ANNUAL REPORT & ACCOUNTS For the year ended 31 May 2021 Janus Henderson Investment Funds Series I Janus Henderson Investment Funds Series I A Who are Janus Henderson Investors? Global Strength 14% 13% £309.6B 55% 45% 31% 42% Assets under Over 340 More than 2,000 25 Over 4,300 management Investment professionals employees Offi ces worldwide companies met by investment teams in 2020 North America EMEA & LatAm Asia Pacifi c Source: Janus Henderson Investors, Staff and assets under management (AUM) data as at 30 June 2021. AUM data excludes Exchange-Traded Note (ETN) assets. Who we are Janus Henderson Investors (‘Janus Henderson’) is a global asset manager off ering a full suite of actively managed investment products across asset classes. As a company, we believe the notion of ‘connecting’ is powerful – it has shaped our evolution and our world today. At Janus Henderson, we seek to benefi t clients through the connections we make. Connections enable strong relationships based on trust and insight aswell as the fl ow of ideas among our investment teams and our engagement with companies. These connections are central to our values, to what active management stands for and to the long-term outperformance we seek to deliver. Our commitment to active management off ers clients the opportunity to outperform passive strategies over the course of market cycles. Through times of both market calm and growing uncertainty, our managers apply their experience weighing risk versus reward potential – seeking to ensure clients are on the right side of change. Why Janus Henderson Investors At Janus Henderson, we believe in linking our world-class investment teams and experienced global distribution professionals with our clients around the world. Active because active matters We selectively invest in what we believe are the most compelling opportunities. Our investment teams are free to form their own views and seek to actively position portfolios to connect clients with their fi nancial goals. Global strength to deliver local solutions We off er true global reach with a presence in all major markets, combined with the responsiveness, tailored solutions and personal touch you would expect from a local partner. Empowering clients through Knowledge Shared We connect our clients with insights and knowledge that empower them to make better investment and business decisions. Contents Authorised Corporate Director’s (ACD) report Page 1 Director’s statement Page 2 Market review Page 4 Statement of Authorised Corporate Director’s (ACD) responsibilities Page 6 Statement of Depositary’s responsibilities and report of the Depositary to the shareholders of v Page 7 Janus Henderson Investment Funds Series I Independent Auditors’ report to the shareholders of Janus Henderson Investment Funds Series I Page 8 Aggregated notes to the fi nancial statements Page 11 Financial statements Janus Henderson China Opportunities Fund Page 19 Janus Henderson Emerging Markets Opportunities Fund Page 42 Janus Henderson European Focus Fund Page 70 Janus Henderson European Selected Opportunities Fund Page 93 Janus Henderson UK & Irish Smaller Companies Fund Page 120 Janus Henderson US Growth Fund Page 140 Janus Henderson Absolute Return Fund (formerly Janus Henderson UK Absolute Return Fund) Page 162 Janus Henderson European Absolute Return Fund Page 200 Appendix - additional information (unaudited) Securities fi nancing transactions Page 235 Remuneration policy Page 239 Further information Page 242 Authorised Corporate Director’s (ACD) report for the year ended 31 May 2021 We are pleased to present the Annual Report and Accounts for Janus Henderson Investment Funds Series I (the ‘Company’) for the year ended 31 May 2021. Authorised status The Company is an open-ended investment company (OEIC) with variable capital incorporated in England and Wales under registered number IC000181 and authorised by the Financial Conduct Authority (FCA) with eff ect from 11 June 2002. It is a United Kingdom Undertakings for Collective Investment in Transferable Securities (UK UCITS) scheme structured as an umbrella company, comprising of eight sub-funds (‘funds’), complying with chapter 5 of the Collective Investment Schemes Sourcebook (COLL). The operation of the Company is governed by the OEIC Regulations, COLL, its Instrument of Incorporation and Prospectus. The Company has an unlimited duration. Shareholders are not liable for the debts of the Company. Segregation of assets Each fund is treated as a separate entity and is a segregated portfolio of assets and those assets can only be used to meet the liabilities of, or claims against that fund. Other information The benchmark changed on the Janus Henderson China Opportunities Fund on 1 July 2020 to the MSCI Zhong Hua 10/40 Index from the MSCI Zhong Hua Index. Janus Henderson UK & Irish Smaller Companies Fund merged into the Janus Henderson UK Smaller Companies Fund, a sub fund of the Janus Henderson UK & Europe Funds, on 18 March 2021. The fund holds illiquid stocks on the Portfolio which has prevented the fund from terminating. It is the ACD’s intention to