ANNUAL
REPORT
October
31,
2021
Janus
Henderson
Mortgage-Backed
Securities
ETF
Janus
Detroit
Street
Trust
Table
of
Contents
Janus
Henderson
Mortgage-Backed
Securities
ETF
Performance
Overview
...........................
1
Disclosure
of
Fund
Expenses
.......................
4
Report
of
Independent
Registered
Public
Accounting
Firm
...
5
Schedule
of
Investments
..........................
6
Statement
of
Assets
and
Liabilities
...................
15
Statement
of
Operations
..........................
16
Statements
of
Changes
in
Net
Assets
.................
17
Financial
Highlights
..............................
18
Notes
to
Financial
Statements
......................
19
Additional
Information
............................
33
Trustees
and
Officers
............................
34
Janus
Henderson
Mortgage-Backed
Securities
ETF
(unaudited)
Janus
Detroit
Street
Trust
1
INVESTMENT
OBJECTIVE
Janus
Henderson
Mortgage-Backed
Securities
ETF
(JMBS)
seeks
a
high
level
of
total
return
consisting
of
income
and
capital
appreciation.
It
pursues
its
objective
by
investing
primarily
in
high-quality
mortgage-backed
securities
(MBS)
issued
by
the
U.S.
government
and
its
agencies
(agency
MBS).
The
Fund
seeks
to
outperform
the
total
return
of
the
Bloomberg
U.S.
Mortgage
Backed
Securities
Index
while
maintaining
a
substantial
correlation
to
the
index.
PERFORMANCE
OVERVIEW
During
the
period,
the
Janus
Henderson
Mortgage-Backed
Securities
ETF
(JMBS)
returned
0.88%,
net
of
fees
(based
on
NAV),
outperforming
its
benchmark,
the
Bloomberg
U.S.
MBS
Index,
which
returned
-0.58%
over
the
period.
Performance
of
U.S.
Agency
MBS
securities
over
the
past
year
were
dominated
by
a
difficult
first
quarter
in
2021.
Over
this
quarter,
the
U.S.
Treasury
yield
curve
bear
steepened,
with
the
yield
on
the
10-year
Treasury
note
soaring
–
along
with
the
outlooks
for
economic
growth
and
inflation
–
to
1.74%
from
0.92%.
The
Bloomberg
U.S.
Mortgage-
Backed
Securities
Index
returned
-1.10%
during
that
quarter,
and
MBS
struggled
over
the
remainder
of
the
period
to
regain
that
performance.
The
U.S.
Federal
Reserve
(Fed)
maintained
its
large-scale
MBS
purchasing
program
over
the
past
year,
aiming
to
keep
mortgage
rates
low.
However,
late
in
the
period
the
Fed
communicated
their
intention
to
taper
their
bond
purchasing
program
in
the
months
ahead.
While
the
Fed
will
slow
their
rate
of
purchases,
it
is
anticipated
they
will
continue
to
buy
MBS
well
into
2022.
Demand
for
housing
remained
strong
over
the
period,
supported
by
mortgage
rates
still
near
historical
lows,
and
a
sustained
shift
from
urban
to
rural
living
through
the
COVID-19
pandemic.
As
new
homebuilding
has
not
kept
up
with
rising
demand
for
many
years,
home
prices
have
been
strong
and
we
expect
this
strength
to
continue
into
2022.
The
director
of
the
Federal
Housing
Administration
(FHA)
introduced
new
proposals
aiming
to
bolster
low-income
lending
support
over
the
next
three
years
as
well
as
an
expansion
of
the
credit-risk
transfer
(CRT)
program.
These
announcements
were
seen
as
positive
insofar
as
they
support
the
overall
market
for
mortgage-related
credit.
We
remained
active
in
our
security
selection
within
the
Agency
MBS
market,
helping
the
Fund’s
relative
returns.
As
the
Fund’s
benchmark
must
maintain
a
market-weight
allocation
to
securities
that
are
rapidly
pre-paying,
our
continued
focus
on
identifying
special
borrower
types
in
particular
geographies
that,
in
our
view,
would
have
a
lower
potential
to
prepay
added
to
returns.
Additionally,
the
continued
resilience
of
the
U.S.
housing
market
also
provided
opportunities
in
mortgage-related
credit
instruments
that
are
not
included
in
the
benchmark
MBS
Index.
Many
of
these
securities
have
lagged
the
strength
in
corporate
credit
since
the
lows
in
2020
and
thus,
in
our
view,
still
offered
attractive
relative
value.
Over
the
period,
the
Fund’s
out-of-index
allocations
to
these
sectors
largely
benefited
returns,
thus
providing
returns
and
diversity
from
the
direction
of
the
overall
mortgage
market.
During
the
period,
the
Fund
invested
in
derivatives,
including
futures,
to
manage
and
hedge
portfolio
risk,
including
interest
rate
risk,
and
to
manage
duration.
The
Fund’s
exposure
to
derivatives
aided
results
during
the
year.
Please
see
the
Derivative
Instruments
section
in
the
“Notes
to
Financial
Statements”
for
a
discussion
of
derivatives
used
by
the
Fund.
Janus
Henderson
Mortgage-Backed
Securities
ETF
is
an
actively
managed,
high-quality
MBS
ETF
that
offers
potential
for
broad
portfolio
diversification
benefits
with
little
to
no
corporate
credit
risk.
The
Fund
seeks
to
provide
total
returns
in
excess
of
the
Bloomberg
U.S.
MBS
Index
without
taking
additional
risk
and
differentiates
itself
by
employing
fundamental
loan-level
analysis
and
quantitative
modeling
in
an
effort
to
identify
mispriced
assets
with
attractive
borrower
behavior.
