel 11,282,211 1.1% Japan 26,251,876 2.5% Switzerland 47,817,930 4.5% United Kingdom 65,195,302 6.1% United States++ 835,694,597 78.6% -------------------------------------------------------------------------------- Total $ 1,063,563,779 100.0% ++ Includes Cash Equivalents (74.6% excluding Cash Equivalents). Schedule of Written Options - Puts Value -------------------------------------------------------------------------------- Microsoft Corp. expires January 2012 5,000 contracts exercise price $25.00 (premiums received $696,000) $ (1,104,970) -------------------------------------------------------------------------------- Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt PLC Public Limited Company U.S. Shares Securities of foreign companies trading on an American Stock Exchange. VVPR Strip The Voter Verified Paper Record (VVPR) strip is a coupon which, if presented along with the dividend coupon of the ordinary share, allows the benefit of a reduced withholding tax on the dividends paid by the company. This strip is quoted separately from the ordinary share and is freely negotiable. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. The following is a summary of the inputs that were used to value the Portfolio's investments in securities as of March 31, 2011. See Significant Accounting Policies for more information. Valuation Inputs Summary (as of March 31, 2011)
Level 2 - Other Level 1 - Significant Observable Level 3 - Significant Quoted Prices Inputs Unobservable Inputs ----------------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Forty Portfolio Common Stock Oil Companies- Integrated $ 14,925,141 $ 13,956,436 $ - All Other 991,779,472 - - Money Market - 42,902,730 - Total Investments in $ 1,006,704,613 $ 56,859,166 $ - Securities -----------------------------------------------------------------------------------------------------------------
Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Forty Portfolio $ 15,887,474 Janus Aspen Global Technology Portfolio Schedule of Investments (unaudited)
Shares or Contract Amounts Value -------------------------------------------------------------------------------------------------------------------- Common Stock -- 95.5% Advanced Materials/Production -- 2.0% 171,105 STR Holdings, Inc.* $ 3,281,794 Applications Software -- 5.6% 307,213 Microsoft Corp. 7,790,922 47,515 Quest Software, Inc.* 1,206,406 8,997,328 Cable Television -- 0.2% 355 Jupiter Telecommunications Co., Ltd.** 348,767 Casino Services -- 0.7% 65,575 International Game Technology 1,064,282 Commercial Services -- 0.8% 15,455 Iron Mountain, Inc. 482,660 85,895 Live Nation, Inc.* 858,950 1,341,610 Communications Software -- 2.8% 189,385 SolarWinds, Inc.* 4,442,972 Computer Aided Design -- 1.0% 29,871 ANSYS, Inc.* 1,618,710 Computer Services -- 1.7% 17,131 International Business Machines Corp. 2,793,552 Computer Software -- 0.6% 48,780 Cornerstone OnDemand, Inc.* 889,259 Computers -- 1.7% 8,034 Apple, Inc.*,** 2,799,447 Computers - Integrated Systems -- 2.5% 80,900 Terdata Corp.* 4,101,630 Computers - Memory Devices -- 1.2% 61,215 EMC Corp.* 1,625,258 5,210 NetApp, Inc.* 251,018 1,876,276 Computers - Peripheral Equipment -- 0.5% 48,790 Logitech International S.A.* 878,879 Consulting Services -- 1.4% 52,496 Gartner, Inc.* 2,187,508 E-Commerce/Products -- 1.0% 9,140 Amazon.com, Inc. 1,646,388 E-Commerce/Services -- 4.2% 45,571 Ctrip.com International, Ltd.* 1,890,741 127,822 eBay, Inc.*,** 3,967,595 3,730 Netflix, Inc.* 885,241 6,743,577 Educational Software -- 1.1% 49,934 Blackboard, Inc.* 1,809,608 Electric Products - Miscellaneous -- 1.0% 17,311 LG Electronics, Inc. 1,657,386 Electronic Components - Miscellaneous -- 3.8% 175,104 TE Connectivity, Ltd. (U.S. Shares) 6,097,121 Electronic Components - Semiconductors -- 4.7% 760,683 ON Semiconductor Corp.*,** 7,507,941 Electronic Connectors -- 3.1% 90,734 Amphenol Corp. - Class A 4,935,022 Electronic Forms -- 1.8% 86,625 Adobe Systems, Inc.* 2,872,485 Electronics - Military -- 1.0% 57,683 Ultra Electronics Holdings PLC** 1,593,259 Energy - Alternate Sources -- 0.3% 3,095 First Solar, Inc.* 497,800 Enterprise Software/Services -- 10.8% 49,810 Advent Software, Inc.* 1,428,053 118,105 Autonomy Corp. PLC** 3,010,215 23,155 Aveva Group PLC** 599,822 74,175 Oracle Corp. 2,475,220 176,165 QLIK Technologies, Inc.* 4,580,290 80,083 Temenos Group A.G.* 3,035,165 123,500 Totvs S.A.** 2,372,526 17,501,291 Industrial Automation and Robotics -- 2.1% 22,600 Fanuc, Ltd.** 3,421,525 Internet Applications Software -- 2.5% 155,290 Vocus, Inc.* 4,015,799 Internet Content - Entertainment -- 0.7% 25,115 Youku.com, Inc.* 1,193,214 Internet Infrastructure Software -- 0.7% 35,820 AsiaInfo Holdings, Inc.* 775,503 15,340 Tibco Software, Inc.* 418,015 1,193,518 Medical - Biomedical and Genetic -- 3.8% 56,340 Celgene Corp.* 3,241,240 9,348 Gilead Sciences, Inc.* 396,729 63,273 Myriad Genetics, Inc.* 1,274,951 25,835 Vertex Pharmaceuticals, Inc.* 1,238,272 6,151,192 Medical Information Systems -- 1.9% 66,300 athenahealth, Inc.* 2,992,119 Networking Products -- 3.8% 229,800 Cisco Systems, Inc. 3,941,070 51,660 Juniper Networks, Inc.* 2,173,853 6,114,923 Semiconductor Components/Integrated Circuits -- 4.1% 438,690 Atmel Corp.* 5,979,345 265,000 Taiwan Semiconductor Manufacturing Co., Ltd. 636,469 6,615,814 Semiconductor Equipment -- 2.6% 38,271 ASML Holding N.V. 1,686,544 44,780 Lam Research Corp.* 2,537,235 4,223,779 Telecommunication Equipment -- 1.5% 91,900 Alcatel Lucent (ADR)* 533,939 368,282 Tellabs, Inc.** 1,929,798 2,463,737 Telecommunication Equipment - Fiber Optics -- 1.2% 23,625 Ciena Corp.* 613,305 51,220 Finisar Corp.* 1,260,012 1,873,317 Telecommunication Services -- 3.9% 220,305 Amdocs, Ltd. (U.S. Shares)*,** 6,355,799 Television -- 1.6% 102,807 CBS Corp. - Class B 2,574,287 Toys -- 0.7% 4,065 Nintendo Co., Ltd.** 1,098,371 Transactional Software -- 1.4% 69,325 Longtop Financial Technologies, Ltd. (ADR)* 2,178,192 Web Portals/Internet Service Providers -- 3.9% 100,350 AOL, Inc.* 1,959,835 7,265 Google, Inc. - Class A* 4,258,816 6,218,651 Wireless Equipment -- 3.6% 50,739 Crown Castle International Corp.* 2,158,944 59,601 QUALCOMM, Inc.** 3,267,923 30,085 Telefonaktiebolaget L.M. Ericsson (ADR) 386,893 5,813,760 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $127,424,698) 153,981,889 -------------------------------------------------------------------------------------------------------------------- Purchased Option - Call -- 0.2% 352 Vertex Pharmaceuticals, Inc. expires April 2011 exercise price $38.00 (premiums paid $150,269) 352,836 -------------------------------------------------------------------------------------------------------------------- Money Market -- 5.0% 8,130,368 Janus Cash Liquidity Fund LLC, 0% (cost $8,130,368) 8,130,368 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $135,705,335) - 100.7% 162,465,093 -------------------------------------------------------------------------------------------------------------------- Securities Sold Short - (0.7)% Common Stock Sold Short -- (0.7)% Electronic Components - Semiconductors -- (0.7)% 24,870 Cree, Inc.* (proceeds $1,685,554) (1,147,999) -------------------------------------------------------------------------------------------------------------------- Total Investments and Securities Sold Short (total cost $134,019,781)-100.0% $ 161,317,094 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) --------------------------------------------------------------- % of Investment Country Value Securities Brazil $ 2,372,526 1.5% Cayman Islands 5,262,147 3.3% France 533,939 0.3% Guernsey 6,355,799 3.9% Japan 4,868,663 3.0% Netherlands 1,686,544 1.0% South Korea 1,657,386 1.0% Sweden 386,893 0.2% Switzerland 10,011,165 6.2% Taiwan 636,469 0.4% United Kingdom 5,203,296 3.2% United States++ 123,490,266 76.0% --------------------------------------------------------------- Total $ 162,465,093 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (71.0% excluding Cash Equivalents). Summary of Investments by Country - (Short Positions) --------------------------------------------------------------- Country Value % of Securities Sold Short --------------------------------------------------------------- United States (1,147,999) 100.0% --------------------------------------------------------------- Total $ (1,147,999) 100.0%
Forward Currency Contracts, Open -------------------------------------------------------------------------------------------------------------------- Unrealized Currency Currency Appreciation/ Counterparty/Currency Sold and Settlement Date Units Sold Value U.S. $ (Depreciation) Credit Suisse Securities (USA) LLC: Brazilian Real 5/6/11 1,600,000 $974,241 $(27,215) British Pound 5/6/11 289,000 463,369 5,247 Japanese Yen 5/6/11 102,000,000 1,226,801 19,640 --------------------------------------- 2,664,411 (2,328) HSBC Securities (USA), Inc.: British Pound 5/12/11 153,000 245,288 3,196 Japanese Yen 5/12/11 92,000,000 1,106,574 26,627 --------------------------------------- 1,351,862 29,823 JPMorgan Chase & Co.: British Pound 4/28/11 280,000 448,991 5,158 Japanese Yen 4/28/11 107,100,000 1,288,071 (1,809) --------------------------------------- 1,737,062 3,349 -------------------------------------------------------------------------------------------------------------------- Total $5,753,335 $30,844
Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt PLC Public Limited Company U.S. Shares Securities of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. Effective May 12, 2011, J. Bradley Slingerlend is the Portfolio Manager of the Portfolio. The following is a summary of inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information.
