& ACCOUNTS For the year ended 31 October 2019 ANNUAL REPORT ANNUAL Janus Henderson Investment Funds Series III Janus Henderson Investment Funds Series III A Who are Janus Henderson Investors? Janus Henderson Investors exists to help clients achieve their long-term fi nancial goals. Our active management off ers clients the opportunity to outperform passive portfolios over the course of market cycles. With more than 360 investment professionals, we provide access to some of the industry’s most talented and innovative thinkers, spanning equities, fi xed income, multi-asset, and alternatives, globally. Our investment teams blend insight, originality, and precision with rigorous analysis, structured processes, and robust risk management. We build client partnerships on openness and trust, channelling expertise from across the business and communicating the views of our experts in a timely and relevant way. As at 30 September 2019, we had £289.0bn assets under management, more than 2,000 employees and 28 offi ces worldwide. Headquartered in London, we are an independent asset manager that is dual-listed on the New York Stock Exchange and the Australian Securities Exchange. Contents Authorised Corporate Director’s (ACD) report Page 1 Director’s statement Page 1 Market review Page 3 Statement of Authorised Corporate Director’s (ACD) responsibilities Page 5 Statement of the Depositary’s responsibilities and report of the Depositary to the shareholders Page 6 of Janus Henderson Investment Funds Series III Independent Auditors’ report to the shareholders of Janus Henderson Investment Funds Series III Page 7 Aggregated notes to the fi nancial statements Page 9 Financial statements Janus Henderson UK Index Fund Page 14 Janus Henderson UK Tracker Fund Page 48 Gartmore Pacifi c Rim Index Fund Page 69 Appendix - additional information (unaudited) Securities fi nancing transactions Page 74 Remuneration policy Page 78 Further information Page 80 Authorised Corporate Director’s (ACD) report for the year ended 31 October 2019 We are pleased to present the Annual Report and Accounts for Janus Henderson Investment Funds Series III (the ‘Company’) for the year ended 31 October 2019 Authorised status The Company is an open-ended investment company (OEIC) with variable capital incorporated in England and Wales under registered number IC000218 and authorised by the Financial Conduct Authority (FCA) with eff ect from 14 March 2003. It is a UCITS (Undertakings for Collective Investment in Transferable Securities) scheme structured as an umbrella company, comprising three 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. Fund liabilities Each fund is treated as a separate entity and has a segregated portfolio of assets. The assets of a fund belong exclusively to that fund and can only be used to meet the liabilities of, or claims against, that fund. Brexit update Janus Henderson Investors has a well-established project underway looking at all possible Brexit impacts including distribution, regulatory permissions and licences, Human Resources, Information Technology and Operations. Janus Henderson Investors is seeking to minimise the potential impact on investors, and like all fi rms, is operating in an environment that is uncertain and subject to change. We are proud of our long history in both the UK and continental Europe, and are in a strong position to continue to serve our investors after the UK leaves the European Union. Other information Gartmore Pacifi c Rim Index Fund merged into Gartmore Pacifi c Opportunities on 17 March 2007 and further merged into Janus Henderson Asia Pacifi c Capital Growth in August 2011, a sub-fund of Janus Henderson Global Funds. The fund holds an illiquid stock on the Portfolio statement which has prevented the fund from terminating. It is the ACD’s intention to terminate the Gartmore Pacifi c Rim Index Fund once this stock is removed from the Portfolio statement and as such the fi nancial statements of the fund have been prepared on a basis other than going concern. Janus Henderson UK Index Fund and Janus Henderson UK Tracker Fund merged into Janus Henderson Institutional UK Index Opportunities Trust on 5 December 2019. The Janus Henderson UK Index Fund holds illiquid stocks on the portfolio statement and it is the ACD’s intention to terminate the fund once the stocks are removed from the Portfolio statements. The funds’ are not considered to be a going concern and as such the fi nancial statements have been prepared on a basis other than going concern. Value Assessment The FCA, the UK fi nancial regulator, recently introduced requirements for Authorised Corporate Directors to conduct a Value Assessment for each fund they manage. Janus Henderson Investors is carrying out its fi rst assessment for all funds as at 31 December 2019 and a summary of the fi ndings will be made available on our website www.janushenderson.com no later than 30 April 2020. 