Status under the EU Sustainable Finance Disclosure Regulation (SFDR)

Janus Henderson Absolute Return Fund

Legal entity identifier: 213800KHR3DA4ELZN939

A. Summary

The Fund is categorised as one which meets the provisions set out in Article 8 of SFDR as a product which promotes environmental and/or social characteristics and invests in companies with good governance practices. Whilst the Fund does not have as its objective a sustainable investment, it will have a minimum proportion of 5% of sustainable investments with a social objective and an environmental objective in economic activities that do not qualify as environmentally sustainable under the EU Taxonomy. See “B. No Sustainable Investment Objective” below for further details.

The Fund promotes support for the UNGC principles (which cover matters including human rights, labour, corruption, and environmental pollution). The Fund also seeks to avoid investments in certain activities with the potential to cause harm to human health and wellbeing by applying binding exclusions. The Fund does not use a reference benchmark to attain its environmental or social characteristics.

In addition, the Fund invests a minimum of 5% of its deployed capital in sustainable investments. The sustainable investments held by the Fund may contribute to addressing a range of environmental and/or social issues set out in the UN Sustainable Development Goals. An investment will be determined to make a positive contribution to an environmental or social objective where its business activity or practices positively contribute to environmental and/or social objectives.

This Fund seeks a positive absolute return through global equity markets and specifically through a majority investment in the UK.

The binding elements of the investment strategy described below are implemented as exclusionary screens on the entire long position, both core (long-term, fundamentally driven positions) and tactical (short-term, trading oriented positions) long positions which are coded into the compliance module of the Investment Managers order management system utilising third-party data provider(s) on an ongoing basis. The exclusionary screens are implemented on both a pre and post trade basis enabling the sub investment advisor to block any proposed transactions in an excluded security and identify any changes to the status of holdings when third-party data is periodically updated.

The Investment Manager applies screens to its entire long position, both core and tactical long positions to exclude direct investment in issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from thermal coal extraction, shale energy extraction, oil sands extraction, or arctic oil and gas drilling or exploration. Issuers are also excluded if they are deemed to have failed to comply with the UN Global Compact Principles (which cover matters including human rights, labour, corruption, and environmental pollution).

The Investment Manager applies screens only to its core long positions to exclude ESG laggards.

The Investment Manager carries out its review from an ESG perspective (i.e. ‘extra-financial analysis’) on at least 90% of its entire long position, both core and tactical  long positions.

Further, the Investment Manager uses a pass/fail test to determine investments which are deemed sustainable investments, meaning that each holding must meet all three of the requirements below:

1. 1. based on revenue mapping to UN Sustainable Development Goals or having a carbon emissions target approved by the Science Based Targets initiative (SBTi), it contributes to an environmental or social objective;
   2. it does not cause significant harm to any environmental or social sustainable investment objective; and
   3. it follows good governance practices.

The Fund also applies the Firmwide Exclusions Policy (see “Firmwide Exclusions” in the "JHI Responsible Investment Policy”), which includes controversial weapons.

The Investment Manager may only invest in companies that would be excluded by the screens described above if the Investment Manager believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data used to apply the exclusions is insufficient or inaccurate.

The Investment Manager may consider that the data is insufficient or inaccurate if, for example, the third-party data provider research is historic, vague, based on out of date sources, or the investment manager has other information to make them doubt the accuracy of the research.

If the Investment Manager wishes to challenge the third-party data, then the challenge is presented to a cross-functional ESG Oversight Committee who must sign off on the “override” of the third-party data.

If a third party data provider does not provide research on a specific issuer or excluded activity, the Investment Manager may invest if, through its own research, it is satisfied that the issuer is not involved in the excluded activity.

JHI has chosen MSCI’s as its primary data source for ESG (Environmental, Social and Governance) research.

Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research. This ensures helps ensure that consistent data and methodologies are used given an ESG measure per security type and hence can be compared correctly in the portfolio construction process.

The JHI Responsible Investment Policy, which incorporates JHI’s Sustainability Risk Policy, sets out the firmwide approach to ESG Integration Principles, including JHI’s Responsible Investment Principles for long-term investment success, our approaches to Stewardship and Engagement and Baseline Exclusions applied to investee companies.