Level 2 Level 3 Level 1 Other Significant Significant Valuation Inputs Summary (as of March 31, 2011) Quoted - Prices Observable Inputs Unobservable Inputs -------------------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Global Technology Portfolio Common Stock E-Commerce/Services $ 4,852,836 $ 1,890,741 $ -- Internet Content - Entertainment -- 1,193,214 -- Telecommunication Equipment 1,929,798 533,939 -- Transactional Software -- 2,178,192 -- Wireless Equipment 5,426,867 386,893 -- All Other 135,589,409 -- -- Money Market -- 8,130,368 -- Total Investments in Securities $ 147,798,910 $ 14,313,347 $ -- Investments in Purchased Options: $ -- $ 352,836 $ -- Investments in Securities Sold Short: $ (1,147,999) $ -- $ -- Other Financial Instruments(a): $ -- $ 30,844 $ --
(a) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Global Technology Portfolio $ 24,294,780 -------------------------------------------------------------------------------- Janus Aspen Janus Portfolio Schedule of Investments (unaudited)
Shares or Contract Amounts Value -------------------------------------------------------------------------------------------------------------------- Common Stock -- 98.5% Apparel Manufacturers -- 0.8% 41,755 Polo Ralph Lauren Corp. $ 5,163,006 Applications Software -- 4.8% 1,247,590 Microsoft Corp. 31,638,882 Athletic Footwear -- 0.4% 34,160 NIKE, Inc. - Class B 2,585,912 Beverages - Non-Alcoholic -- 0.6% 147,835 Coca-Cola Enterprises, Inc. 4,035,895 Brewery -- 3.1% 295,045 Anheuser-Busch InBev N.V.** 16,804,588 2,113,456 Anheuser-Busch InBev N.V. - VVPR Strip*,** 14,973 98,888 SABMiller PLC 3,501,464 20,321,025 Casino Hotels -- 0.7% 584,189 Crown, Ltd. 4,923,518 Casino Services -- 0.8% 319,540 International Game Technology 5,186,134 Chemicals - Diversified -- 2.7% 139,775 E.I. du Pont de Nemours & Co. 7,683,432 132,237 K+S A.G.** 9,981,671 17,665,103 Commercial Banks -- 0.7% 2,711,300 Mizuho Financial Group, Inc. 4,499,271 Commercial Services - Finance -- 1.0% 102,390 Verisk Analytics, Inc.* 3,354,297 165,855 Western Union Co. 3,444,808 6,799,105 Computer Services -- 2.4% 98,120 International Business Machines Corp.** 16,000,428 Computers -- 4.2% 79,280 Apple, Inc.*,** 27,625,116 Computers - Integrated Systems -- 1.1% 148,515 Terdata Corp.* 7,529,710 Cosmetics and Toiletries -- 1.1% 86,710 Colgate-Palmolive Co. 7,002,700 Dialysis Centers -- 0.7% 51,660 DaVita, Inc.* 4,417,447 Diversified Banking Institutions -- 3.7% 2,198,200 Citigroup, Inc. 9,716,044 152,830 JPMorgan Chase & Co. 7,045,463 290,065 Morgan Stanley 7,924,576 24,686,083 Diversified Operations -- 0.9% 140,285 Tyco International, Ltd. (U.S. Shares) 6,280,559 E-Commerce/Services -- 4.9% 886,535 eBay, Inc.*,** 27,518,046 21,675 Netflix, Inc.* 5,144,128 32,662,174 Electric Products - Miscellaneous -- 0.6% 71,885 Emerson Electric Co. 4,200,241 Electronic Components - Miscellaneous -- 1.2% 229,275 TE Connectivity, Ltd. (U.S. Shares) 7,983,355 Electronic Components - Semiconductors -- 0.9% 616,634 ON Semiconductor Corp.* 6,086,178 Electronic Connectors -- 1.1% 138,740 Amphenol Corp. - Class A 7,546,069 Enterprise Software/Services -- 1.8% 349,805 Oracle Corp. 11,672,993 Finance - Investment Bankers/Brokers -- 0.6% 214,735 Charles Schwab Corp. 3,871,672 Industrial Automation and Robotics -- 0.7% 28,800 Fanuc, Ltd. 4,360,173 Instruments - Controls -- 0.5% 102,047 Sensata Technologies Holding N.V.* 3,544,092 Investment Management and Advisory Services -- 1.3% 132,890 T. Rowe Price Group, Inc. 8,826,554 Life and Health Insurance -- 1.7% 107,685 AFLAC, Inc. 5,683,614 464,587 Prudential PLC** 5,264,833 10,948,447 Medical - Biomedical and Genetic -- 3.1% 266,716 Celgene Corp.*,** 15,344,171 101,714 Vertex Pharmaceuticals, Inc.* 4,875,152 20,219,323 Medical - Drugs -- 5.1% 269,760 Bristol-Myers Squibb Co. 7,129,757 203,460 Endo Pharmaceuticals Holdings, Inc.* 7,764,033 931,865 Pfizer, Inc. 18,926,178 33,819,968 Medical - Generic Drugs -- 0.8% 236,985 Mylan, Inc.* 5,372,450 Medical - HMO -- 1.3% 185,510 UnitedHealth Group, Inc. 8,385,052 Medical - Wholesale Drug Distributors -- 0.8% 139,755 AmerisourceBergen Corp. 5,528,708 Medical Products -- 2.3% 298,980 Covidien PLC (U.S. Shares) 15,529,021 Metal Processors and Fabricators -- 1.3% 56,670 Precision Castparts Corp. 8,340,691 Multimedia -- 1.5% 227,820 Walt Disney Co. 9,816,764 Networking Products -- 1.9% 751,177 Cisco Systems, Inc.** 12,882,686 Oil - Field Services -- 1.6% 207,825 Halliburton Co. 10,357,998 Oil Companies - Exploration and Production -- 8.0% 62,115 Apache Corp. 8,132,096 150,480 Canadian Natural Resources, Ltd. 7,438,226 76,845 EOG Resources, Inc. 9,106,901 235,030 Occidental Petroleum Corp.** 24,558,285 329,400 OGX Petroleo e Gas Participacoes S.A.* 3,966,364 53,201,872 Oil Companies - Integrated -- 1.4% 105,285 Hess Corp. 8,971,335 Pharmacy Services -- 2.6% 300,940 Medco Health Solutions, Inc.* 16,900,790 Pipelines -- 0.7% 115,420 Enterprise Products Partners L.P. 4,969,985 Retail - Apparel and Shoe -- 1.1% 223,220 Limited Brands, Inc. 7,339,474 Retail - Drug Store -- 1.3% 209,390 Walgreen Co. 8,404,915 Retail - Jewelry -- 0.9% 100,773 Compagnie Financiere Richemont S.A. 5,822,269 Retail - Major Department Stores -- 0.7% 98,330 Nordstrom, Inc. 4,413,050 Semiconductor Components/Integrated Circuits -- 0.9% 2,401,942 Taiwan Semiconductor Manufacturing Co., Ltd. 5,768,910 Steel - Producers -- 1.2% 170,240 Nucor Corp. 7,834,445 Telecommunication Equipment -- 0% 329 Nortel Networks Corp. (U.S. Shares)* 9 Television -- 2.2% 590,615 CBS Corp. - Class B 14,789,000 Tobacco -- 2.1% 207,110 Philip Morris International, Inc. 13,592,629 Toys -- 0.8% 199,680 Mattel, Inc. 4,978,022 Transportation - Railroad -- 1.4% 95,310 Union Pacific Corp. 9,371,832 Transportation - Services -- 1.8% 88,945 C.H. Robinson Worldwide, Inc. 6,593,493 105,855 Expeditors International of Washington, Inc. 5,307,570 11,901,063 Web Portals/Internet Service Providers -- 3.4% 38,255 Google, Inc. - Class A* 22,425,464 Wireless Equipment -- 3.3% 514,300 Crown Castle International Corp.* 21,883,465 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $500,276,875) 650,883,032 -------------------------------------------------------------------------------------------------------------------- Exchange - Traded Fund -- 0.6% Commodity -- 0.6% 28,730 SPDR Gold Trust (ETF)* (cost $3,994,888) 4,017,029 -------------------------------------------------------------------------------------------------------------------- Purchased Option - Call -- 0% 2,380 Microsoft Corp. expires January 2012 exercise price $27.50 (premiums paid $687,820) 274,198 -------------------------------------------------------------------------------------------------------------------- Money Market -- 0.9% 5,979,481 Janus Cash Liquidity Fund LLC, 0% (cost $5,979,481) 5,979,481 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $510,939,064) - 100% $ 661,153,740 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) --------------------------------------------------------------- % of Investment Country Value Securities Australia $ 4,923,518 0.8% Belgium 16,819,561 2.6% Brazil 3,966,364 0.6% Canada 7,438,235 1.1% Germany 9,981,671 1.5% Ireland 15,529,021 2.4% Japan 8,859,444 1.3% Netherlands 3,544,092 0.5% Switzerland 20,086,183 3.0% Taiwan 5,768,910 0.9% United Kingdom 8,766,297 1.3% United States++ 555,470,444 84.0% --------------------------------------------------------------- Total $ 661,153,740 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (83.1% excluding Cash Equivalents).
Forward Currency Contracts, Open -------------------------------------------------------------------------------------------------------------------- Unrealized Currency Currency Appreciation/ Counterparty/Currency Sold and Settlement Date Units Sold Value U.S. $ (Depreciation) Credit Suisse Securities (USA) LLC: British Pound 5/6/11 820,000 $1,314,750 $14,888 Euro 5/6/11 7,500,000 10,620,491 (250,691) -------------------------------------------------------------------------------------------------------------------- 11,935,241 (235,803) HSBC Securities (USA), Inc.: Euro 5/12/11 3,300,000 4,672,400 (3,181) JPMorgan Chase & Co.: British Pound 4/28/11 1,900,000 3,046,727 26,109 Euro 4/28/11 3,800,000 5,381,958 (178,901) -------------------------------------------------------------------------------------------------------------------- 8,428,685 (152,792) -------------------------------------------------------------------------------------------------------------------- Total $25,036,326 $(391,776)
Schedule of Written Options - Calls Value Apple, Inc. expires April 2011 92 contracts exercise price $375.00 $ (3,828) Celgene Corp. expires April 2011 300 contracts exercise price $57.50 (33,860) Halliburton Co. expires July 2011 350 contracts exercise price $50.00 (130,351) UnitedHealth Group, Inc. expires June 2011 400 contracts exercise price $45.00 (84,820) Total Written Options - Calls (premiums received $206,211) $ (252,859) Schedule of Written Options - Puts Value Microsoft Corp. expires January 2012 2,380 contracts exercise price $25.00 $ (525,966) Research In Motion, Ltd. expires June 2011 660 contracts exercise price $50.00 (92,118) Urban Outfitters, Inc. expires June 2011 1,000 contracts exercise price $35.00 (546,822) Total Written Options - Puts (premiums received $985,300) $ (1,164,906)
-------------------------------------------------------------------------------------------------------------------- Total Return Swaps Outstanding at March 31, 2011 -------------------------------------------------------------------------------------------------------------------- Notional Return Paid Return Received Termination Unrealized Counterparty Amount by the Fund by the Fund Date Appreciation -------------------------------------------------------------------------------------------------------------------- 72,100 EUR for every 72,100 EUR for every 1 dividend Dow Jones 1 dividend Dow Jones Euro STOXX 50 Index Euro STOXX 50 Index point decrease in point increase in Goldman Sachs the actual dividends the actual dividends International 7,902,160 EUR from the Fixed Strike from the Fixed Strike 12/28/2012 $1,225,982
Notes to Schedule of Investments (unaudited) ETF Exchange-Traded Fund PLC Public Limited Company U.S. Shares Securities of foreign companies trading on an American Stock Exchange. VVPR Strip The Voter Verified Paper Record (VVPR) strip is a coupon which, if presented along with the dividend coupon of the ordinary share, allows the benefit of a reduced withholding tax on the dividends paid by the company. This strip is quoted separately from the ordinary share and is freely negotiable. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. Effective May 12, 2011, Jonathan D. Coleman and Burton H. Wilson are co-portfolio managers of the Portfolio. The following is a summary of inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information.