terminate the fund once the stocks have been removed from the Portfolio and as such the fi nancial statements of the fund have been prepared on a basis other than going concern. The Janus Henderson UK Absolute Return Fund changed its name to Janus Henderson Absolute Return Fund on 6 April 2021. JPMorgan Chase Bank, National Association (London Branch) was appointed as the Securities Lending Agent of the Company with eff ect from 10 March 2021, in replacement of BNP Paribas Securities Services, London Branch. Brexit update With eff ect from 1 January 2021, UK domiciled investment funds that had previously operated under the Undertakings for the Collective Investment in Transferable Securities (UCITS) regulations ceased to be classed as UCITS and were reclassifi ed as ‘UK UCITS’. The way in which the funds are managed was not impacted by this change. Value assessment The board of Henderson Investment Funds Limited (HIFL) present the value assessment report for the period to 31 December 2020, made available on our website www.janushenderson.com. Access by this link (https://www.janushenderson.com/en-gb/investor/notice/ value-assessment-report). The FCA, the UK’s fi nancial services regulator, requires all fund management groups to perform a detailed assessment of whether funds are providing value to investors, and publish an annual statement summarising the outcome of this process, known as the value assessment. Our report is published by HIFL, the Board of the ACD (the body responsible for an investment fund) and summarises the period to 31 December 2020. The value assessment considers a minimum of seven criteria set by the FCA; while investment performance and quality of service are clearly important factors, costs and charges paid by investors are also key considerations. At Janus Henderson, ensuring value is delivered to investors has always been central to our process and therefore the value assessment is an extension to the existing ongoing monitoring processes that provide oversight of how the funds are managed on your behalf. The report contains an overview of the process that Janus Henderson undertook to perform this assessment along with the conclusions. COVID-19 The outbreak of the novel coronavirus ('COVID-19') and subsequent global pandemic began impacting fi nancial markets and economies during the fi rst quarter of 2020. The worldwide spread of the virus led to uncertainty on an unprecedented scale. The impact of COVID-19 has been taken into account in the measurement of the assets and liabilities in the primary statements for the year to 31 May 2021. Janus Henderson Investment Funds Series I 1 Authorised Corporate Director’s (ACD) report (continued) Director’s statement This report has been prepared in accordance with the requirements of the Collective Investment Schemes Sourcebook as issued and amended by the Financial Conduct Authority. I hereby certify the investment reviews and fi nancial statements on behalf of the Directors of Henderson Investment Funds Limited. G Foggin (Director) 25 August 2021 2 Janus Henderson Investment Funds Series I Authorised Corporate Director’s (ACD) report (continued) Service providers Name Address Regulator Authorised Corporate Henderson Investment Funds Registered Offi ce: Authorised and regulated by the Director Limited 201 Bishopsgate Financial Conduct Authority Member of the Investment London Association EC2M 3AE Registered in England The ultimate holding company is No 2678531 Janus Henderson Group plc Dealing – 0845 608 8703 Enquiries – 0800 832 832 Directors of the ACD R Chaudhuri A Crooke G Foggin G Fogo S Hillenbrand H J de Sausmarez P Shea* F Smith* *Independent Investment Manager Henderson Global Investors 201 Bishopsgate Authorised and regulated by Limited London the Financial Conduct Authority The ultimate holding company is EC2M 3AE Janus Henderson Group plc Shareholder Administrator SS&C Financial Services SS&C House Authorised and regulated by the International Limited and St Nicholas Lane Financial Conduct Authority SS&C Financial Services Basildon Europe Limited Essex SS15 5FS Depositary NatWest Trustee and 250 Bishopsgate Authorised by the Prudential Depositary Services Limited London Regulation Authority and The ultimate holding company EC2M 4AA regulated by the Financial is the Royal Bank of Scotland Conduct Authority and by the Group plc Prudential Regulation Authority Independent Auditors PricewaterhouseCoopers LLP 141 Bothwell Street Institute of Chartered Glasgow Accountants in England G2 7EQ and Wales Legal Adviser Eversheds Sutherland One Wood Street The Law Society (International) LLP London EC2V 7WS Janus Henderson Investment Funds Series I 3 Market review for the year ended 31 May 2021 Global equity markets rose very strongly during the year to 31 May 2021 (MSCI World Index +22.9% in sterling and +41.3% in US dollar terms), as investors drew encouragement from the development of COVID-19 vaccines and their roll-out across the world, the massive fi scal and monetary stimulus measures unleashed to mitigate the eff ects of the pandemic, and signs of economic recovery.