The Janus Global Diversified Risk Premia Strategy seeks to provide positive absolute returns with true diversification by offering low correlation to stocks and bonds. We invest in a portfolio of traditional and nontraditional investable risk premia derived from equity, fixed income, currency and commodity asset classes. By targeting a broad collection of statistically independent sources of return, we believe we are in a position to create a more robust portfolio that provides, over time, a generally more stable source of return with a targeted volatility of 7-9%, significantly less than the long-term volatility of stocks.

Investment Approach

1 Seeks Constant Volatility: The portfolio targets 8% volatility over a full market cycle.
2 Target Absolute Return: The portfolio seeks to deliver absolute returns over a full market cycle.
3 Diversification: The portfolio seeks to provide diversification by offering low correlation to traditional assets such as stocks and bonds.

Performance

Past performance cannot guarantee future results. Investing involves risk, including the possible loss of principal and fluctuation of value. Returns greater than one year are annualized. Returns are expressed in U.S. dollars. Composite returns are net of transaction costs and gross of non-reclaimable withholding taxes, if any, and reflect the reinvestment of dividends and other earnings.

The gross performance results presented do not reflect the deduction of investment advisory fees and returns will be reduced by such advisory fees and other contractual expenses as described in the individual contract and Form ADV Part 2A.

Net performance results do not reflect the deduction of investment advisory fees actually charged to the accounts in the composite but they do reflect the deduction of model investment advisory fees based on the maximum fixed fee rate in effect for the respective time period. Actual advisory fees may vary among clients invested in the strategy shown and may be higher or lower than model advisory fees. Composites may include accounts with performance-based fees. Returns for each client will be reduced by such fees and expenses as negotiated in any client contract as discussed in Form ADV Part 2A.

For a complete list of holdings as of the most recently available disclosure period, contact us.

Manager Comments (For the quarter ended 12/31/2016)

Janus Global Diversified Risk Premia Strategy (the 'Strategy') performed exceptionally well for the quarter and for the year: it gained about 240 basis points for the quarter and outpaced the 3-month USD LIBOR by almost 11% for the year. Seven out of 11 risk premia contributed positively to the Strategy's performance during the quarter.

Equity Value (+2.7%) seeks to capture value premium by investing in value stocks and shorting growth stocks. This relative value, dollar-neutral premium gained on the backs of resurgent financial and oil-related stocks. As represented by the S&P Pure Style indices, value stocks bested growth stocks by 10% for the quarter. For the quarter and for the year, Equity Value risk premium was the top contributor to the Strategy's performance.

Rates Momentum (+1.2%) is a trend-following strategy that can go long or short. The Strategy entered the quarter with short positions in U.S. Treasuries and German Bunds. As a result, this risk premium greatly benefitted from a sharp rise in U.S. and German interest rates. For the quarter and for the year, Rates Momentum was the second highest contributor to the Strategy's overall performance.

Currency Momentum (+1.0%) a trend-following strategy, benefitted from an appreciating dollar. Expectations of rising interest rates in the U.S., combined with stimulative fiscal policies espoused by the President-elect Donald Trump, resulted in a dollar rally. As mentioned previously, the U.S. dollar (as proxied by the DXY Index) appreciated about 7.0% during the quarter. Despite the positive contribution during the quarter, Currency Momentum was the worst detractor for the year.

Credit (-1.3%) was the laggard for the quarter. Credit risk premium attempts to replicate the total return of the investment-grade U.S. credit market. Credit suffered as gains from a tightening investment-grade OAS were not enough to offset losses associated with the rising U.S. interest rates. Despite the quarterly loss, Credit was one of the better performing strategies for the year.

Equity Emerging (-1.0%) a relative value risk premium, bore the brunt of the President-elect's proposed protectionist policies targeted against China, Mexico and other countries. As measured by MSCI, the World Index outpaced the EM Index by over 6.0% during the quarter. The latter fell 4.6% in November alone in direct response to the results of the U.S. presidential election and a rising U.S. dollar. Despite the quarterly setback, Equity Emerging contributed 93 basis points to the Strategy's annual performance.

Commodity Momentum (-0.8%) a trend following strategy, entered the quarter with a short position in oil. Intra-quarter, the momentum signal switched directions, forcing the strategy to close out the short oil position and go long sugar futures contracts. Given OPEC members' agreement to cut production, which was announced at the end of the November, closing out the short oil position was absolutely the right investment decision. However, the long sugar position detracted from the Strategy's performance. Generally speaking, 2016 was not a good year for the Commodity Momentum strategy.

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