Level 2 Level 3 Level 1 Other Significant Significant Valuation Inputs Summary (as of March 31, 2011) Quoted - Prices Observable Inputs Unobservable Inputs -------------------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Janus Portfolio Common Stock $ 650,883,032 $ -- $ -- Exchange-Traded Fund 4,017,029 -- -- Money Market -- 5,979,481 -- Total Investments in Securities $ 654,900,061 $ 5,979,481 $ -- Investments in Purchased Options: $ -- $ 274,198 $ -- Other Financial Instruments(a): $ -- $ (583,559) $ --
(a) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Janus Portfolio $ 108,345,688 Janus Aspen Overseas Portfolio Schedule of Investments (unaudited)
Shares or Contract Amounts Value -------------------------------------------------------------------------------------------------------------------- Common Stock -- 99.8% Agricultural Chemicals -- 2.4% 902,220 Potash Corporation of Saskatchewan, Inc. $ 53,237,683 103,410 Potash Corporation of Saskatchewan, Inc. (U.S. Shares) 6,093,951 59,331,634 Agricultural Operations -- 1.2% 46,586,847 Chaoda Modern Agriculture Holdings, Ltd. 28,928,490 Airlines -- 10.6% 6,845,717 Delta Air Lines, Inc.* 67,088,027 2,310,334 Deutsche Lufthansa A.G. 48,958,574 14,567,628 International Consolidated Airlines Group S.A.* 53,042,018 4,149,388 United Continental Holdings, Inc.*,** 95,394,430 264,483,049 Audio and Video Products -- 0.2% 131,900 Sony Corp.** 4,225,368 Automotive - Cars and Light Trucks -- 4.7% 7,794,474 Ford Motor Co.*,** 116,215,607 Building - Residential and Commercial -- 1.1% 3,467,000 MRV Engenharia e Participacoes S.A. 27,746,198 Casino Hotels -- 1.1% 3,195,914 Crown, Ltd. 26,935,016 Chemicals - Diversified -- 1.1% 348,334 K+S A.G. 26,293,363 Commercial Banks -- 9.5% 7,815,169 Anglo Irish Bank Corp., Ltd.*,#,*** 0 6,636,265 Banco Bilbao Vizcaya Argentaria S.A. 80,503,691 7,370,113 Commercial Bank of Ceylon PLC 17,749,171 4,292,400 Hatton National Bank PLC 14,778,581 29,276,400 Mizuho Financial Group, Inc.** 48,582,771 1,637,655 Punjab National Bank, Ltd. 44,538,780 486,890 State Bank of India, Ltd. 30,195,042 236,348,036 Distribution/Wholesale -- 8.4% 2,760,259 Adani Enterprises, Ltd. 41,261,508 32,938,970 Li & Fung, Ltd. 168,753,835 210,015,343 Diversified Banking Institutions -- 7.2% 6,695,645 Bank of America Corp.** 89,252,948 515,501 Deutsche Bank A.G. 30,303,178 493,097 Julius Baer Group, Ltd. 21,405,844 15,265,827 UniCredit SpA 37,725,447 178,687,417 Diversified Operations -- 1.3% 1,707,000 Aitken Spence & Co. PLC 2,510,158 22,233,465 Melco International Development, Ltd.* 15,149,501 302,885 Orascom Development Holding A.G.* 14,118,360 31,778,019 Diversified Operations - Commercial Services -- 1.4% 13,727,500 John Keells Holdings PLC 35,522,098 Electric - Integrated -- 1.0% 1,285,000 Centrais Eletricas Brasileiras S.A. 24,110,975 Electric Products - Miscellaneous -- 1.3% 350,543 LG Electronics, Inc. 33,561,608 Electronic Components - Semiconductors -- 2.1% 5,575,965 ARM Holdings PLC 51,427,240 Enterprise Software/Services -- 1.2% 1,190,120 Autonomy Corp. PLC 30,333,323 Finance - Investment Bankers/Brokers -- 2.7% 12,863,100 Nomura Holdings, Inc.** 67,285,335 Finance - Mortgage Loan Banker -- 0.7% 1,069,135 Housing Development Finance Corp. 16,812,681 Food - Catering -- 0% 5,684,000 FU JI Food & Catering Services Holdings, Ltd.*,#,*** 0 Food - Meat Products -- 0.5% 3,274,000 JBS S.A. 11,756,627 Hotels and Motels -- 2.4% 23,407,835 Shangri-La Asia, Ltd. 60,488,472 Life and Health Insurance -- 0.2% 1,324,985 MAX India, Ltd.* 4,746,947 Medical - Biomedical and Genetic -- 1.5% 647,990 Celgene Corp.* 37,278,865 Metal - Diversified -- 1.9% 1,721,734 Ivanhoe Mines, Ltd.* 47,235,769 Oil and Gas Drilling -- 0.4% 1,343,952 Karoon Gas Australia, Ltd.* 9,950,876 Oil Companies - Exploration and Production -- 2.5% 3,116,098 Cairn Energy PLC* 23,096,832 405,417 Niko Resources, Ltd. 38,901,961 61,998,793 Oil Companies - Integrated -- 2.0% 1,258,200 Petroleo Brasileiro S.A. (ADR)** 50,869,026 Oil Refining and Marketing -- 6.5% 5,114,549 Reliance Industries, Ltd. 120,333,558 1,347,780 Valero Energy Corp. 40,190,800 160,524,358 Property and Casualty Insurance -- 1.6% 3,104,013 Reliance Capital, Ltd. 40,594,420 Real Estate Management/Services -- 0% 37,000 Mitsubishi Estate Co., Ltd.** 626,010 Real Estate Operating/Development -- 8.1% 42,731,286 Ayala Land, Inc. 15,264,691 33,732,000 China Overseas Land & Investment, Ltd. 68,606,281 2,403,110 Cyrela Brazil Realty S.A. 22,795,602 970,360 Cyrela Commercial Properties S.A. Empreendimentos e Participacoes 8,265,215 12,938,000 Hang Lung Properties, Ltd. 56,636,913 5,510,620 PDG Realty S.A. Empreendimentos e Participacoes 30,931,601 202,500,303 Retail - Consumer Electronics -- 0.8% 294,110 Yamada Denki Co., Ltd.** 19,840,754 Retail - Miscellaneous/Diversified -- 1.2% 2,460,276 SM Investments Corp. 29,428,054 Semiconductor Components/Integrated Circuits -- 0% 1 Taiwan Semiconductor Manufacturing Co., Ltd. 2 Semiconductor Equipment -- 3.2% 1,825,059 ASML Holding N.V. 80,427,556 Steel - Producers -- 1.0% 376,578 ArcelorMittal 13,620,350 858,900 Tokyo Steel Manufacturing Co., Ltd.** 10,028,763 23,649,113 Sugar -- 2.8% 2,612,014 Bajaj Hindusthan, Ltd. 4,164,929 426,300 Bajaj Hindusthan, Ltd. (GDR) (144A) 679,650 1,570,503 Cosan S.A. Industria e Comercio 24,444,375 3,032,876 Cosan, Ltd. - Class A 39,124,101 68,413,055 Telecommunication Services -- 0.6% 226,665 Amdocs, Ltd. (U.S. Shares)* 6,539,285 3,915,909 Reliance Communications, Ltd. 9,453,860 15,993,145 Toys -- 1.4% 130,400 Nintendo Co., Ltd.** 35,234,343 Web Portals/Internet Service Providers -- 1.8% 2,967,055 Yahoo!, Inc.* 49,401,466 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $1,882,227,977) 2,480,998,754 -------------------------------------------------------------------------------------------------------------------- Purchased Options - Calls -- 0.2% 8,400 United States Oil Fund (ETF) expires October 2011 exercise price $48.00 1,977,230 8,400 United States Oil Fund (ETF) expires October 2011 exercise price $48.00 1,977,231 8,500 United States Oil Fund (ETF) expires October 2011 exercise price $48.00 2,000,769 -------------------------------------------------------------------------------------------------------------------- Total Purchased Options - Calls (premiums paid $5,541,476) 5,955,230 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $1,887,769,453) - 100% $ 2,486,953,984 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) --------------------------------------------------------------- % of Investment Country Value Securities --------------------------------------------------------------- Australia $ 36,885,892 1.5% Bermuda 268,366,408 10.8% Brazil 200,919,619 8.1% Canada 145,469,364 5.9% Cayman Islands 28,928,490 1.2% Germany 105,555,115 4.2% Guernsey 6,539,285 0.3% Hong Kong 140,392,695 5.6% India 312,781,375 12.6% Ireland 0 0.0% Italy 37,725,447 1.5% Japan 185,823,344 7.5% Luxembourg 13,620,350 0.5% Netherlands 80,427,556 3.2% Philippines 44,692,745 1.8% South Korea 33,561,608 1.4% Spain 133,545,709 5.4% Sri Lanka 70,560,008 2.8% Switzerland 35,524,204 1.4% Taiwan 2 0.0% United Kingdom 104,857,395 4.2% United States 500,777,373 20.1% --------------------------------------------------------------- Total $ 2,486,953,984 100.0% ---------------------------------------------------------------
Forward Currency Contracts, Open ---------------------------------------------------------------------------------------------------- Unrealized Counterparty/Currency Currency Currency Appreciation/ Sold and Settlement Date Units Sold Value U.S. $ (Depreciation) ---------------------------------------------------------------------------------------------------- Credit Suisse Securities (USA) LLC: Japanese Yen 5/6/11 6,800,000,000 $81,786,703 $1,450,747 ---------------------------------------------------------------------------------------------------- HSBC Securities (USA), Inc.: Japanese Yen 5/12/11 6,485,000,000 78,001,432 1,972,216 ---------------------------------------------------------------------------------------------------- JP Morgan Chase & Co.: Japanese Yen 4/28/11 6,941,000,000 83,478,085 (117,229) ---------------------------------------------------------------------------------------------------- RBC Capital Markets Corp.: Japanese Yen 4/7/11 3,800,000,000 45,695,900 893,853 ---------------------------------------------------------------------------------------------------- Total $288,962,120 $ 4,199,587
Total Return Swaps Outstanding at March 31, 2011
Counterparty Notional Return Paid by the Return Received Termination Unrealized Amount Portfolio by the Portfolio Date Appreciation/ (Depreciation) ------------------------------------------------------------------------------------------------------------ Goldman Sachs 5,234,920,864 1- month LIBOR plus 35 GSBLBank 11/24/11 $581,024 JPY basis points ------------------------------------------------------------------------------------------------------------ Morgan Stanley 4,894,888,695 1- month LIBOR plus 35 GSBLBank 11/29/11 (10,759,082) JPY basis points ------------------------------------------------------------------------------------------------------------ Morgan Stanley $28,054,823 1- month LIBOR plus 85 Sberbank 1/17/13 1,937,858 basis points ------------------------------------------------------------------------------------------------------------ UBS A.G. $29,321,230 1- month LIBOR plus 85 Sberbank 6/13/11 2,632,577 basis points ------------------------------------------------------------------------------------------------------------ Total $(5,607,623) ------------------------------------------------------------------------------------------------------------
Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt ETF Exchange-Traded Fund GDR Global Depositary Receipt LIBOR London Interbank Offered Rate PLC Public Limited Company U.S. Shares Securities of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. # Schedule of Fair Valued Securities (as of March 31, 2011) Value as a % of Investment Value Securities -------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio Anglo Irish Bank Corp., Ltd* $0 0.0% FU JI Food & Catering Services Holdings, Ltd.* 0 0.0% -------------------------------------------------------------------------------- $0 0.0% -------------------------------------------------------------------------------- Securities are valued at "fair value" pursuant to procedures adopted by the Portfolio's Trustees. The Schedule of Fair Valued Securities does not include international securities fair valued pursuant to a systematic fair valuation model. *** Schedule of Restricted and Illiquid Securities (as of March 31, 2011)
Value as a % Acquisition Acquisition of Investment Date Cost Value Securities ---------------------------------------------------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio Anglo Irish Bank Corp., Ltd.* 6/10/08 - 9/16/08 $ 50,155,817 $0 0.0% FUJI Food & Catering Services Holdings, Ltd.* 1/15/08 - 1/31/08 10,229,502 0 0.0% ---------------------------------------------------------------------------------------------------------------------------- $ 60,385,319 $0 0.0% ----------------------------------------------------------------------------------------------------------------------------
The Portfolio has registration rights for certain restricted securities held as of March 31, 2011. The issuer incurs all registration costs. 144A Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended March 31, 2011 is indicated in the table below: Value as a % of Investment Value Securities -------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio $ 679,650 0.0% -------------------------------------------------------------------------------- The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information.