John
Kerschner
Nick
Childs
co-portfolio
manager
co-portfolio
manager
Janus
Henderson
Mortgage-Backed
Securities
ETF
(unaudited)
Fund
At
A
Glance
October
31,
2021
2
October
31,
2021
Holdings
are
subject
to
change
without
notice.
Sector
Allocation
–
(%
of
Net
Assets)
Mortgage-Backed
Securities
113.0%^
Investment
Companies
57.1%
Asset-Backed
Securities
2.4%
Financial
0.6%
Consumer,
Non-cyclical
0.3%
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
0.0%
173.4%
^
Percentage
includes
amounts
allocated
to
certain
Forward
Commitment
Transactions,
including
“to-be
announced”
mortgage-backed
securities.
Please
see
the
Schedule
of
Investments
and
Notes
to
Financial
Statements
for
additional
information.
Janus
Henderson
Mortgage-Backed
Securities
ETF
(unaudited)
Performance
Janus
Detroit
Street
Trust
3
Total
annual
expense
ratio
as
stated
in
the
prospectus:
0.33%
(gross),
0.32%
(net).
See
Financial
Highlights
for
actual
expense
ratios
during
the
reporting
period.
Returns
quoted
are
past
performance
and
do
not
guarantee
future
results;
current
performance
may
be
lower
or
higher.
Investment
returns
and
principal
value
will
vary;
there
may
be
a
gain
or
loss
when
shares
are
sold.
For
the
most
recent
month-end
performance
call
800.668.0434
or
visit
janushenderson.com/performance.
Shares
of
ETFs
are
bought
and
sold
at
market
price
(not
NAV)
and
are
not
individually
redeemed
from
the
Fund.
Market
returns
are
based
upon
the
midpoint
of
the
bid/ask
spread
at
4:00
p.m.
Eastern
time
(when
NAV
is
normally
determined
for
most
ETFs),
and
do
not
represent
the
returns
you
would
receive
if
you
traded
shares
at
other
times.
Ordinary
brokerage
commissions
apply
and
will
reduce
returns.
Net
expense
ratios
reflect
the
expense
waiver,
if
any,
contractually
agreed
to
through
at
least
February
28,
2022.
Investing
involves
risk,
including
the
possible
loss
of
principal
and
fluctuation
of
value.
There
is
no
assurance
the
stated
objective(s)
will
be
met.
Performance
may
be
affected
by
risks
that
include
those
associated
with
foreign
and
emerging
markets,
fixed
income
securities,
high-yield
and
high-risk
securities,
undervalued,
overlooked
and
smaller
capitalization
companies,
real
estate
related
securities
including
Real
Estate
Investment
Trusts
(REITs),
non-diversification,
Environmental,
Social
and
Governance
(ESG)
factors,
portfolio
turnover,
derivatives,
short
sales,
initial
public
offerings
(IPOs)
and
potential
conflicts
of
interest.
Each
product
has
different
risks.
Please
see
the
prospectus
for
more
information
about
risks,
holdings
and
other
details.
Returns
include
reinvestment
of
dividends
and
capital
gains.
Returns
greater
than
one
year
are
annualized.
Returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
redemptions
of
Fund
shares.
The
returns
do
not
include
adjustments
in
accordance
with
generally
accepted
accounting
principles
required
at
the
period
end
for
financial
reporting
purposes.
See
Notes
to
Schedule
of
Investments
and
Other
Information
for
index
definitions.
Index
performance
does
not
reflect
the
expenses
of
managing
a
portfolio
as
an
index
is
unmanaged
and
not
available
for
direct
investment.
Average
Annual
Total
Return
for
the
periods
ended
October
31,
2021
One
Year
Since
Inception
*
Janus
Henderson
Mortgage-Backed
Securities
ETF
-
NAV
0.88%
4.60%
Janus
Henderson
Mortgage-Backed
Securities
ETF
-
Market
Price
0.89%
4.61%
Bloomberg
Barclays
U.S.
MBS
Index
-0.58%
3.55%
*
The
Fund
commenced
operations
on
September
12,
2018.
Janus
Henderson
Mortgage-Backed
Securities
ETF
(unaudited)
Disclosure
of
Fund
Expenses
4
October
31,
2021
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transaction
costs,
which
may
include
creation
and
redemption
fees
or
brokerage
charges
and
(2)
ongoing
costs,
including
management
fees
and
other
Fund
expenses.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
Funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
The
example
is
based
upon
an
investment
of
$1,000
invested
at
the
beginning
of
the
period
and
held
for
the
six-months
indicated,
unless
noted
otherwise
in
the
table
and
footnotes
below. 
Actual
Expenses 
The
information
in
the
table
under
the
heading
“Actual”
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
these
columns,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
under
the
heading
entitled
“Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
the
period.
Hypothetical
Example
for
Comparison
Purposes 
The
information
in
the
table
under
the
heading
“Hypothetical
(5%
return
before
expenses)”
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
upon
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
determine
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Additionally,
for
an
analysis
of
the
fees
associated
with
an
investment
or
other
similar
funds,
please
visit 
www.finra.org/
fundanalyzer.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transaction
costs,
such
as
creation
and
redemption
fees,
or
brokerage
charges.
These
fees
are
fully
described
in
the
Fund’s
prospectus.
Therefore,
the
hypothetical
examples
are
useful
in
comparing
ongoing
costs
only
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transaction
costs
were
included,
your
costs
would
have
been
higher.
