Janus Henderson Diversified Alternatives Fund

C000121696 Fund Overview

Janus Henderson Diversified Alternatives Fund is a US mutual fund managed by Janus Investment Fund, categorised as Balanced Allocation. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Janus Investment Fund
• Category: Balanced Allocation
• Assets under management: $11.16M
• SEC CIK: 0000277751
• SEC series ID: S000039510
• Share class ID: C000121696

C000121696 Investment Objective and Strategy

Janus Henderson Diversified Alternatives Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Janus Investment Fund.

Investment objective

Janus Henderson Diversified Alternatives Fund seeks absolute return with low correlation to stocks and bonds.

Principal investment strategy

Under normal market conditions, the Fund pursues its investment objective by investing in a diverse group of return drivers, each a type of risk premium (collectively, risk premia), across equity, fixed income, commodity, and currency asset classes. Risk premia refers to the return that is expected for assuming a particular market risk. For example, investors expect a higher return in exchange for the perceived risks associated with investing in emerging markets as compared to investing in developed markets. Accordingly, a belief that emerging market equities may outperform developed market equities presents a risk premia opportunity. The Fund seeks to generate returns by identifying and isolating diverse sources of potential risk premia, and combining risk premia into a liquid portfolio that seeks to deliver consistent, absolute returns with a low correlation to the returns generated by investments in stocks and bonds.

There is no guarantee that the Fund will be successful in meeting its investment objective. The Fund employs a proprietary multi-factor process to allocate the Funds assets across the various risk premia. The process begins with an approximate equal-weighted risk to each risk premium in which the Fund invests, so that no individual risk premium contributes disproportionately to the Funds overall risk profile and expected returns over the long term. Next, the Fund applies additional advanced allocation methodologies to the portfolio to tactically adjust the weights of risk premia. The Funds portfolio managers generally rebalance risk premia allocations monthly, but may rebalance such allocations more often from time to time to adjust the Funds relative risk premia exposures. The rebalancing techniques used by the Funds portfolio managers may result in a higher portfolio turnover rate and related expenses compared to a buy and hold fund strategy.

The Fund may not utilize all identified risk premia in its investment process at all times. Janus Capital believes that this allocation process may provide better risk adjusted returns than a traditional asset allocation strategy that employs fixed weights for asset classes. The Fund employs various strategies within the equity, fixed income, commodity, and currency asset classes to identify risk premia and generate returns, including, but not limited to, relative value, momentum, credit, size, roll yield, systematic, and currency carry. Relative Value Relative Value investing seeks to capture the spread between a relatively undervalued asset and a more expensive one. For example, one pool of equities often outperforms another pool of equities in a different sector or investment style. Relative value attempts to identify the difference in valuation associated with those assets and favors investments in the relatively undervalued pool to generate return.

Momentum Momentum investing seeks to capitalize on the expected continuance of trends in the market. For example, if interest rates are increasing, a momentum investor would invest in securities that would generate positive returns if rates continue to increase in the near term. Credit Credit investing seeks to invest in fixed-income securities to realize the additional rate of return that corporate debt provides as compared to U.S. Treasuries. Size Size investing seeks to generate returns by investing in small capitalization equity securities over large capitalization equity securities. The basis for this strategy is that over time, less liquid equities (small capitalization) will outperform more liquid equities (large capitalization). Roll Yield Roll Yield investing seeks to capture returns from favoring certain maturities of commodity futures contracts over others.

This strategy typically combines offsetting long and short exposures on various sets of individual commodity futures contracts that have different expiration dates. Systematic Systematic investing seeks to invest in one or more asset classes, or a subset of a specific asset class, to generate the associated market return. For example, the Fund may invest a portion of the portfolio in global equities to generate the market returns associated with that type of investment. Currency Carry Currency Carry investing seeks to generate returns by investing in higher yielding currencies versus lower yielding currencies. In a carry trade, low interest rate currencies may be sold, and high interest rate currencies may be purchased. As part of the process to identify and isolate specific risk premia and generate returns, the Fund may have both long and short exposure to securities and derivatives in which it invests with respect to risk premia.

The Funds exposure to U.S. and non-U.S. investments, which may include emerging markets, will vary based on perceived investment opportunities. The Fund will make significant use of derivative instruments, which are instruments that have a value derived from or directly linked to an underlying asset, such as equity securities, fixed-income securities, commodities, currencies, interest rates, or market indices. Derivatives will be used to gain exposure to the various asset classes in which the Fund may invest, for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, and to earn income and enhance returns. The Fund may utilize swaps, including equity, interest rate, index, commodity, currency, and total return.