Valuation Inputs Summary (as of March 31, 2011) Level 2 - Other Significant Level 3 - Significant Level 1 - Quoted Prices Observable Inputs(a) Observable Inputs ------------------------------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Overseas Portfolio Common Stock Commercial Banks $ 236,348,036 $ - $ - Food - Catering - - - Oil Companies - Integrated - 50,869,026 - Sugar 67,733,405 679,650 - All Other 2,125,368,637 - - Total Investments in Securities $2,429,450,078 $ 51,548,676 $ - ------------------------------------------------------------------------------------------------------------------------------- Investments in Purchased Options: $ - $ 5,955,230 $ - ------------------------------------------------------------------------------------------------------------------------------- Other Financial Instruments(b): $ - $(1,408,036) $ - -------------------------------------------------------------------------------------------------------------------------------
(a) Includes fair value factors. (b) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Level 3 Valuation Reconciliation of Assets (as of the fiscal period ended March 31, 2011)
Transfers Balance as Change in In of Unrealized and/or December Realized Appreciation/ Gross Gross Out of Balance as of 31, 2010 Gain/(Loss) (Depreciation) Purchases Sales Level 3 March 31, 2011 ------------------------------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Overseas Commercial Banks $- $- $- $- $- $- $- Food - Catering - - - - - - - -------------------------------------------------------------------------------------------------------------------------------
Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio $ 413,688,134 Janus Aspen Perkins Mid Cap Value Portfolio Schedule of Investments (unaudited)
Shares/Principal/Contract Amounts Value -------------------------------------------------------------------------------------------------------------------- Common Stock -- 95.1% Aerospace and Defense -- 0.8% 16,400 Rockwell Collins, Inc. $1,063,212 Apparel Manufacturers -- 0.5% 6,800 VF Corp. 670,004 Appliances -- 0.4% 6,300 Whirlpool Corp. 537,768 Applications Software -- 0.2% 13,000 Microsoft Corp. 329,680 Brewery -- 1.2% 35,400 Molson Coors Brewing Co. - Class B 1,659,906 Building - Residential and Commercial -- 1.1% 27,200 KB Home 338,368 13,100 Lennar Corp. - Class A 237,372 24,400 M.D.C. Holdings, Inc. 618,540 20,500 Ryland Group, Inc. 325,950 1,520,230 Casino Services -- 0.4% 14,900 Bally Technologies, Inc.* 563,965 Cellular Telecommunications -- 0.8% 36,800 Vodafone Group PLC 1,058,000 Chemicals - Diversified -- 0.5% 7,177 FMC Corp. 609,543 Chemicals - Specialty -- 0.5% 5,200 Lubrizol Corp. 696,592 Commercial Banks -- 1.5% 13,400 BB&T Corp. 367,830 2,784 First Republic Bank / San Francisco CA* 86,053 10,600 M&T Bank Corp. 937,782 40,000 TCF Financial Corp. 634,400 2,026,065 Commercial Services - Finance -- 2.0% 18,400 Global Payments, Inc. 900,128 84,800 Western Union Co. 1,761,296 2,661,424 Computer Services -- 0.6% 7,600 Accenture, Ltd. - Class A (U.S. Shares) 417,772 14,100 SRA International, Inc.* 399,876 817,648 Computers -- 0.3% 8,300 Hewlett-Packard Co. 340,051 Computers - Integrated Systems -- 0.9% 23,900 Diebold, Inc. 847,494 12,100 Jack Henry & Associates, Inc. 410,069 1,257,563 Computers - Memory Devices -- 0.3% 15,600 EMC Corp.* 414,180 Consumer Products - Miscellaneous -- 0.2% 3,200 Kimberly-Clark Corp. 208,864 Containers - Metal and Glass -- 0.5% 17,600 Ball Corp. 630,960 Containers - Paper and Plastic -- 0.8% 23,500 Packaging Corp. of America 678,915 16,300 Temple-Inland, Inc.** 381,420 1,060,335 Diagnostic Equipment -- 0.4% 25,216 Immucor, Inc.* 498,772 Diversified Operations -- 1.4% 10,700 Carlisle Cos., Inc. 476,685 32,200 Tyco International, Ltd. (U.S. Shares) 1,441,594 1,918,279 Electric - Integrated -- 1.8% 20,900 Constellation Energy Group, Inc. 650,617 12,900 Entergy Corp. 867,009 35,300 PPL Corp. 893,090 2,410,716 Electronic Components - Miscellaneous -- 0.7% 27,300 Garmin, Ltd. 924,378 Electronic Components - Semiconductors -- 2.2% 25,700 Intel Corp. 518,369 40,400 Intersil Corp. - Class A 502,980 43,400 QLogic Corp.* 805,070 19,300 Semtech Corp.* 482,886 17,800 Xilinx, Inc. 583,840 2,893,145 Electronic Connectors -- 0.3% 6,700 Thomas & Betts Corp.* 398,449 Electronic Forms -- 0.6% 22,400 Adobe Systems, Inc.* 742,784 Electronic Parts Distributors -- 0.8% 22,100 Tech Data Corp.* 1,124,006 Engineering - Research and Development Services -- 2.8% 22,600 Jacobs Engineering Group, Inc.* 1,162,318 24,700 KBR, Inc. 932,919 37,300 URS Corp.* 1,717,665 3,812,902 Fiduciary Banks -- 1.2% 36,800 State Street Corp. 1,653,792 Finance - Credit Card -- 1.4% 78,100 Discover Financial Services 1,883,772 Finance - Investment Bankers/Brokers -- 0.8% 10,300 Raymond James Financial, Inc. 393,872 30,300 TD Ameritrade Holding Corp. 632,361 1,026,233 Food - Baking -- 0.7% 35,300 Flowers Foods, Inc. 961,219 Food - Miscellaneous/Diversified -- 2.0% 48,200 ConAgra Foods, Inc. 1,144,750 6,000 General Mills, Inc. 219,300 4,900 Kellogg Co. 264,502 32,500 Unilever PLC (ADR) 995,150 2,623,702 Food - Retail -- 0.9% 48,800 Kroger Co. 1,169,736 Food - Wholesale/Distribution -- 0.4% 18,400 Sysco Corp. 509,680 Footwear and Related Apparel -- 0.2% 14,700 Skechers U.S.A., Inc. - Class A* 301,938 Gas - Distribution -- 0.4% 13,700 AGL Resources, Inc. 545,808 Gold Mining -- 1.4% 25,700 Eldorado Gold Corp. 417,882 30,100 Goldcorp, Inc. (U.S. Shares) 1,498,980 1,916,862 Instruments - Scientific -- 1.5% 33,600 PerkinElmer, Inc. 882,672 19,500 Thermo Fisher Scientific, Inc.* 1,083,225 1,965,897 Internet Security -- 0.8% 56,800 Symantec Corp.* 1,053,072 Intimate Apparel -- 0.5% 11,400 Warnaco Group, Inc.* 651,966 Investment Management and Advisory Services -- 1.4% 12,000 AllianceBernstein Holding L.P. 261,600 10,900 Ameriprise Financial, Inc. 665,772 35,700 INVESCO, Ltd. 912,492 1,839,864 Machinery - Farm -- 0.8% 11,700 Deere & Co. 1,133,613 Machinery - General Industrial -- 0.3% 11,650 Babcock & Wilcox Co.* 388,877 Medical - Biomedical and Genetic -- 1.8% 23,300 Charles River Laboratories International, Inc.* 894,254 23,000 Life Technologies Corp.* 1,205,660 17,500 Myriad Genetics, Inc.* 352,625 2,452,539 Medical - Drugs -- 1.2% 29,800 Forest Laboratories, Inc.* 962,540 13,100 Novartis A.G. 711,985 1,674,525 Medical - HMO -- 0.3% 13,200 Health Net, Inc.* 431,640 Medical - Wholesale Drug Distributors -- 0.4% 6,500 McKesson Corp. 513,825 Medical Instruments -- 1.0% 4,900 Beckman Coulter, Inc. 407,043 18,600 St. Jude Medical, Inc. 953,436 1,360,479 Medical Labs and Testing Services -- 1.4% 10,800 Covance, Inc.* 590,976 13,900 Laboratory Corp. of America Holdings* 1,280,607 1,871,583 Medical Products -- 2.0% 11,600 Becton, Dickinson and Co. 923,592 10,200 Covidien PLC (U.S. Shares) 529,788 20,000 Zimmer Holdings, Inc.* 1,210,600 2,663,980 Medical Sterilization Products -- 0.3% 10,300 STERIS Corp. 355,762 Metal - Aluminum -- 0.3% 19,200 Alcoa, Inc. 338,880 Metal - Copper -- 0.6% 15,600 Freeport-McMoRan Copper & Gold, Inc. - Class B 866,580 Metal Processors and Fabricators -- 0.4% 14,800 Kaydon Corp. 580,012 Multi-Line Insurance -- 1.8% 50,000 Allstate Corp. 1,589,000 64,500 Old Republic International Corp. 818,505 2,407,505 Multimedia -- 0.7% 21,500 Viacom, Inc. - Class B 1,000,180 Networking Products -- 0.7% 58,900 Cisco Systems, Inc. 1,010,135 Non-Hazardous Waste Disposal -- 1.0% 44,500 Republic Services, Inc. 1,336,780 Oil Companies - Exploration and Production -- 10.6% 12,800 Anadarko Petroleum Corp. 1,048,576 20,600 Bill Barrett Corp.* 822,146 17,500 Cabot Oil & Gas Corp. 926,975 24,100 Comstock Resources, Inc.* 745,654 10,600 Devon Energy Corp. 972,762 21,600 EQT Corp. 1,077,840 33,700 Forest Oil Corp.* 1,274,871 17,018 Noble Energy, Inc. 1,644,790 6,200 Occidental Petroleum Corp. 647,838 19,000 PetroHawk Energy Corp.* 466,260 21,700 Plains Exploration & Production Co.* 786,191 40,100 QEP Resources, Inc. 1,625,654 37,200 Southwestern Energy Co.* 1,598,484 12,000 Ultra Petroleum Corp. (U.S. Shares)* 591,000 14,229,041 Oil Companies - Integrated -- 0.5% 7,700 Hess Corp. 656,117 Oil Field Machinery and Equipment -- 0.2% 3,800 National Oilwell Varco, Inc. 301,226 Pharmacy Services -- 0.5% 23,100 Omnicare, Inc. 692,769 Pipelines -- 1.3% 12,600 Enterprise Products Partners L.P. 542,556 19,300 Plains All American Pipeline L.P. 1,229,989 1,772,545 Property and Casualty Insurance -- 1.3% 7,800 Chubb Corp. 478,218 20,727 HCC Insurance Holdings, Inc. 648,962 31,500 Progressive Corp. 665,595 1,792,775 Reinsurance -- 3.0% 8,150 Berkshire Hathaway, Inc. - Class B* 681,585 14,800 Everest Re Group, Ltd. 1,305,064 20,400 PartnerRe, Ltd. 1,616,496 6,500 Reinsurance Group of America, Inc. 408,070 4,011,215 REIT - Apartments -- 0.8% 3,724 Avalonbay Communities, Inc. 447,178 14,400 BRE Properties, Inc. - Class A 679,392 1,126,570 REIT - Diversified -- 1.8% 10,500 Liberty Property Trust 345,450 21,600 Potlatch Corp. 868,320 8,800 Rayonier, Inc. 548,328 26,630 Weyerhaeuser Co. 655,098 2,417,196 REIT - Health Care -- 0.2% 7,400 Nationwide Health Properties, Inc. 314,722 REIT - Mortgage -- 0.8% 17,600 Annaly Mortgage Management, Inc. 307,120 49,800 Redwood Trust, Inc. 774,390 1,081,510 REIT - Office Property -- 1.6% 7,300 Alexandria Real Estate Equities, Inc. 569,181 5,600 Boston Properties, Inc. 531,160 7,100 Corporate Office Properties 256,594 21,800 Mack-Cali Realty Corp. 739,020 2,095,955 REIT - Regional Malls -- 0.3% 8,800 Taubman Centers, Inc. 471,504 REIT - Storage -- 0.4% 4,985 Public Storage 552,886 REIT - Warehouse and Industrial -- 0.4% 14,800 AMB Property Corp. 532,356 Rental Auto/Equipment -- 0.5% 24,000 Aaron Rents, Inc. 608,640 Retail - Apparel and Shoe -- 1.9% 21,600 Aeropostale, Inc.* 525,312 52,200 American Eagle Outfitters, Inc. 829,458 53,400 Gap, Inc. 1,210,044 2,564,814 Retail - Consumer Electronics -- 0.5% 21,300 Best Buy Co., Inc. 611,736 Retail - Discount -- 1.2% 15,200 Big Lots, Inc.* 660,136 19,600 Wal-Mart Stores, Inc. 1,020,180 1,680,316 Retail - Drug Store -- 1.1% 28,827 CVS Caremark Corp. 989,343 13,300 Walgreen Co. 533,862 1,523,205 Retail - Major Department Stores -- 0.3% 10,100 JC Penney Co., Inc. 362,691 Retail - Office Supplies -- 0.7% 46,200 Staples, Inc. 897,204 Retail - Regional Department Stores -- 1.0% 25,300 Kohl's Corp. 1,341,912 Savings/Loan/Thrifts -- 2.5% 98,100 First Niagara Financial Group, Inc. 1,332,198 85,600 People's United Financial, Inc. 1,076,848 55,217 Washington Federal, Inc. 957,463 3,366,509 Semiconductor Equipment -- 0.6% 55,400 Applied Materials, Inc. 865,348 Soap and Cleaning Preparations -- 0.5% 8,200 Church & Dwight Co., Inc. 650,588 Super-Regional Banks -- 1.7% 32,700 Fifth Third Bancorp. 453,876 13,500 PNC Financial Services Group, Inc. 850,365 34,600 SunTrust Banks, Inc. 997,864 2,302,105 Telephone - Integrated -- 1.0% 33,000 CenturyLink, Inc. 1,371,150 Textile-Home Furnishings -- 0.6% 13,500 Mohawk Industries, Inc.* 825,525 Tools - Hand Held -- 0.5% 10,700 Snap-On, Inc. 642,642 Toys -- 0.3% 13,800 Mattel, Inc. 344,034 Transportation - Marine -- 0.7% 15,800 Kirby Corp.* 905,182 Transportation - Railroad -- 1.2% 18,000 Kansas City Southern* 980,100 6,300 Union Pacific Corp. 619,479 1,599,579 Transportation - Truck -- 0.4% 12,300 J.B. Hunt Transport Services, Inc. 558,666 Wireless Equipment -- 0.4% 9,400 QUALCOMM, Inc. 515,402 X-Ray Equipment -- 0.7% 41,000 Hologic, Inc.* 910,200 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $100,411,010) 127,835,692 -------------------------------------------------------------------------------------------------------------------- Purchased Options - Puts -- 0.2 % 104 iShares Russell 2000(R) Index** expires April 2011 exercise price $76.00 1,065 150 iShares Russell 2000(R) Index** expires April 2011 exercise price $77.00 2,125 100 iShares Russell 2000(R) Index** expires May 2011 exercise price $76.00 7,427 262 iShares Russell 2000(R) Index** expires May 2011 exercise price $77.00 22,805 100 iShares Russell 2000(R) Index** expires May 2011 exercise price $79.00 11,956 100 iShares Russell 2000(R) Index** expires June 2011 exercise price $78.00 16,597 100 iShares Russell 2000(R) Index** expires June 2011 exercise price $79.00 18,709 150 iShares Russell 2000(R) Index** expires June 2011 exercise price $80.00 35,761 100 iShares Russell 2000(R) Index** expires June 2011 exercise price $81.00 26,641 300 iShares Russell 2000(R) Index** expires June 2011 exercise price $81.00 71,308 100 iShares Russell 2000(R) Index** expires July 2011 exercise price $78.00 23,474 100 iShares Russell 2000(R) Index** expires July 2011 exercise price $78.00 26,196 -------------------------------------------------------------------------------------------------------------------- Total Purchased Options - Puts (premiums paid $688,673) 264,064 -------------------------------------------------------------------------------------------------------------------- Repurchase Agreements -- 4.7 % $ 6,370,000 ING Financial Markets LLC, 0.1000% dated 3/31/11, maturing 4/1/11 to be repurchased at $6,370,018 collateralized by $6,501,394 in U.S. Treasuries 0.0000%, 4/7/11 - 2/9/12 with a value of $6,497,539 (cost $6,370,000) 6,370,000 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $107,469,683) - 100% $134,469,756 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) % of Investment Country Value Securities --------------------------------------------------------------- Bermuda $3,834,052 2.9% Canada 2,507,862 1.9% Ireland 947,560 0.7% Switzerland 3,077,957 2.3% United Kingdom 2,053,150 1.5% United States++ 122,049,175 90.7% --------------------------------------------------------------- Total $ 134,469,756 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (86.0% excluding Cash Equivalents) Schedule of Written Options - Puts -------------------------------------------------------------------------------- iShares Russell 2000(R) Index expires April 2011 52 contracts $(44) exercise price $68.00 iShares Russell 2000(R) Index expires April 2011 75 contracts exercise price $69.00 (86) iShares Russell 2000(R) Index expires May 2011 50 contracts exercise price $67.00 (900) iShares Russell 2000(R) Index expires May 2011 131 contracts exercise price $69.00 (3,226) iShares Russell 2000(R) Index expires May 2011 50 contracts exercise price $71.00 (1,685) iShares Russell 2000(R) Index expires June 2011 50 contracts exercise price $70.00 (3,197) iShares Russell 2000(R) Index expires June 2011 50 contracts exercise price $71.00 (3,600) iShares Russell 2000(R) Index expires June 2011 75 contracts exercise price $72.00 (7,296) iShares Russell 2000(R) Index expires June 2011 150 contracts exercise price $72.00 (12,162) iShares Russell 2000(R) Index expires June 2011 50 contracts exercise price $73.00 (5,443) iShares Russell 2000(R) Index expires July 2011 50 contracts exercise price $70.00 (5,005) iShares Russell 2000(R) Index expires July 2011 50 contracts exercise price $70.00 (5,898) -------------------------------------------------------------------------------- Total Schedule of Written Options - Puts (premiums received $149,421) $(48,542) Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt PLC Public Limited Company REIT Real Estate Investment Trust U.S. Shares Securities of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates.