Actual
Hypothetical
(5%
return
before
expenses)
Beginning
Account
Value
(5/1/21)
Ending
Account
Value
(10/31/21)
Expenses
Paid
During
Period
(5/1/21
-
10/31/21)
†
Beginning
Account
Value
(5/1/21)
Ending
Account
Value
(10/31/21)
Expenses
Paid
During
Period
(5/1/21
-
10/31/21)
†
Net
Annualized
Expense
Ratio
(5/1/21
-
10/31/21)
$1,000.00
$999.20
$1.41
$1,000.00
$1,023.79
$1.43
0.28%
†
Expenses
Paid
During
Period
is
equal
to
the
Net
Annualized
Expense
Ratio
multiplied
by
the
average
account
value
over
the
period,
multiplied
by
184/365
(to
reflect
the
one-half
year
period).
Janus
Henderson
Mortgage-Backed
Securities
ETF
Report
of
Independent
Registered
Public
Accounting
Firm
Janus
Detroit
Street
Trust
5
To
the
Board
of
Trustees
of
Janus
Detroit
Street
Trust
and
Shareholders
of
Janus
Henderson
Mortgage-Backed
Securities
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities,
including
the
schedule
of
investments,
of
Janus
Henderson
Mortgage-Backed
Securities
ETF
(one
of
the
funds
constituting
Janus
Detroit
Street
Trust,
referred
to
hereafter
as
the
"Fund")
as
of
October
31,
2021,
the
related
statement
of
operations
for
the
year
ended
October
31,
2021,
the
statements
of
changes
in
net
assets
for
each
of
the
two
years
in
the
period
ended
October
31,
2021,
including
the
related
notes,
and
the
financial
highlights
for
each
of
the
three
years
in
the
period
ended
October
31,
2021
and
for
the
period
September
12,
2018
(commencement
of
operations)
through
October
31,
2018
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
as
of
October
31,
2021,
the
results
of
its
operations
for
the
year
then
ended,
the
changes
in
its
net
assets
for
each
of
the
two
years
in
the
period
ended
October
31,
2021
and
the
financial
highlights
for
each
of
the
three
years
in
the
period
ended
October
31,
2021
and
for
the
period
September
12,
2018
(commencement
of
operations)
through
October
31,
2018
in
conformity
with
accounting
principles
generally
accepted
in
the
United
States
of
America.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Fund’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Fund
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
of
these
financial
statements
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
October
31,
2021
by
correspondence
with
the
custodian,
transfer
agent
and
brokers;
when
replies
were
not
received
from
brokers,
we
performed
other
auditing
procedures.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
Denver,
Colorado
December
17,
2021
We
have
served
as
the
auditor
of
one
or
more
investment
companies
in
Janus
Henderson
Funds
since
1990.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
6
October
31,
2021
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Shares/
Principal
Amounts
Value
Asset-Backed
Securities
-
2.4%
FREED
ABS
Trust,
6.9600%,
9/20/27
(144A)
$
4,989,000
$
5,231,049
GoodLeap
Sustainable
Home
Solutions
Trust,
2.1000%,
5/20/48
(144A)
3,765,518
3,723,122
Lakeview
CDO
LLC,
1.8336%,
11/10/32
‡
524,522
524,522
NRZ
Excess
Spread-Collateralized
Notes,
3.8440%,
12/25/25
(144A)
2,397,832
2,410,720
NRZ
Excess
Spread-Collateralized
Notes,
3.1040%,
7/25/26
(144A)
6,226,851
6,234,215
Sunnova
Helios
II
Issuer
LLC,
2.0100%,
7/20/48
(144A)
2,159,523
2,134,813
Total
Asset-Backed
Securities
(cost
$20,304,972)
20,258,441
Corporate
Bonds
-
0.8%
Consumer,
Non-cyclical
-
0.3%
CoreLogic
,
Inc.,
4.5000%, 5/1/28
(144A)
2,500,000
2,470,175
Financial
-
0.5%
Invitation
Homes
Operating
Partnership
LP,
2.0000%, 8/15/31
4,784,000
4,539,507
Total
Corporate
Bonds
(cost
$7,208,892)
7,009,682
Mortgage-Backed
Securities
-
113.0%
Bayview
Financing
Trust
,
2.1000
%
,
7/10/33
‡
2,719,340
2,719,993
Bayview
MSR
Opportunity
Master
Fund
Trust
,
SOFR30A
+
0.8500%
,
0.8987
%
,
10/25/51
(144A)
‡
10,529,417
10,529,399
Bayview
Opportunity
Master
Fund
Trust
,
1.6000
%
,
1/10/31
‡
1,191,412
1,191,412
Chase
Mortgage
Finance
Corp.
SOFR30A
+
1.3500%,
1.3987%, 2/25/50
(144A)
‡
2,879,246
2,889,855
SOFR30A
+
1.5500%,
1.5987%, 2/25/50
(144A)
‡
3,414,088
3,422,986
CIM
Trust
,
2.5690
%
,
7/25/55
(144A)
Ç
2,142,037
2,139,809
COLT
Funding
LLC
,
2.3550
%
,
12/25/64
(144A)
‡
2,862,000
2,849,444
COLT
Mortgage
Loan
Trust
,
1.5120
%
,
9/25/65
(144A)
‡
1,993,574
1,995,907
Connecticut
Avenue
Securities
Trust
ICE
LIBOR
USD
1
Month
+
2.4500%,
2.5392%, 7/25/31
(144A)
‡
292,763
293,890
ICE
LIBOR
USD
1
Month
+
4.1500%,
4.2392%, 8/25/31
(144A)
‡
2,000,000
2,044,528
ICE
LIBOR
USD
1
Month
+
2.1500%,
2.2393%, 9/25/31
(144A)
‡
4,692,815
4,716,461
ICE
LIBOR
USD
1
Month
+
4.1000%,
4.1893%, 9/25/31
(144A)
‡
2,000,000
2,042,315
ICE
LIBOR
USD
1
Month
+
2.1000%,
2.1893%, 6/25/39
(144A)
‡
636,771
637,166
ICE
LIBOR
USD
1
Month
+
2.0000%,
2.0892%, 1/25/40
(144A)
‡
4,400,646
4,413,926
Eagle
RE
Ltd.