The Fund may utilize options and futures, including forward commodity and currency contracts and U.S. Treasury, interest rate, and market index futures. The Funds use of options includes options purchased and sold (written). In addition, the Fund may enter into forward foreign currency exchange contracts to manage the Funds interest rate exposure. The Fund intends to target an annualized volatility of approximately 6%, with an expected range of approximately 5-7%. For the fiscal year ended June 30, 2018, the Funds annualized volatility was 3.15%. By comparison, the 15-year historical volatility level of the Bloomberg Barclays U.S. Aggregate Bond Index, the Funds primary benchmark index, was approximately 3.39% as of June 30, 2018. The actual volatility level of the Fund may be higher or lower than its target volatility depending on market conditions.

The Funds exposure to derivatives will create a leveraging effect on the portfolio where market exposure exceeds amounts invested. Through its investments in derivatives, such as futures and swaps, it is expected that the Funds gross notional investment exposure (generally, the total value of the assets underlying a derivatives contract at the time of valuation) will range from 300% to 400% of the Funds net assets. This leverage will vary over time and may be significant. The Fund may have a substantial cash position due to margin and collateral requirements related to the Funds use of derivatives. Such margin and collateral requirements may limit the Funds ability to take advantage of other investment opportunities and may negatively affect the Funds ability to achieve its investment objective.

The Funds equity and fixed-income exposure may be obtained through direct investment in equity and fixed-income securities or through investment in other mutual funds or exchange-traded funds (ETFs). The Fund may also utilize exchange-traded notes (ETNs). The equity securities in which the Fund invests may involve exposure to common stocks of companies of any size located anywhere in the world, from larger, well-established companies to smaller, emerging growth companies. The fixed-income securities in which the Fund invests may include securities of any maturity and of any credit quality, and may include exposure to government bonds, corporate bonds, convertible bonds, commercial and residential mortgage-backed securities, zero-coupon bonds, and high-yield/high-risk bonds, also known as junk bonds.

The Funds investment in ETFs and ETNs may be used to gain exposure to market indices, a basket of securities, commodities, currencies, or a particular commodity or currency. The Funds exposure to the commodity markets, in whole or in part, may be made through investment in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary), which is generally subject to the same investment policies and restrictions as the Fund. The Subsidiary may invest in commodity-related derivatives such as futures and swaps, ETNs, and other investments such as cash or U.S. Treasuries which may serve as margin or collateral for the Subsidiarys commodity-linked derivative positions.

C000121696 Holdings

Top 7 holdings of Janus Henderson Diversified Alternatives Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.

View all C000121696 holdings

C000121696 Portfolio Allocation

Asset-class allocation of Janus Henderson Diversified Alternatives Fund by percentage of net assets, from the latest SEC N-PORT filing.

C000121696 Costs and Fees

C000121696 costs about $129 per $10,000 invested per year in fund expenses.

• Net expense ratio: 1.29%
• Gross expense ratio: 1.77%
• Portfolio turnover: 0%
• Brokerage commissions: 4.68 bps of average net assets (SEC N-CEN)

C000121696 Cashflows

Over the 12 months to 2020-03, Janus Henderson Diversified Alternatives Fund had net inflows of $83.17M, from monthly SEC N-PORT filings.

C000121696 Debt Constituents

Largest debt holdings of Janus Henderson Diversified Alternatives Fund by percentage of net assets, from the latest SEC N-PORT filing.

C000121696 Prospectus and SEC Filings

Official Janus Henderson Diversified Alternatives Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-11-18
• Prospectus (485BPOS) — filed 2018-11-19
• Prospectus supplement (497) — filed 2018-02-26
• Portfolio holdings (N-PORT) — filed 2020-05-29
• Portfolio holdings (N-PORT) — filed 2020-02-27
• Portfolio holdings (N-PORT) — filed 2019-11-27
• Annual census (N-CEN) — filed 2019-09-13
• Annual census, amended (N-CEN/A) — filed 2018-11-08

Related Funds

Other Balanced Allocation funds tracked on ABC INVEST:

• American Balanced Fund (ABALX)
• Vanguard Wellington Fund (VWELX)
• Franklin Income Fund (FKINX)
• T. Rowe Price Capital Appreciation Fund, Inc. (PRWCX)
• Vanguard Balanced Index Fund (VBINX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.