----------------------------------------------------------------------------------------------------------------------- The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Principles for more information. ----------------------------------------------------------------------------------------------------------------------- Valuation Inputs Summary (as of March 31, 2011) ----------------------------------------------------------------------------------------------------------------------- Level 1 - Quoted Prices Level 2 - Other Level 3 - Significant Significant Observable Inputs Unobservable Inputs ----------------------------------------------------------------------------------------------------------------------- Investments in Securities: ----------------------------------------------------------------------------------------------------------------------- Janus Aspen Perkins Mid Cap Value Portfolio ----------------------------------------------------------------------------------------------------------------------- Common Stock ----------------------------------------------------------------------------------------------------------------------- Cellular Telecommunications $- $1,058,000 $ - ----------------------------------------------------------------------------------------------------------------------- Food-Miscellaneous/Diversified 1,628,552 995,150 - ----------------------------------------------------------------------------------------------------------------------- Medical-Drugs 962,540 711,985 - ----------------------------------------------------------------------------------------------------------------------- All Other 122,479,465 - - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- Repurchase Agreement - 6,370,000 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- Total Investments in Securities $125,070,557 $9,135,135 $ - ----------------------------------------------------------------------------------------------------------------------- Investments in Purchased Options $- $264,064 $ - ----------------------------------------------------------------------------------------------------------------------- Other Financial Instruments(a) $- $(48,542) $ - -----------------------------------------------------------------------------------------------------------------------
(a) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Perkins Mid Cap Value Portfolio $ 129,122 Janus Aspen Worldwide Portfolio Schedule of Investments (unaudited)
Shares or Principal Amount Value -------------------------------------------------------------------------------------------------------------------- Common Stock -- 95.3% Aerospace and Defense -- 1.0% 108,090 General Dynamics Corp. $ 8,275,370 Agricultural Chemicals -- 5.4% 198,407 Monsanto Co. 14,336,890 106,995 Mosaic Co. 8,425,856 376,077 Potash Corporation of Saskatchewan, Inc. (U.S. Shares) 22,162,218 44,924,964 Agricultural Operations -- 0.6% 8,132,810 Chaoda Modern Agriculture Holdings, Ltd. 5,050,136 Automotive - Cars and Light Trucks -- 0.7% 420,685 Ford Motor Co.* 6,272,413 Bicycle Manufacturing -- 0.7% 124,300 Shimano, Inc.** 6,210,516 Building - Residential and Commercial -- 2.5% 27,880 NVR, Inc.* 21,077,280 Cable Television -- 0.9% 7,552 Jupiter Telecommunications Co., Ltd.** 7,419,413 Commercial Banks -- 5.7% 2,168,451 Banco Bilbao Vizcaya Argentaria S.A. 26,305,205 6,301,389 Lloyds Banking Group PLC* 5,871,418 600,217 Standard Chartered PLC 15,567,671 47,744,294 Commercial Services -- 1.8% 609,561 Aggreko PLC 15,409,151 Computer Aided Design -- 1.0% 155,171 ANSYS, Inc.* 8,408,717 Computers -- 1.0% 24,125 Apple, Inc.* 8,406,356 Computers - Integrated Systems -- 0.5% 81,365 Terdata Corp.* 4,125,206 Computers - Memory Devices -- 0.5% 154,000 EMC Corp.* 4,088,700 Cosmetics and Toiletries -- 0.7% 76,830 Colgate-Palmolive Co. 6,204,791 Distribution/Wholesale -- 2.2% 3,663,450 Li & Fung, Ltd. 18,768,688 Diversified Banking Institutions -- 6.8% 2,764,755 Citigroup, Inc. 12,220,217 142,579 Deutsche Bank A.G. 8,381,355 364,940 JPMorgan Chase & Co. 16,823,734 300,770 Morgan Stanley 8,217,036 179,390 Societe Generale - Class A 11,654,809 57,297,151 Diversified Minerals -- 1.1% 192,361 BHP Billiton, Ltd. 9,261,782 Diversified Operations -- 1.3% 1,415,065 China Merchants Holdings International Co., Ltd. 5,976,227 597,400 Investimentos Itau S.A. 4,685,777 10,662,004 Educational Software -- 3.2% 475,021 Blackboard, Inc.* 17,214,761 1,039,241 Educomp Solutions, Ltd. 9,774,785 26,989,546 Electric - Distribution -- 0.3% 287,529 Equatorial Energia S.A. 2,239,410 Electric - Integrated -- 1.0% 250,781 Fortum Oyj 8,514,301 Electronic Components - Miscellaneous -- 1.0% 242,550 TE Connectivity, Ltd. (U.S. Shares) 8,445,591 Electronic Measuring Instruments -- 1.6% 50,800 Keyence Corp.** 13,005,435 Enterprise Software/Services -- 1.1% 160,912 Autonomy Corp. PLC* 4,101,263 140,318 Temenos Group A.G.* 5,318,086 9,419,349 Finance - Investment Bankers/Brokers -- 2.2% 3,486,600 Nomura Holdings, Inc.** 18,237,987 Finance - Mortgage Loan Banker -- 0.9% 473,115 Housing Development Finance Corp. 7,439,970 Finance - Other Services -- 0.6% 680,717 IG Group Holdings PLC 4,985,490 Food - Wholesale/Distribution -- 1.5% 5,465,375 Olam International, Ltd. 12,143,350 Gold Mining -- 0.8% 129,331 Newmont Mining Corp. 7,058,886 Hotels and Motels -- 0.7% 2,126,000 Shangri-La Asia, Ltd. 5,493,823 Independent Power Producer -- 1.6% 618,180 NRG Energy, Inc.* 13,315,597 Investment Management and Advisory Services -- 0.4% 766,199 GP Investments, Ltd. (BDR)* 2,981,410 Life and Health Insurance -- 2.7% 4,217,600 AIA Group, Ltd.* 12,986,324 832,391 Prudential PLC 9,432,892 22,419,216 Medical - Biomedical and Genetic -- 3.6% 380,708 Celgene Corp.*,** 21,902,131 175,875 Vertex Pharmaceuticals, Inc.* 8,429,689 30,331,820 Medical - Drugs -- 1.6% 548,183 GlaxoSmithKline PLC 10,459,125 168,500 Mitsubishi Tanabe Pharma Corp.** 2,735,390 13,194,515 Medical - Generic Drugs -- 0.7% 258,393 Mylan, Inc.* 5,857,769 Medical - HMO -- 1.3% 161,225 Humana, Inc.* 11,276,077 Medical Instruments -- 1.0% 161,551 St. Jude Medical, Inc. 8,281,104 Networking Products -- 1.6% 797,570 Cisco Systems, Inc. 13,678,326 Oil - Field Services -- 2.1% 241,110 Baker Hughes, Inc. 17,704,707 Oil Companies - Exploration and Production -- 1.6% 125,580 Occidental Petroleum Corp. 13,121,854 Oil Companies - Integrated -- 6.4% 397,150 BG Group PLC 9,880,336 444,840 Petroleo Brasileiro S.A. (ADR) 17,984,881 104,920 Petroleo Brasileiro S.A. (U.S. Shares) 3,728,857 365,552 Total S.A. 22,250,023 53,844,097 Oil Field Machinery and Equipment -- 0.8% 121,210 Dresser-Rand Group, Inc.* 6,499,280 Pharmacy Services -- 1.1% 168,712 Medco Health Solutions, Inc.* 9,474,866 Pipelines -- 2.3% 430,565 Energy Transfer Equity L.P. 19,375,425 Printing - Commercial -- 1.1% 183,120 VistaPrint N.V. (U.S. Shares)* 9,503,928 Real Estate Operating/Development -- 1.1% 2,103,565 Hang Lung Properties, Ltd. 9,208,489 Retail - Consumer Electronics -- 1.4% 171,660 Yamada Denki Co., Ltd.** 11,580,238 Retail - Drug Store -- 0.5% 105,000 Walgreen Co. 4,214,700 Retail - Major Department Stores -- 1.0% 193,470 Nordstrom, Inc. 8,682,934 Rubber/Plastic Products -- 1.3% 2,647,740 Jain Irrigation Systems, Ltd. 10,623,025 Schools -- 1.2% 480,010 Estacio Participacoes S.A. 7,794,758 3,455,391 Raffles Education Corp., Ltd. 2,138,712 9,933,470 Semiconductor Equipment -- 0.8% 146,101 ASML Holding N.V. 6,438,447 Telecommunication Services -- 1.5% 424,905 Amdocs, Ltd. (U.S. Shares)* 12,258,509 Telephone - Integrated -- 1.1% 356,143 Telefonica S.A. 8,914,677 Tobacco -- 2.8% 155,745 British American Tobacco PLC 6,250,385 4,701 Japan Tobacco, Inc.** 16,987,139 23,237,524 Toys -- 0.4% 11,800 Nintendo Co., Ltd.** 3,188,384 Transportation - Railroad -- 0.5% 77,305 Kansas City Southern* 4,209,257 Transportation - Services -- 1.5% 113,505 C.H. Robinson Worldwide, Inc. 8,414,126 29,247 Kuehne + Nagel International A.G. 4,093,051 12,507,177 Wireless Equipment -- 1.0% 94,988 Crown Castle International Corp.* 4,041,739 108,770 SBA Communications Corp. - Class A* 4,315,994 8,357,733 -------------------------------------------------------------------------------------------------------------------- Total Common Stock (cost $705,099,828) 797,794,625 -------------------------------------------------------------------------------------------------------------------- Corporate Bond -- 1.0% Enterprise Software/Services -- 1.0% $ 4,850,000 Autonomy Corp. PLC, 3.2500%, 3/4/15 (cost $7,674,009) 8,650,712 -------------------------------------------------------------------------------------------------------------------- Warrant -- 1.3% Diversified Financial Services -- 1.3% 651,747 JPMorgan Chase & Co., 10/28/18 (cost $7,006,280) 10,936,315 -------------------------------------------------------------------------------------------------------------------- Money Market -- 2.4% 20,202,843 Janus Cash Liquidity Fund LLC, 0% (cost $20,202,843) 20,202,843 -------------------------------------------------------------------------------------------------------------------- Total Investments (total cost $739,982,960) - 100% $837,584,495 --------------------------------------------------------------------------------------------------------------------
Summary of Investments by Country - (Long Positions) March 31, 2011 (unaudited) % of Investment Country Value Securities --------------------------------------------------------------- Australia $ 9,261,782 1.1% Bermuda 27,243,921 3.3% Brazil 36,433,683 4.4% Canada 22,162,218 2.6% Cayman Islands 5,050,136 0.6% Finland 8,514,301 1.0% France 33,904,832 4.0% Germany 8,381,355 1.0% Guernsey 12,258,509 1.5% Hong Kong 28,171,040 3.4% India 27,837,780 3.3% Japan 79,364,502 9.5% Netherlands 15,942,375 1.9% Singapore 14,282,062 1.7% Spain 35,219,882 4.2% Switzerland 17,856,728 2.1% United Kingdom 90,608,443 10.8% United States++ 365,090,946 43.6% --------------------------------------------------------------- Total $ 837,584,495 100.0% --------------------------------------------------------------- ++ Includes Cash Equivalents (41.2% excluding Cash Equivalents). Forward Currency Contracts, Open Counterparty/Currency Unrealized Sold andSettlement Currency Currency Appreciation/ Date Units Sold Value U.S. $ (Depreciation) -------------------------------------------------------------------------------- Credit Suisse Securities (USA) LLC: Japanese Yen 5/6/11 1,727,000,000 $20,771,417 $ 332,538 -------------------------------------------------------------------------------- HSBC Securities (USA), Inc.: Japanese Yen 5/12/11 1,719,000,000 20,676,093 497,509 -------------------------------------------------------------------------------- JP Morgan Chase & Co.: Japanese Yen 4/28/11 1,094,000,000 13,157,330 (18,477) -------------------------------------------------------------------------------- RBC Capital Markets Corp.: Japanese Yen 4/7/11 639,000,000 7,684,126 92,232 -------------------------------------------------------------------------------- Total $62,288,966 $ 903,802 Notes to Schedule of Investments (unaudited) ADR American Depositary Receipt BDR Brazilian Depositary Receipt PLC Public Limited Company U.S. Shares Securities of foreign companies trading on an American Stock Exchange. * Non-income producing security. ** A portion of this security has been segregated by the custodian to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates. The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other financial instruments as of March 31, 2011. See Significant Accounting Policies for more information. Valuation Inputs Summary (as of March 31, 2011)
Level 1 - Quoted Level 2 - Other Level 3 - Prices Significant Significant Observable Inputs Unobservable Inputs ------------------------------------------------------------------------------------------------------- Investments in Securities: Janus Aspen Worldwide Portfolio Common Stock Investment Management and Advisory Services $ - $ 2,981,410 $ - Oil Companies - Integrated 32,130,359 21,713,738 - All Other 740,969,118 - - Corporate Bond - 8,650,712 - Warrant - 10,936,315 - Money Market - 20,202,843 - Total Investments in Securities $773,099,477 $64,485,018 - ------------------------------------------------------------------------------------------------------- Other Financial Instruments(a): Janus Aspen Worldwide Portfolio $ - $ 903,802 $ - -------------------------------------------------------------------------------------------------------
(a) Other financial instruments include futures, forward currency, written option, and swap contracts. Forward currency contracts and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options are reported at their market value at measurement date. Aggregate collateral segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates as of March 31, 2011 is noted below. Portfolio Aggregate Value -------------------------------------------------------------------------------- Janus Aspen Worldwide Portfolio $ 87,994,002 SIGNIFICANT ACCOUNTING POLICIES The following section describes the organization and significant accounting policies and provides more detailed information about the schedules and tables that appear throughout the Schedules of Investments for Janus Aspen Balanced Portfolio, Janus Aspen Enterprise Portfolio, Janus Aspen Flexible Bond Portfolio, Janus Aspen Forty Portfolio, Janus Aspen Global Technology Portfolio, Janus Aspen Janus Portfolio, Janus Aspen Overseas Portfolio, Janus Aspen Perkins Mid Cap Value Portfolio and Janus Aspen Worldwide Portfolio (collectively, the "Portfolios" and individually, the "Portfolio"). The Portfolios are part of Janus Aspen Series (the "Trust"), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust includes ten portfolios which include multiple series of shares, with differing investment objectives and policies. Each Portfolio in this report is classified as diversified, as defined in the 1940 Act except for Janus Aspen Forty Portfolio, which is classified as nondiversified. The Portfolios are no-load investments. The following accounting policies have been followed by the Portfolios and are in conformity with accounting principles generally accepted in the United States of America within the investment management industry. INVESTMENT VALUATION Securities are valued at the last sales price or the official closing price for securities traded on a principal securities exchange (U.S. or foreign) and on the NASDAQ National Market. Securities traded on over-the-counter ("OTC") markets and listed securities for which no sales are reported are 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 Portfolios' Trustees. Short-term securities with maturities of 60 days or less may be valued at amortized cost, which approximates market value. Debt securities with a remaining maturity of greater than 60 days are valued in accordance with the evaluated bid price supplied by the pricing service. The evaluated bid price supplied by the pricing service is an evaluation that reflects such factors as security prices, yields, maturities and ratings. Short positions shall be valued in accordance with the same methodologies, except that in the event that a last sale price is not available, the latest ask price shall be used instead of a bid price. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect as of the daily close of the New York Stock Exchange ("NYSE"). When market quotations are not readily available or deemed unreliable, or events or circumstances that may affect the value of portfolio securities held by the Portfolios are identified between the closing of their principal markets and the time the net asset value ("NAV") is determined, securities may be valued at fair value as determined in good faith under procedures established by and under the supervision of the Portfolios' Trustees. 