,
ICE
LIBOR
USD
1
Month
+
0.9000%
,
0.9893
%
,
1/25/30
(144A)
‡
1,200,000
1,195,396
Extended
Stay
America
Trust
,
ICE
LIBOR
USD
1
Month
+
2.2500%
,
2.3410
%
,
7/15/38
(144A)
‡
2,984,474
2,994,597
FHLMC
ICE
LIBOR
USD
1
Month
+
0.3500%,
0.4403%, 2/15/32
‡
31,522
31,758
ICE
LIBOR
USD
1
Month
+
0.6500%,
0.7403%, 3/15/32
‡
46,436
47,235
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5902%, 7/15/32
‡
32,038
32,252
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4903%, 1/15/33
‡
30,523
30,799
ICE
LIBOR
USD
1
Month
+
0.2500%,
0.3403%, 9/15/35
‡
27,082
27,190
ICE
LIBOR
USD
1
Month
+
0.5900%,
0.6802%, 10/15/37
‡
86,169
87,908
ICE
LIBOR
USD
1
Month
+
0.3000%,
0.3903%, 8/15/40
‡
47,542
47,614
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5902%, 9/15/40
‡
85,460
86,200
ICE
LIBOR
USD
1
Month
+
0.5500%,
0.6402%, 4/15/41
‡
283,660
287,660
3.5000%, 8/1/42
83,929
90,843
3.5000%, 8/1/42
72,923
78,930
3.0000%, 3/1/43
656
699
3.0000%, 6/1/43
93,319
97,546
3.0000%, 11/1/43
1,300,544
1,383,072
FHLMC
STACR
REMIC
Trust
SOFR30A
+
2.2500%,
2.2987%, 8/25/33
(144A)
‡
3,430,000
3,465,735
SOFR30A
+
2.0500%,
2.0987%, 12/25/33
(144A)
‡
2,235,000
2,252,444
FHLMC
UMBS
3.0000%, 5/1/31
141,973
149,749
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
Janus
Detroit
Street
Trust
7
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
UMBS
-
(continued)
2.5000%, 12/1/31
$
17,430
$
18,166
3.0000%, 9/1/32
125,172
132,225
3.0000%, 1/1/33
74,306
78,492
2.5000%, 12/1/33
609,007
634,741
2.5000%, 11/1/34
1,353,388
1,417,718
3.0000%, 3/1/43
3,387,609
3,599,871
3.0000%, 4/1/43
69,193
73,529
3.5000%, 12/1/44
727,346
786,637
3.0000%, 10/1/46
3,079,153
3,269,254
3.0000%, 12/1/46
19,712
20,890
4.0000%, 3/1/47
210,564
229,077
3.0000%, 4/1/47
1,626,468
1,713,552
4.0000%, 11/1/47
548,637
603,814
3.0000%, 12/1/47
28,641
30,410
4.5000%, 8/1/48
166,142
179,577
5.0000%, 9/1/48
191,614
210,911
4.5000%, 12/1/48
545,759
598,617
4.5000%, 12/1/48
43,136
47,231
4.0000%, 5/1/49
550,605
590,874
3.0000%, 8/1/49
3,454,501
3,625,212
3.0000%, 8/1/49
140,155
148,720
3.0000%, 8/1/49
121,623
127,840
3.5000%, 8/1/49
452,538
477,891
3.0000%, 10/1/49
4,736,559
4,938,280
3.0000%, 10/1/49
5,269,270
5,493,679
3.0000%, 11/1/49
3,945,053
4,113,066
3.0000%, 11/1/49
7,405,322
7,720,701
3.0000%, 11/1/49
5,402,704
5,632,795
3.0000%, 12/1/49
7,140,711
7,444,822
3.0000%, 3/1/50
399,443
417,835
3.5000%, 3/1/50
624,418
662,313
2.5000%, 8/1/51
1,357,507
1,395,042
2.0000%, 9/1/51
1,079,984
1,080,789
2.0000%, 9/1/51
1,084,700
1,085,257
FHLMC,
Multifamily
Structured
Pass-Through
Certificates
,
SOFR30A
+
2.0000%
,
2.0487
%
,
1/25/51
(144A)
‡
2,502,261
2,526,188
FNMA
ICE
LIBOR
USD
1
Month
+
4.9000%,
4.9893%, 11/25/24
‡
802,540
834,608
ICE
LIBOR
USD
1
Month
+
4.0000%,
4.0893%, 5/25/25
‡
6,212,399
6,321,945
ICE
LIBOR
USD
1
Month
+
5.0000%,
5.0893%, 7/25/25
‡
657,448
662,353
ICE
LIBOR
USD
1
Month
+
5.7000%,
5.7893%, 4/25/28
‡
1,344,559
1,419,800
ICE
LIBOR
USD
1
Month
+
5.9000%,
5.9893%, 10/25/28
‡
1,651,795
1,729,161
ICE
LIBOR
USD
1
Month
+
2.2000%,
2.2893%, 1/25/30
‡
6,803,946
6,925,508
ICE
LIBOR
USD
1
Month
+
2.5000%,
2.5892%, 5/25/30
‡
5,711,436
5,781,996
ICE
LIBOR
USD
1
Month
+
2.2500%,
2.3393%, 7/25/30
‡
7,276,034
7,350,309
ICE
LIBOR
USD
1
Month
+
4.2500%,
4.3392%, 1/25/31
‡
1,307,741
1,375,827
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4893%, 4/25/32
‡
40,565
40,983
ICE
LIBOR
USD
1
Month
+
0.5500%,
0.6392%, 4/25/32
‡
31,654
32,025
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5893%, 9/25/33
‡
41,588
41,996
ICE
LIBOR