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 review and fi nancial statements on behalf of the Directors of Henderson Investment Funds Limited. G Foggin (Director) 6 February 2020 Janus Henderson Investment Funds Series III 1 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 (ACD) Limited 201 Bishopsgate London Financial Conduct Authority Member of the Investment EC2M 3AE Association Registered in England No 2678531 The ultimate holding company is Dealing – 0845 608 8703 Janus Henderson Group plc Enquiries – 0800 832 832 Directors of the ACD R Chaudhuri (to 07.03.19) A Crooke G Foggin G Fogo S Hillenbrand H J de Sausmarez P Shea (from 07.06.19)* F Smith (from 28.03.19)* R Thompson *Independent Investment Manager State Street Global Advisors 20 Churchill Place Authorised and regulated by Limited London the Financial Conduct Authority Member of the Investment E14 5HJ Association Shareholder Administrator DST Financial Services DST House Authorised and regulated by International Limited and St Nicholas Lane the Financial Conduct Authority DST 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 Royal Bank of Scotland Conduct Authority and by the Group plc Prudential Regulation Authority Independent Auditors PricewaterhouseCoopers 141 Bothwell Street Institute of Chartered LLP Glasgow Accountants in England G2 7EQ and Wales Legal Adviser Eversheds Sutherland One Wood Street The Law Society (International) LLP London EC2V 7WS 2 Janus Henderson Investment Funds Series III Market review for the year ended 31 October 2019 Global equity markets rose over the year to 31 October 2019 (FTSE World Index +11.7% in sterling, +12.9% in local currency terms). Markets experienced a large fall at the end of 2018 but bounced back as they moved into 2019. This recovery was mainly driven by more dovish rhetoric from the major central banks and interest rate cuts by the US Federal Reserve (Fed) during the fi nal few onthsm of the year. Investor sentiment was boosted by hopes that the trade dispute between China and the US would ultimately be settled, although this did not transpire during the year. In the UK, the FTSE All Share Index rose 6.8%. The UK’s exit from the EU dominated headlines. The original 29 March deadline was delayed, in the fi rst instance to 31 October, and then to 31 January, as parliament could not agree on a Brexit deal. The country saw a change in leadership when Prime Minister Theresa May was replaced by Boris Johnson in July. He succeeded in renegotiating a deal with the EU but decided to call an election when it became clear that opposition parties would attempt to amend the deal. Sterling was down over the year, owing to the uncertainties surrounding Brexit, although it recovered in the latter months as a deal appeared more likely. UK equities were volatile but ended higher as larger-cap, overseas-earning stocks benefi ted from sterling weakness. The UK economy was relatively lacklustre, despite strong employment trends and recovering wage growth. Second-quarter GDP growth came in signifi cantly below expectations at -0.2%, representing the fi rst contraction in nearly seven years. The Bank of England (BoE)held rates steady but gave clear guidance that looser monetary policy was a possibility. European equities gained over the year (FTSE World Europe ex UK 11.5% in sterling, 14.3% in euros). The rise in European markets was driven largely by the return of easier monetary policy, particularly in the US and Europe. The European Central Bank (ECB) reintroduced quantitative easing through a new bond-purchasing scheme (due to commence on 1 November) while also cutting the deposit interest rate further, to -0.5% from -0.4% in September. The market had declined along with most of its global peers in December 2018 but recovered in the fi rst quarter of 2019, before experiencing volatility related to US/China trade tensions and Brexit in the summer months. Eurozone economic data remained muted: the annual growth rate sank to 1.1% in the second quarter of 2019, and infl ation fell sharply to -0.5% in July (though it recovered to 0.2% in September). The German economy, the largest in Europe, fl irted with recession, experiencing negative quarterly growth in the second quarter of 2019.