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 non-valued security and a restricted or non-public security. The Portfolios may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. Restricted and illiquid securities are valued in accordance with procedures established by the Portfolios' Trustees. Foreign Currency Translations The Portfolios do 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 March 31, 2011. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at March 31, 2011, resulting from changes in the exchange rates and changes in market prices of securities held. Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, political and economic risk, regulatory risk and equity risk. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar. Derivative Instruments The Portfolios may invest in various types of derivatives which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolios may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, swaps, forward contracts, structured investments, and other equity-linked derivatives. The Portfolios may use derivative instruments for hedging (to offset risks associated with an investment, currency exposure, or market conditions) or for speculative (to seek to enhance returns) purposes. When the Portfolios invest in a derivative for speculative purposes, the Portfolios will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the cost of the derivative. The Portfolios may not use any derivative to gain exposure to an asset or class of assets prohibited by their investment restrictions from purchasing directly. The Portfolios' ability to use derivative instruments may also be limited by tax considerations. Investments in derivatives are generally subject to equity risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result, the use of derivatives may expose the Portfolios to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks, including, but not limited to, counterparty risk, credit risk, currency risk, equity risk, index risk, interest rate risk, leverage risk, and liquidity risk. Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC, such as structured notes, are agreements that are individually negotiated between parties and can be tailored to meet a purchaser's needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk. In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolios may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolios may require the counterparty to post collateral if the Portfolios have a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading. In pursuit of their investment objectives, each Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors: o Counterparty Risk - Counterparty risk is the risk that the counterparty or a third party will not fulfill its obligation to a Portfolio. o Credit Risk - Credit risk is the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations. o Currency Risk - Currency risk is the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. o Equity Risk - Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. o Index Risk - If the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, a Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index. o Interest Rate Risk - Interest rate risk is the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause a Portfolio's NAV to likewise decrease, and vice versa. o Leverage Risk - Leverage risk is the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. A Portfolio creates leverage by using borrowed capital to increase the amount invested, or investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies that involve leverage can result in losses that greatly exceed the amount originally invested. o Liquidity Risk - Liquidity risk is the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth. Forward Foreign Currency Exchange Contracts A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The Portfolios may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolios may also invest in forward currency contracts for nonhedging purposes such as seeking to enhance returns. The Portfolios are subject to currency risk in the normal course of pursuing their investment objectives through their investments in forward currency contracts. Forward currency contracts held by the Portfolios are fully collateralized by other securities, which are denoted on the Schedules of Investments (if applicable). The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts. Such collateral is in the possession of the Portfolios' custodian. Options Contracts An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Portfolios may purchase or write covered and uncovered put and call options on futures contracts and on portfolio securities for hedging purposes or as a substitute for an investment. The Portfolios are subject to interest rate risk, liquidity risk, equity risk, and currency risk in the normal course of pursuing their investment objectives through their investments in options contracts. The Portfolios may use options contracts to hedge against changes in interest rates, the values of equities, or foreign currencies. The Portfolios may utilize American-style and European-style options. An American-style option is an option contract that can be exercised at any time between the time of purchase and the option's expiration date. A European-style option is an option contract that can only be exercised on the option's expiration date. The Portfolios may also purchase or write put and call options on foreign currencies in a manner similar to that in which futures or forward contracts on foreign currencies will be utilized. The Portfolios may also invest in long-term equity anticipation securities, which are long-term option contracts that can be maintained for a period of up to three years. The Portfolios generally invest in options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Portfolios receive a premium and become obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. In writing an option, the Portfolios bear the risk of an unfavorable change in the price of the security underlying the written option. Exercise of an option written by the Portfolios could result in the Portfolios buying or selling a security at a price different from the current market value. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option are adjusted by the amount of premium received or paid. The Portfolios may also purchase and write exchange-listed and OTC put and call options on domestic securities indices, and on foreign securities indices listed on domestic and foreign securities exchanges. Options on securities indices are similar to options on securities except that (1) the expiration cycles of securities index options are monthly, while those of securities options are currently quarterly, and (2) the delivery requirements are different. Instead of giving the right to take or make delivery of securities at a specified price, an option on a securities index gives the holder the right to receive a cash "exercise settlement amount" equal to (a) the amount, if any, by which the fixed exercise price of the option exceeds (in the case of a put) or is less than (in the case of a call) the closing value of the underlying index on the date of exercise, multiplied by (b) a fixed index multiplier. Receipt of this cash amount will depend upon the closing level of the securities index upon which the option is based being greater than, in the case of a call, or less than, in the case of a put, the exercise price of the index and the exercise price of the option times a specified multiple. The writer of the option is obligated, in return for the premium received, to make delivery of this amount. Options traded on an exchange are regulated and the terms of the options are standardized. Options traded OTC expose the Portfolios to counterparty risk in the event that the counterparty does not perform. This risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by having the counterparty post collateral to cover the Portfolios' exposure to the counterparty. Holdings of the Portfolios designated to cover outstanding written options are noted on the Schedules of Investments (if applicable). The risk in writing call options is that the Portfolios give up the opportunity for profit if the market price of the security increases and the options are exercised. The risk in writing put options is that the Portfolios may incur a loss if the market price of the security decreases and the options are exercised. The risk in buying options is that the Portfolios pay a premium whether or not the options are exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. A lack of correlation between the value of an instrument underlying an option and the asset being hedged, or unexpected adverse price movements, could render the Portfolios' hedging strategy unsuccessful. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased or sold. There is no limit to the loss the Portfolios may recognize due to written call options. Written option activity for the period ended March 31, 2011 is indicated in the tables below: Number of Premiums Call Options Contracts Received -------------------------------------------------------------------------- Janus Aspen Forty Portfolio Options outstanding at December 31, 2010 4,085 $1,239,800 Options written - - Options closed - - Options expired (3,672) (584,658) Options exercised (413) (655,142) -------------------------------------------------------------------------- Options outstanding at March 31, 2011 - $ - -------------------------------------------------------------------------- Number of Premiums Put Options Contracts Received -------------------------------------------------------------------------- Janus Aspen Forty Portfolio Options outstanding at December 31, 2010 4,085 $ 962,349 Options written 5,000 696,000 Options closed - - Options expired (4,085) (962,349) Options exercised - - -------------------------------------------------------------------------- Options outstanding at March 31, 2011 5,000 $ 696,000 -------------------------------------------------------------------------- Number of Premiums Call Options Contracts Received -------------------------------------------------------------------------- Janus Aspen Janus Portfolio Options outstanding at December 31, 2010 6,505 $ 585,842 Options written 1,522 237,370 Options closed (6,196) (469,896) Options expired - - Options exercised (689) (147,105) -------------------------------------------------------------------------- Options outstanding at March 31, 2011 1,142 $ 206,211 -------------------------------------------------------------------------- Number of Premiums Put Options Contracts Received -------------------------------------------------------------------------- Janus Aspen Janus Portfolio Options outstanding at December 31, 2010 5,005 $1,190,913 Options written 1,000 162,000 Options closed (1,820) (304,579) Options expired - - Options exercised (145) (63,034) -------------------------------------------------------------------------- Options outstanding at March 31, 2011 4,040 $ 985,300 -------------------------------------------------------------------------- Number of Premiums Put Options Contracts Received -------------------------------------------------------------------------- Janus Aspen Perkins Mid Cap Value Portfolio Options outstanding at December 31, 2010 923 $ 157,882 Options written 752 130,039 Options closed (50) (9,100) Options expired (792) (129,400) Options exercised - - -------------------------------------------------------------------------- Options outstanding at March 31, 2011 833 $149,421 -------------------------------------------------------------------------- Swaps A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The Portfolios may utilize swap agreements as a means to gain exposure to certain common stocks and/or to "hedge" or protect their portfolios from adverse movements in securities prices or interest rates. The Portfolios are subject to equity risk and interest rate risk in the normal course of pursuing their investment objectives through investments in swap contracts. Swap agreements entail the risk that a party will default on its payment obligation to a Portfolio. If the other party to a swap defaults, a Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. If a Portfolio utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Portfolio and reduce the Portfolio's total return. Dividend swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive the changes in a dividend index point. The Portfolios gain exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Portfolio took a long position on a dividend index swap, the Portfolio would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value. Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. The Portfolios' maximum risk of loss for total return swaps from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract's remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by the posting of collateral to the Portfolios to cover the Portfolios' exposure to the counterparty. In accordance with Financial Accounting Standards Board ("FASB") guidance, the Portfolios adopted the provisions for "Derivatives and Hedging," which require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. Additional Investment Risk The Portfolios, particularly Janus Aspen Flexible Bond Portfolio, may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes or adverse developments specific to the issuer. Unforeseen events in both domestic and international equity and fixed-income markets have resulted, and may continue to result in an unusually high degree of volatility in the markets, with issuers that have exposure to the real estate, mortgage, and credit markets particularly affected. These events and the resulting market upheavals may have an adverse effect on the Portfolios such as a decline in the value and liquidity of many securities held by the Portfolios, unusually high and unanticipated levels of redemptions, an increase in portfolio turnover, a decrease in NAV, and an increase in Portfolio expenses. Such unforeseen events may make it unusually difficult to identify both investment risks and opportunities and could limit or preclude each Portfolio's ability to achieve its investment objective. The market's behavior may at times be unpredictable. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money. Further, the instability experienced in the financial markets has resulted in the U.S. Government and various other governmental and regulatory entities taking actions to address the financial crisis. These actions include, but are not limited to, the enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act") in July 2010 which is expected to dramatically change the way in which the U.S. financial system is supervised and regulated. More specifically, the Dodd-Frank Act provides for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expands federal oversight in the financial sector and may affect the investment management industry as a whole. Given the broad scope, sweeping nature, and the fact that many provisions of the Dodd-Frank Act must be implemented through future rulemaking, the ultimate impact of the Dodd-Frank Act, and any resulting regulation, is not yet certain. As a result, there can be no assurance that these measures will not have an adverse effect on the value or marketability of securities held by a Fund, including potentially limiting or completely restricting the ability of the Fund to use a particular investment instrument as part of its investment strategy, increasing the costs of using these instruments, or possibly making them less effective in general. Furthermore, no assurance can be made that the U.S. Government or any U.S. regulatory entity (or other authority or regulatory entity) will not continue to take further legislative or regulatory action in response to the economic crisis or otherwise, and the effect of such actions, if taken, cannot be known. 