USD
1
Month
+
0.3000%,
0.3893%, 10/25/35
‡
32,777
32,980
ICE
LIBOR
USD
1
Month
+
0.3500%,
0.4393%, 4/25/36
‡
110,402
110,933
ICE
LIBOR
USD
1
Month
+
0.5200%,
0.6092%, 9/25/37
‡
33,304
33,614
3.0000%, 4/1/38
244,097
259,798
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
8
October
31,
2021
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
-
(continued)
ICE
LIBOR
USD
1
Month
+
0.3500%,
0.4393%, 5/25/38
‡
$
16,001
$
16,013
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4893%, 9/25/40
‡
21,775
21,950
ICE
LIBOR
USD
1
Month
+
55.0000%,
54.0938%, 10/25/40
‡
41,248
152,976
ICE
LIBOR
USD
1
Month
+
0.4300%,
0.5192%, 11/25/40
‡
21,500
21,650
3.0000%, 9/1/42
320,696
340,914
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4893%, 9/25/42
‡
14,433
14,515
3.0000%, 10/1/42
245,851
261,505
ICE
LIBOR
USD
1
Month
+
0.3500%,
0.4393%, 10/25/42
‡
182,636
184,703
ICE
LIBOR
USD
1
Month
+
4.0000%,
3.9107%, 11/25/42
‡
601,925
579,945
3.0000%, 1/1/43
449,585
477,928
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5893%, 2/25/43
‡
58,844
59,382
3.0000%, 3/1/43
500,716
532,600
3.0000%, 5/1/43
130,036
138,316
3.0000%, 8/1/43
207,294
219,875
3.0000%, 6/1/46
502,306
526,599
3.0000%, 11/1/46
81,311
86,987
3.0000%, 2/1/57
2,087,064
2,226,964
3.5000%, 1/25/61
(a)
30,523,673
5,268,853
FNMA
UMBS
2.5000%, 8/1/31
20,510
21,374
2.5000%, 10/1/31
22,902
23,911
2.5000%, 2/1/32
20,846
21,773
3.0000%, 11/1/34
82,705
87,865
3.0000%, 12/1/34
99,278
105,380
3.0000%, 1/1/43
255,996
271,752
3.0000%, 5/1/43
1,407,910
1,496,621
3.0000%, 5/1/43
2,001,504
2,126,366
3.0000%, 10/1/44
1,208,996
1,283,406
3.5000%, 12/1/45
718,528
770,761
3.0000%, 1/1/46
19,899
21,039
3.5000%, 1/1/46
66,096
70,901
3.0000%, 3/1/46
2,588,218
2,736,538
3.0000%, 9/1/46
54,732
58,147
3.0000%, 10/1/46
1,817,042
1,916,199
3.0000%, 1/1/47
106,620
113,207
3.0000%, 1/1/47
526,440
554,644
3.0000%, 1/1/47
427,680
454,360
3.5000%, 3/1/47
615,594
660,344
4.0000%, 5/1/47
406,148
447,999
3.5000%, 7/1/47
537,014
576,052
3.5000%, 8/1/47
187,453
204,892
3.5000%, 12/1/47
195,830
214,049
3.0000%, 2/1/48
617,613
656,206
3.0000%, 4/1/48
33,580,105
35,674,964
5.0000%, 5/1/48
2,569,963
2,821,013
3.5000%, 7/1/48
14,446,267
15,433,121
4.0000%, 2/1/49
1,719,929
1,852,853
3.0000%, 8/1/49
161,152
170,987
3.0000%, 8/1/49
164,197
174,219
3.0000%, 9/1/49
274,755
288,972
3.0000%, 5/1/50
3,664,525
3,849,227
2.5000%, 10/1/50
758,913
780,087
2.5000%, 1/1/51
12,088,826
12,428,721
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
Janus
Detroit
Street
Trust
9
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
2.5000%, 8/1/51
$
146,092
$
150,204
2.0000%, 9/1/51
996,795
997,307
3.0000%, 9/1/51
4,027,381
4,255,225
2.5000%, 10/1/51
2,177,151
2,237,489
FNMA/FHLMC
UMBS
1.5000%,
TBA, 15
Year
Maturity
(b)
11,958,094
12,036,061
2.0000%,
TBA, 15
Year
Maturity
(b)
64,738,501
66,443,066
3.0000%,
TBA, 15
Year
Maturity
(b)
15,195,555
15,929,500
3.5000%,
TBA, 15
Year
Maturity
(b)
6,061,089
6,433,664
4.0000%,
TBA, 15
Year
Maturity
(b)
1,501,500
1,587,896
1.5000%,
TBA, 30
Year
Maturity
(b)
26,998,730
26,134,069
2.0000%,
TBA, 30
Year
Maturity
(b)
126,487,353
126,491,148
2.5000%,
TBA, 30
Year
Maturity
(b)
95,320,968
97,916,558
3.0000%,
TBA, 30
Year
Maturity
(b)
11,542,685
12,040,983
3.5000%,
TBA, 30
Year
Maturity
(b)
54,464,871
57,538,324
4.5000%,
TBA, 30
Year
Maturity
(b)
4,203,000
4,543,233
FREMF
Mortgage
Trust
,
ICE
LIBOR
USD
1
Month
+
6.0000%
,
6.0802
%
,
9/25/29
(144A)
‡
1,695,576
1,660,675
GNMA
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4859%, 8/16/29
