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 03/31/2017)

Despite the aforementioned price reversals in financial markets, the Global Diversified Risk Premia Strategy (the 'Strategy') gained nearly 70 basis points (gross) for the quarter. The contributors had a slight edge over the detractors, as six risk premia added and five risk premia detracted from the Strategy's performance. Except in equities, Momentum strategies struggled during the quarter.

Commodity Roll Yield (+1.5%) a reliable contributor to the Strategy's performance, benefitted from an unusually warmer winter in the US. More specifically, a sharp fall in natural gas prices aided our short position in the near-term futures contracts.

Equity Emerging (+1.4%) a relative value risk premium - overcame its fourth quarter loss on the backs of renascent emerging market equities and a weakening US dollar. It appears financial markets are discounting President Trump's proposed protectionist policies targeting major emerging market countries such as China and Mexico. As measured by the MSCI, the EM Index outpaced the World Index by about 5.0% during the quarter.

Equity Momentum (+1.0%) is a trend-following strategy that attempts to capture positive price momentum in US equities. The first quarter was an ideal environment for Equity Momentum: the VIX Index remained low throughout the quarter and the positive trend remained uninterrupted for much of the quarter.

Equity Value (-0.8%) seeks to capture value premium by investing in value stocks and shorting growth stocks. This relative value, dollar-neutral portfolio suffered due to a market rotation from value?oriented stocks to growth-oriented stocks. In a strong, rising equity market, the financial sector remained flat and the energy sector fell in concert with falling oil prices. As represented by the S&P 500 Pure Style indices, value stocks lagged growth stocks by almost 5.0% for the quarter.

Considered long volatility strategies, momentum risk premia can go long or short depending on the developing trends in different financial markets. Rates Momentum (-0.8%), suffered when the 10-year German Bunds zig-zagged during the quarter: the yield rose 23 basis points in January, fell 22 basis points in February, and rose 12 basis points in March. The US dollar reversed course and depreciated during the first quarter, causing Currency Momentum (-0.8%) to give back most of its fourth quarter gains. Commodity Momentum (-0.7%) lost due to falling oil and natural gas prices.

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