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, tornados, mudslides or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Portfolios' investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolios invest 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. Bank Loans Janus Aspen Balanced Portfolio and Janus Aspen Flexible Bond Portfolio may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the "Lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Portfolios have the right to receive payments of principal, interest and any fees to which they are entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Portfolios generally have no right to enforce compliance with the terms of the loan agreement with the borrower. Assignments and participations involve credit, interest rate, and liquidity risk. Interest rates on floating rate securities adjust with general interest rate changes and/or issuer credit quality. The interest rates paid on a floating rate security in which the Portfolios invest generally are readjusted periodically to an increment over a designated benchmark rate, such as the one-month, three-month, six-month, or one-year London Interbank Offered Rate ("LIBOR"). LIBOR is a short-term interest rate that banks charge one another and is generally representative of the most competitive and current cash rates. The Portfolios may have difficulty trading assignments and participations to third parties. There may be restrictions on transfer and only limited opportunities may exist to sell such securities in secondary markets. As a result, the Portfolios may be unable to sell assignments or participations at the desired time or may be able to sell only at a price less than fair market value. The Portfolios utilize an independent third party to value individual bank loans on a daily basis. The average monthly value of borrowings outstanding under bank loan arrangements and the related rate range during the period ended March 31, 2011 are indicated in the table below: Portfolio Average Monthly Value Rates -------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio $16,176,156 3.0100% - 6.7500% Janus Aspen Flexible Bond Portfolio $11,004,941 3.0100% - 6.7500% -------------------------------------------------------------------------------- Counterparties Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to a Portfolio ("counterparty risk"). Counterparty risk may arise because of the counterparty's financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty's inability to fulfill its obligation may result in significant financial loss to a Portfolio. A Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. A Portfolio may be exposed to counterparty risk through participation in various programs including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby a Portfolio's cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. A Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital's analysis of a counterparty's creditworthiness is incorrect or may change due to market conditions. To the extent that a Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties. Emerging Market Investing Investing in emerging markets may involve certain risks and considerations not typically associated with investing in the United States and imposes risks greater than, or in addition to, the risks associated with investing in securities of more developed foreign countries. Emerging markets securities are exposed to a number of additional risks, which may result from less government supervision and regulation of business and industry practices, stock exchanges, brokers, and listed companies, making these investments potentially more volatile in price and less liquid than investments in developed securities markets, resulting in greater risk to investors. In addition, the Portfolios' investments may be denominated in foreign currencies and therefore, changes in the value of a country's currency compared to the U.S. dollar may affect the value of the Portfolios' investments. To the extent that a Portfolio invests a significant portion of its assets in the securities of issuers in or companies of a single country or region, it is more likely to be impacted by events or conditions affecting that country or region, which could have a negative impact on a Portfolio's performance. Exchange-Traded Funds The Portfolios may invest in exchange-traded funds, which generally are index-based investment companies that hold substantially all of their assets in securities representing their specific index. As a shareholder of another investment company, a Portfolio would bear its pro rata portion of the other investment company's expenses, including advisory fees, in addition to the expenses the Portfolio bears directly in connection with its own operations. Exchange-Traded Notes The Portfolios may invest directly in exchange-traded notes ("ETNs"), which are senior, unsecured, unsubordinated debt securities whose returns are linked to a particular index and provide exposure to the total returns of various market indices, including indices linked to stocks, bonds, commodities and currencies. This type of debt security differs from other types of bonds and notes. ETN returns are based upon the performance of a market index minus applicable fees; no periodic coupon payments are distributed and no principal protections exist. ETNs do not pay cash distributions. Instead, the value of dividends, interest, and investment gains are captured in a Portfolio's total returns. The Portfolios will invest in these securities when desiring exposure to debt securities or commodities. When evaluating ETNs for investment, Janus Capital or the subadviser, as applicable, will consider the potential risks involved, expected tax efficiency, rate of return, and credit risk. When the Portfolios invest in ETNs, they will bear their proportionate share of any fees and expenses borne by the ETN. There may be restrictions on the Portfolios' right to redeem their investment in an ETN, which is meant to be held until maturity. The Portfolios' decision to sell their ETN holdings may be limited by the availability of a secondary market. Floating Rate Loans Janus Aspen Balanced Portfolio and Janus Aspen Flexible Bond Portfolio may invest in floating rate loans. Floating rate loans are debt securities that have floating interest rates, which adjust periodically, and are tied to a benchmark lending rate such as LIBOR. In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies ("borrowers") in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower's capital structure. The senior position in the borrower's capital structure generally gives holders of senior loans a claim on certain of the borrower's assets that is senior to subordinated debt and preferred and common stock in the case of a borrower's default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolios may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loans may include fully funded term loans or revolving lines of credit. Initial Public Offerings The Portfolios may invest in initial public offerings ("IPOs"). IPOs and other investment techniques may have a magnified performance impact on a Portfolio with a small asset base. The Portfolios may not experience similar performance as their assets grow. Interfund Lending As permitted by the Securities and Exchange Commission ("SEC"), or the 1940 Act and rules promulgated thereunder, the Portfolios may be party to interfund lending agreements between the Portfolios and other Janus Capital sponsored mutual funds and certain pooled investment vehicles, which permit them to borrow or lend cash at a rate beneficial to both the borrowing and lending funds. Outstanding borrowings from all sources totaling 10% or more of the borrowing Portfolio's total assets must be collateralized at 102% of the outstanding principal value of the loan; loans of less than 10% may be unsecured. Mortgage- and Asset-Backed Securities The Portfolios may purchase fixed or variable rate mortgage-backed securities issued by the Government National Mortgage Association ("Ginnie Mae"), the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or other governmental or government-related entities. Historically, Fannie Mae and Freddie Mac securities were not backed by the full faith and credit of the U.S. Government and may not be in the future. In September 2008, the Federal Housing Finance Agency ("FHFA"), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship to provide stability in the financial markets, mortgage availability and taxpayer protection by preserving Fannie Mae's and Freddie Mac's assets, and placing them in a sound and solvent condition. Under the conservatorship, the management of Fannie Mae and Freddie Mac was replaced. The effect that the FHFA's conservatorship will have on Fannie Mae's and Freddie Mac's debt and equities is unclear. The Portfolios may purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying securities fail to perform, these investment vehicles could be forced to sell the assets and recognize losses on such assets, which could impact a Portfolio's yield and a Portfolio's return. In addition, mortgage-backed securities may be supported by some form of government or private guarantee and/or insurance. However, there is no assurance that the guarantors or insurers will meet their obligations. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Prepayment risk, which results from prepayments of the principal of underlying loans, may shorten the effective maturities of these securities and may result in a Portfolio having to reinvest proceeds at a lower interest rate. In addition to prepayment risk, investments in mortgage-backed securities, including those comprised of subprime mortgages, and investments in other asset-backed securities comprised of under-performing assets may be subject to a higher degree of credit risk, valuation risk, and liquidity risk. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations. Mortgage- and asset- backed securities are also subject to extension risk, which is the risk that rising interest rates could cause mortgages or other obligations underlying these securities to be paid more slowly than expected, increasing a Portfolio's sensitivity to interest changes and causing its price to decline. Mortgage Dollar Rolls Certain Portfolios, particularly Janus Aspen Flexible Bond Portfolio, may enter into "mortgage dollar rolls." In a "mortgage dollar roll" transaction, the Portfolios sell a mortgage-related security (such as a Ginnie Mae security) to a dealer and simultaneously agree to repurchase a similar security (but not the same security) in the future at a predetermined price. The Portfolios will not be entitled to receive interest and principal payments while the dealer holds the security. The difference between the sale price and the future purchase price is recorded as an adjustment to investment income. The Portfolios' obligations under a dollar roll agreement must be covered by cash, U.S. Government securities or other liquid high-grade debt obligations equal in value to the securities subject to repurchase by the Portfolios, maintained in a segregated account. To the extent that the Portfolios collateralize their obligations under a dollar roll agreement, the asset coverage requirements of the 1940 Act will not apply to such transactions. Furthermore, under certain circumstances, an underlying mortgage-backed security that is part of a dollar roll transaction may be considered illiquid. Successful use of mortgage dollar rolls depends on the portfolio managers' ability to predict interest rates and mortgage payments. Dollar roll transactions involve the risk that the market value of the securities the Portfolios are required to purchase may decline below the agreed upon repurchase price. Repurchase Agreements Repurchase agreements held by a Portfolio, as applicable, are fully collateralized, and such collateral is in the possession of the Portfolio's custodian or subcustodian. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the repurchase agreements, including accrued interest. In the event of default on the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings. Restricted Security Transactions Restricted securities held by the Portfolios may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolios to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist. Securities Lending Under procedures adopted by the Trustees, the Portfolios may seek to earn additional income through lending their securities to certain qualified broker-dealers and institutions on a short-term or long-term basis. The Portfolios may lend portfolio securities on a short-term or long-term basis, in an amount equal to up to 1/3 of their total assets as determined at the time of the loan origination. When the Portfolios lend their securities, they receive collateral (including cash collateral), at least equal to the value of securities loaned. The Portfolios may earn income by investing this collateral in one or more affiliated or nonaffiliated cash management vehicles. It is also possible that, due to a decline in the value of a cash management vehicle, the Portfolios may lose money. There is also the risk that when portfolio securities are lent, the securities may not be returned on a timely basis, and the Portfolios may experience delays and costs in recovering the security or gaining access to the collateral provided to the Portfolios to collateralize the loan. If the Portfolios are unable to recover a security on loan, the Portfolios may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolios. Janus Capital intends to manage the cash collateral in an affiliated cash management vehicle and will receive an investment advisory fee for managing such assets. The borrower pays fees at the Portfolios' direction to Deutsche Bank AG (the "Lending Agent"). The Lending Agent may retain a portion of the interest earned on the cash collateral invested. The cash collateral invested by the Lending Agent is disclosed on the Schedules of Investments (if applicable). The lending fees and the Portfolios' portion of the interest income earned on cash collateral are included on the Statements of Operations (if applicable). The Portfolios did not have any securities on loan during the period. Securities Traded on a To-Be-Announced Basis Janus Aspen Flexible Bond Portfolio may trade securities on a to-be-announced ("TBA") basis. In a TBA transaction, the Portfolio commits to purchasing or selling securities for which specific information is not yet known at the time of the trade, particularly the face amount and maturity date in Ginnie Mae, Fannie Mae and/or Freddie Mac transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Portfolio, normally 15 to 45 days later. Beginning on the date the Portfolio enters into a TBA transaction, cash, U.S. Government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations and their current value is determined in the same manner as for other securities. Short Sales The Portfolios may engage in "short sales against the box." Short sales against the box involve either selling short a security that the Portfolios own or selling short a security that the Portfolios have the right to obtain for delivery at a specified date in the future. The Portfolios may enter into short sales against the box to hedge against anticipated declines in the