‡
30,328
30,522
ICE
LIBOR
USD
1
Month
+
0.4000%,
0.4856%, 7/20/34
‡
55,648
56,058
ICE
LIBOR
USD
1
Month
+
0.3000%,
0.3859%, 8/16/34
‡
41,445
41,758
ICE
LIBOR
USD
1
Month
+
0.2000%,
0.2856%, 6/20/35
‡
32,471
32,453
ICE
LIBOR
USD
1
Month
+
0.1500%,
0.2356%, 8/20/35
‡
40,095
40,015
ICE
LIBOR
USD
1
Month
+
0.3000%,
0.3856%, 4/20/37
‡
13,021
13,081
ICE
LIBOR
USD
1
Month
+
0.3100%,
0.3956%, 6/20/37
‡
37,012
37,223
ICE
LIBOR
USD
1
Month
+
0.3200%,
0.4056%, 7/20/37
‡
57,894
58,483
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5856%, 10/20/37
‡
43,981
44,845
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5856%, 10/20/37
‡
18,647
19,013
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5856%, 2/20/38
‡
73,677
74,770
ICE
LIBOR
USD
1
Month
+
0.5000%,
0.5856%, 2/20/38
‡
36,034
36,546
ICE
LIBOR
USD
1
Month
+
0.6000%,
0.6859%, 1/16/40
‡
12,336
12,603
ICE
LIBOR
USD
1
Month
+
0.3500%,
0.4356%, 6/20/40
‡
991
997
ICE
LIBOR
USD
1
Month
+
0.4300%,
0.5159%, 10/16/40
‡
61,072
61,512
0.0000%, 5/16/41
¤
5,732,403
5,213,912
ICE
LIBOR
USD
1
Month
+
0.3000%,
0.3856%, 7/20/41
‡
29,433
29,510
4.5000%, 2/20/48
2,162,545
2,336,696
4.0000%, 5/20/48
460,858
491,489
4.0000%, 6/20/48
1,526,434
1,627,413
4.5000%, 7/20/48
319,254
343,981
4.5000%, 11/20/48
239,181
253,099
5.0000%, 1/20/49
78,108
84,261
4.0000%, 2/20/49
309,057
324,642
5.5000%, 2/20/49
231,549
250,650
4.0000%, 4/20/49
261,291
274,467
2.0000%,
TBA, 30
Year
Maturity
(b)
32,241,724
32,654,418
2.5000%,
TBA, 30
Year
Maturity
(b)
68,306,936
70,211,333
3.0000%,
TBA, 30
Year
Maturity
(b)
38,547,805
40,009,538
3.5000%,
TBA, 30
Year
Maturity
(b)
35,085,634
36,681,679
4.0000%,
TBA, 30
Year
Maturity
(b)
15,717,109
16,663,908
JP
Morgan
Mortgage
Trust
3.0000%, 6/25/45
(144A)
‡
832,675
849,540
SOFR30A
+
0.8500%,
0.8987%, 2/25/52
(144A)
‡
637,037
637,037
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
10
October
31,
2021
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
Lakeview
LLC
,
2.3336
%
,
7/10/32
‡
$
2,526,000
$
2,529,157
Mello
Mortgage
Capital
Acceptance
SOFR30A
+
0.9500%,
0.9987%, 8/25/51
(144A)
‡
2,956,481
2,961,358
SOFR30A
+
0.9500%,
0.9987%, 10/25/51
(144A)
‡
9,232,796
9,232,795
Mello
Warehouse
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
2.7500%
,
2.8393
%
,
2/25/55
(144A)
‡
3,489,000
3,488,996
MRA
Issuance
Trust
,
ICE
LIBOR
USD
1
Month
+
1.5000%
,
1.5824
%
,
3/8/22
(144A)
‡
4,255,000
4,259,072
MSG
III
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
1.3000%
,
1.3893
%
,
6/25/54
(144A)
‡
4,000,000
4,000,218
Point
Securitization
Trust
,
3.2282
%
,
2/25/52
(144A)
‡
2,950,452
2,950,450
Provident
Funding
Mortgage
Warehouse
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
2.0000%
,
2.0892
%
,
2/25/55
(144A)
‡
7,500,000
7,420,648
PRPM
LLC
2.3630%, 10/25/26
(144A)
‡
7,099,000
7,098,950
2.2370%, 10/25/51
(144A)
‡
1,750,000
1,749,954
2.4850%, 10/25/51
(144A)
‡
2,350,000
2,349,988
Sequoia
Mortgage
Trust
2.5000%, 5/25/43
(144A)
‡
1,140,897
1,163,390
0.2545%, 11/25/48
(144A)
(a),‡
924,721
188
4.0000%, 9/25/49
(144A)
‡
285,658
294,786
Spruce
Hill
Mortgage
Loan
Trust
,
3.4070
%
,
6/25/55
(144A)
‡
1,586,554
1,599,386
Station
Place
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
2.0000%
,
2.0892
%
,
1/26/54
(144A)
‡
6,250,000
6,247,489
UWM
Mortgage
Trust
,
SOFR30A
+
1.0000%
,
1.0487
%
,
9/25/51
(144A)
‡
7,366,330
7,366,329
Total
Mortgage-Backed
Securities
(cost
$956,839,979)
958,460,203
Preferred
Stock
-
0.1%
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.1%
New
Residential
Investment
Corp.
#
(cost
$991,600)
40,000
1,010,000
Investment
Companies
-
57.1%
Money
Market
Funds
-
57.1%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
0.0598%
£,∞
(cost
$484,059,420)
484,016,529
484,064,930
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
0.0%
Investment
Companies
-
0.0%
Janus
Henderson
Cash
Collateral
Fund
LLC,
0.0011%
£,∞
22,880
22,880
Time
Deposits
-
0.0%
Royal
Bank
of
Canada,
0.0300%,
11/1/21
5,720
5,720
Total
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
(cost
$28,600)
28,600
Total
Investments
(total
cost
$1,469,433,463
)
-
173.4%
1,470,831,856
Liabilities,
net
of
Cash,
Receivables
and
Other
Assets
-
(73.4%)
(622,458,089)
Net
Assets
-
100.0%
$848,373,767
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
1,469,636,460
99.9
%
Bermuda
1,195,396
0.1
Total
$
1,470,831,856
100.0
%
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
Janus
Detroit
Street
Trust
11
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
Schedule
of
TBA
sales
commitments
-
(%
of
Net
Assets)
Principal
Amounts
Value
Securities
Sold
Short
-
(6.0)%
Mortgage-Backed
Securities
-
(6.0)%
FNMA/FHLMC
UMBS,
2.5000%,
TBA,
15
Year
Maturity
(b)
$
(49,064,880)
$
(51,001,471)
Total
Securities
Sold
Short
(proceeds
$51,019,809)
$
(51,001,471)
Summary
of
Investments
by
Country
-
(Short
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
(51,001,471)
100.0%
$–
–
%
Schedule
of
Affiliated
Investments
-
(%
of
Net
Assets)
Dividend
Income
Realized
Gain/(Loss)
Change
in
Unrealized
Appreciatio
n/
(Depreciation)
Value
at
10/31/21
Investment
Company
-
57.1%
Money
Market
Funds
-
57.1%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
0.0598%
∞
$
792
$
(5,510)
$
5,510
$
484,064,930
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
0.0%
Investment
Companies
-
0.0%
Janus
Henderson
Cash
Collateral
Fund
LLC,
0.0011%
∞
102
Δ
–
–
22,880
Total
Affiliated
Investments
-
57.1%
$
894
$
(5,510)
$
5,510
$
484,087,810
Market
Value
at
10/31/20
Purchases
Sales
Market
Value
at
10/31/21
Investment
Company
-
57.1%
Money
Market
Funds
-
57.1%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
0.0598%
∞
$
–
$
968,129,860
$
(484,064,930)
$
484,064,930
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
0.0%
Investment
Companies
-
0.0%
Janus
Henderson
Cash
Collateral
Fund
LLC,
0.0011%
∞
–
70,720
(47,840)
22,880
Total
Affiliated
Investments
-
57.1%
$
–
968,200,580
$
(484,112,770)
$
484,087,810
Schedule
of
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation
Futures
Sold:
U.S.
Treasury
10
Year
Notes
273
12/21/21
$
(35,681,953)
$
345,231
Total
$345,231
Schedule
of
Centrally
Cleared
Credit
Default
Swaps
-
Buy
Protection
Referenced
Asset
Maturity
Date
Notional
Amount
Value
Premiums
Paid/
(Received)
Unrealized
Appreciation
(Depreciation)
CDX.NA.IG.37-V1,
Fixed
Rate
of
1.00%
Paid
Quarterly
12/20/26
$
30,000,000
$
(747,542)
$
737,510
$
(10,032)
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
October
31,
2021
12
October
31,
2021
See
Notes
to
Schedule
of
Investments
and
Other
Information
and
Notes
to
Financial
Statements.
The
following
table,
grouped
by
derivative
type,
provides
information
about
the
fair
value
and
location
of
derivatives
within
the
Statement
of
Assets
and
Liabilities
as
of
October
31,
2021.
The
following
tables
provide
information
about
the
effect
of
derivatives
and
hedging
activities
on
the
Fund’s
Statement
of
Operations
for
the year
ended
October
31,
2021.
Please
see
the
“Net
realized
and
change
in
unrealized
gain/(loss)
on
investments”
sections
of
the
Fund’s
Statement
of
Operations.
Fair
Value
of
Derivative
Instruments
(not
accounted
for
as
hedging
instruments)
as
of
October
31,
2021
Credit
Contracts
Interest
Rate
Contracts
Total
Asset
Derivatives:
Futures
contracts
$—
$345,231
$345,231
Liability
Derivatives:
Swaps
-
centrally
cleared
(10,032)
—
(10,032)
The
effect
of
Derivative
Instruments
(not
accounted
for
as
hedging
instruments)
on
the
Statement
of
Operations
for
the
year
ended
October
31,
2021
Amount
of
Realized
Gain/(Loss)
Recognized
on
Derivatives
Derivative
Credit
Contracts
Interest
Rate
Contracts
Total
Futures
contracts
$—
$1,401,119
1,401,119
Swap
contracts
(48,323)
—
(48,323)
Total
$(48,323)
$1,401,119
1,352,796
Amount
of
Change
in
Unrealized
Appreciation/(Depreciation)
Recognized
on
Derivatives
Derivative
Credit
Contracts
Interest
Rate
Contracts
Total
Futures
contracts
$—
$155,238
$155,238
Swap
contracts
(10,032)
—
(10,032)
Total
$(10,032)
$155,238
$145,206
Average
ending
Monthly
Value
of
Derivative
Instruments
During
the
Year
Ended
October
31,
2021
Derivative
Value*
Futures
contracts,
purchased
$28,793,171
Futures
contracts,
sold
80,882,247
Centrally
Cleared
Credit
default
swaps,
buy
protection
(242,883)
*
Futures
contracts
and
centrally-cleared
swaps
are
reported
as
the
average
ending
monthly
notional
value.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
October
31,
2021
Janus
Detroit
Street
Trust
13
Bloomberg
Barclays
U.S.