market price of portfolio securities. The Portfolios do not deliver from their portfolios the securities sold short and do not immediately receive the proceeds of the short sale. The Portfolios borrow the securities sold short and receive proceeds from the short sale only when they deliver the securities to the lender. If the value of the securities sold short increases prior to the scheduled delivery date, the Portfolios lose the opportunity to participate in the gain. The Portfolios may also engage in other short sales. The Portfolios may engage in short sales when the portfolio managers anticipate that a security's market purchase price will be less than its borrowing price. To complete the transaction, the Portfolios must borrow the security to deliver it to the purchaser and buy that same security in the market to return it to the lender. No more than 10% of a Portfolio's net assets may be invested in short positions (through short sales of stocks, structured products, futures, swaps, and uncovered written calls). The Portfolios may engage in short sales "against the box" and options for hedging purposes that are not subject to this 10% limit. Although the potential for gain as a result of a short sale is limited to the price at which a Portfolio sold the security short less the cost of borrowing the security, the potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. There is no assurance the Portfolios will be able to close out a short position at a particular time or at an acceptable price. A gain or a loss will be recognized upon termination of a short sale. Short sales held by the Portfolios are fully collateralized by restricted cash or other securities, which are denoted on the Schedules of Investments (if applicable). The Portfolios are also required to pay the lender of the security any dividends or interest that accrues on a borrowed security during the period of the loan. Depending on the arrangements made with the broker or custodian, a Portfolio may or may not receive any payments (including interest) on collateral it has deposited with the broker. The Portfolios pay stock loan fees on assets borrowed from the security broker. The Portfolios may also enter into short positions through derivative instruments, such as options contracts, futures contracts, and swap agreements, which may expose the Portfolios to similar risks. To the extent that the Portfolios enter into short derivative positions, the Portfolios may be exposed to risks similar to those associated with short sales, including the risk that the Portfolios' losses are theoretically unlimited. When-Issued Securities Certain Portfolios, particularly Janus Aspen Balanced Portfolio and Janus Aspen Flexible Bond Portfolio, may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolios may hold liquid assets as collateral with the Portfolios' custodian sufficient to cover the purchase price. Federal Income Taxes 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 Portfolios have 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, excluding securities sold short, for federal income tax purposes as of March 31, 2011 are noted below. Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary difference between book and tax appreciation or depreciation of investments is wash sale loss deferrals.
--------------------------------------------------------------------------------------------------------------------------------- Portfolio Federal Tax Cost Unrealized Unrealized Net Appreciation Appreciation (Depreciation) --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio $ 1,467,449,553 $ 270,508,898 $ (13,518,570) $ 256,990,328 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Enterprise Portfolio 396,783,571 251,894,707 (2,634,826) 249,259,881 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio 433,342,673 11,120,814 (2,316,362) 8,804,452 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Forty Portfolio 811,452,642 273,512,047 (21,400,910) 252,111,137 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Global Technology Portfolio 136,152,818 30,162,269 (3,849,994) 26,312,275 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Janus Portfolio 518,310,859 152,563,484 (9,720,603) 142,842,881 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio 1,891,271,154 799,946,461 (204,263,631) 595,682,830 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Perkins Mid Cap Value Portfolio 107,945,452 28,224,302 (1,699,998) 26,524,304 --------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Worldwide Portfolio 741,614,548 120,212,347 (24,242,401) 95,969,946 ---------------------------------------------------------------------------------------------------------------------------------
Information on the tax components of securities sold short as of March 31, 2011 is as follows:
---------------------------------------------------------------------------------------------------------------------------------- Portfolio Federal Tax Cost Unrealized Unrealized Net (Appreciation) Depreciation Depreciation ---------------------------------------------------------------------------------------------------------------------------------- Janus Aspen Global Technology Portfolio $ (1,685,554) $ - $ 537,555 $ 537,555 ----------------------------------------------------------------------------------------------------------------------------------
Money Market Investments Pursuant to the terms and conditions of an SEC exemptive order and the provisions of the 1940 Act, the Portfolios may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolios may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles. The Portfolios are eligible to participate in the cash sweep program (the "Investing Funds"). Janus Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered 2a-7 product. There are no restrictions on the Portfolios' ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolios to Janus Cash Liquidity Fund LLC. As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated cash management pooled investment vehicles and the Investing Funds. During the period ended March 31, 2011, the following Portfolios recorded distributions from affiliated investment companies as affiliated dividend income, and had the following affiliated purchases and sales:
----------------------------------------------------------------------------------------------------------------------------- Purchases Sales Dividend Value ----------------------------------------------------------------------------------------------------------------------------- Shares/Cost Shares/Cost Income at 3/31/11 ----------------------------------------------------------------------------------------------------------------------------- Janus Cash Liquidity Fund LLC ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Balanced Portfolio $172,953,913 $(183,131,824) $4,782 $9,939,000 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Enterprise Portfolio 21,341,542 (53,070,000) 10,261 14,971,271 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Flexible Bond Portfolio 74,369,974 (76,619,000) 1,685 3,250,741 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Forty Portfolio 124,517,704 (106,992,000) 11,703 42,902,730 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Global Technology Portfolio 21,292,199 (21,912,000) 3,907 8,130,369 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Janus Portfolio 55,631,548 (55,209,000) 3,821 5,979,481 ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio 103,778,568 (141,525,568) 8,739 - ----------------------------------------------------------------------------------------------------------------------------- Janus Aspen Worldwide Portfolio 90,455,127 (92,019,000) 6,535 20,202,843 ----------------------------------------------------------------------------------------------------------------------------- $664,340,575 $(730,478,392) $51,433 $105,376,435 -----------------------------------------------------------------------------------------------------------------------------
Valuation Inputs Summary In accordance with FASB guidance, the Portfolios utilize the "Fair Value Measurements" to define fair value, establish a framework for measuring fair value, and expand disclosure requirements regarding fair value measurements. The Fair Value Measurement Standard does not require new fair value measurements, but is applied to the extent that other accounting pronouncements require or permit fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability. Various inputs are used in determining the value of the Portfolios' investments defined pursuant to this standard. These inputs are summarized into three broad levels: Level 1 - Quoted prices in active markets for identical securities. Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that reflect the assumptions market participants would use in pricing a security and are developed based on market data obtained from sources independent of the reporting entity. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Securities traded on OTC markets and listed securities for which no sales are reported are 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 Portfolios' Trustees and are categorized as Level 2 in the hierarchy. Short-term securities with maturities of 60 days or less are valued at amortized cost, which approximates market value and are categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, ADRs, GDRs, warrants, swaps, investments in mutual funds, OTC options, and forward contracts. The Portfolios may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy. Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the factors market participants would use in pricing the security and would be based on the best information available under the circumstances. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used in employing valuation techniques such as the market approach, the income approach, or the cost approach, as defined under the FASB Guidance. These are categorized as Level 3 in the hierarchy. There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolios since the beginning of the fiscal year. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of March 31, 2011 to value each Portfolio's investments in securities and other financial instruments is included in the "Valuation Inputs Summary" and "Level 3 Valuation Reconciliation of Assets" (if applicable) in the Notes to Schedules of Investments. In April 2009, FASB issued "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly," which provides additional guidance for estimating fair value in accordance with Fair Value Measurements when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. Additionally, it amends the Fair Value Measurement Standard by expanding disclosure requirements for reporting entities surrounding the major categories of assets and liabilities carried at fair value. The required disclosures have been incorporated into the "Valuation Inputs Summary" in the Significant Accounting Policies. Management believes applying this guidance does not have a material impact on the financial statements. The Portfolios adopted FASB Accounting Standards Update "Fair Value Measurements and Disclosures" (the "Update"). This Update applies to the Portfolios' disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers. Disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy are summarized under the Level 2 and Level 3 categories listed above. The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended March 31, 2011. -------------------------------------------------------------------------------- Portfolio Transfers In Transfers Out Level 1 to Level 2 Level 2 to Level 1 -------------------------------------------------------------------------------- Janus Aspen Enterprise Portfolio $-- $16,858,741 -------------------------------------------------------------------------------- Janus Aspen Overseas Portfolio $-- 1,325,057,849 -------------------------------------------------------------------------------- Janus Aspen Worldwide Portfolio $-- 246,292,135 -------------------------------------------------------------------------------- Financial assets were transferred from Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the beginning of the fiscal year and no factor was applied at the end of the period. The Portfolios recognize transfers between the levels as of the beginning of the fiscal year. New Accounting Pronouncement In January 2010, the FASB issued Accounting Standards Update, "Improving Disclosures About Fair Value Measurements." The Accounting Standards Update requires disclosures about purchases, sales, issuances, and settlements on a gross basis relating to Level 3 measurements. This disclosure is effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The Portfolios have adopted the disclosure and are disclosing purchases and sales on a gross basis in the Level 3 roll forward accordingly. The adoption of this Accounting Standards Update did not have any impact on each Porfolio's financial position or the results of its operations. Subsequent Events The Regulated Investment Company Modernization Act of 2010 (the "Act") was signed into law on December 22, 2010. The Act makes changes to a number of tax rules impacting the Portfolios. Under the Act, future capital losses generated by a portfolio may be carried over indefinitely, but these losses must be used prior to the utilization of any pre-enactment capital losses. Since pre-enactment capital losses may only be carried forward for eight years, there may be a greater likelihood that all or a portion of a fund's pre-enactment capital losses will expire unused. In general, the provisions of the Act will be effective for the Portfolios' fiscal year ending December 31, 2011. In May 2009, in accordance with FASB guidance, the Portfolios adopted the provisions of "Subsequent Events," which provides guidance to establish general standards of accounting for and disclosures of events that occur subsequent to the balance sheet date but before financial statements are issued or are available to be issued. The guidance also requires entities to disclose the date through which subsequent events were evaluated as well as the basis for that date. Management has evaluated whether any events or transactions occurred subsequent to March 31, 2011 and determined that there were no other material events or transactions that would require recognition or disclosure in this filing. -------------------------------------------------------------------------------- Item 2. Controls and Procedures. (a) The registrant's Principal Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended ("the Act")) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-3(b) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-Q. (b) There were no changes in the registrant's internal control over financial reporting during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 3. Exhibits. Separate certifications for the Registrant's Principal Executive Officer and Principal Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Act are attached as Ex99.CERT. Signatures Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Janus Aspen Series By: _/s/ Robin C. Beery_________ Robin C. Beery, President and Chief Executive Officer of Janus Aspen Series (Principal Executive Officer) Date: May 27, 2011 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/ Robin C. Beery_________ Robin C. Beery, President and Chief Executive Officer of Janus Aspen Series (Principal Executive Officer) Date: May 27, 2011 By: _/s/ Jesper Nergaard________ Jesper Nergaard, Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Janus Aspen Series (Principal Accounting Officer and Principal Financial Officer) Date: May 27, 2011