MBS
Index
Bloomberg
Barclays
U.S.
MBS
Index
tracks
the
performance
of
U.S.
fixed-rate
agency
mortgage
backed
pass-
through
securities.
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
GNMA
Government
National
Mortgage
Association
ICE
Intercontinental
Exchange
LIBOR
LIBOR
(London
Interbank
Offered
Rate)
is
a
short-term
interest
rate
that
banks
offer
one
another
and
generally
represents
current
cash
rates.
LLC
Limited
Liability
Company
LP
Limited
Partnership
SOFR30A
Secured
Overnight
Financing
Rate
30
Day
Average
TBA
(To
Be
Announced)
Securities
are
purchased/sold
on
a
forward
commitment
basis
with
an
approximate
principal
amount
and
no
defined
maturity
date.
The
actual
principal
and
maturity
date
will
be
determined
upon
settlement
when
specific
mortgage
pools
are
assigned.
UMBS
Uniform
Mortgage-Backed
Securities
#
Loaned
security;
a
portion
of
the
security
is
on
loan
at
October
31,
2021.
∞
Rate
shown
is
the
7-day
yield
as
of
October
31,
2021.
£
The
Fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
Investment
Company
Act
of
1940,
as
amended,
an
affiliated
company
is
one
in
which
the
Fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
which
is
under
common
ownership
or
control.
Δ
Net
of
income
paid
to
the
securities
lending
agent
and
rebates
paid
to
the
borrowing
counterparties.
Ç
Step
bond.
The
coupon
rate
will
increase
or
decrease
periodically
based
upon
a
predetermined
schedule.
The
rate
shown
reflects
the
current
rate.
‡
The
interest
rate
on
floating
rate
notes
is
based
on
an
index
or
market
interest
rates
and
is
subject
to
change.
Rate
in
the
security
description
is
as
of
October
31,
2021
¤
Zero
coupon
bond.
144A
Securities
sold
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended,
are
subject
to
legal
and/or
contractual
restrictions
on
resale
and
may
not
be
publicly
sold
without
registration
under
the
1993
Act.
Unless
otherwise
noted,
these
securities
have
been
determined
to
be
liquid
in
accordance
with
the
requirements
of
Rule
22e-4,
under
the
1940
Act.
The
total
value
of
144A
securities
as
of
the
year
ended
October
31,
2021
is
$137,945,389
which
represents
16.3%
of
net
assets.
(a)
IO
–
Interest
Only
(b)
Settlement
is
on
a
delayed
delivery
or
when-issued
basis
with
final
maturity
TBA
in
the
future.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
October
31,
2021
14
October
31,
2021
The
following
is
a
summary
of
the
inputs
that
were
used
to
value
the
Fund's
investments
in
securities
and
other
financial
instruments
as
of
October
31,
2021
.
See
Notes
to
Financial
Statements
for
more
information.
Valuation
Inputs
Summary
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Assets
Investments
in
Securities:
Asset-Backed
Securities
$
—
$
20,258,441
$
—
Corporate
Bonds
—
7,009,682
—
Mortgage-Backed
Securities
—
958,460,203
—
Preferred
Stock
1,010,000
—
—
Investment
Companies
—
484,064,930
—
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
—
28,600
—
Total
Investments
in
Securities
$
1,010,000
$
1,469,821,856
$
—
Other
Financial
Instruments
(a)
:
Variation
Margin
Receivable
on
Cent
rally
Cleared
Swaps
$
—
$
417,566
$
—
Variation
Margin
Receivable
on
Futures
Contracts
12,806
—
—
Total
Other
Financial
Instruments
$
12,806
$
417,566
$
—
Total
Assets
$
1,022,806
$
1,470,239,422
$
—
Liabilities
TBA
sales
commitments:
Mortgage-Backed
Securities
$
—
$
51,001,471
$
—
Total
Liabilities
$
—
$
51,001,471
$
—
(a)
Other
financial
instruments
include
futures
and
swap
contracts.
Futures
and
centrally
cleared
swap
contracts
are
reported
at
their
variation
margin
at
measurement
date,
which
represents
the
amount
due
to/from
the
Fund
at
that
date.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Statement
of
Assets
and
Liabilities
October
31,
2021
Janus
Detroit
Street
Trust
15
See
Notes
to
Financial
Statements.
Assets:
Unaffiliated
investments,
at
value
(cost
$985,351,163)
(1)
$
986,744,046
Affiliated
investments,
at
value
(cost
$484,082,300)
484,087,810
Due
from
broker
for
centrally
cleared
swaps
30,966
Due
from
broker
for
futures
390,000
Receivable
for
variation
margin
on
swaps
417,566
Receivable
for
variation
margin
on
futures
contracts
12,806
Receivables:
TBA
investments
sold
89,521,401
Dividends
11,278
Interest
668,635
Affiliated
securities
lending
income,
net
102
Due
from
custodian
33,170
Total
Assets
1,561,917,780
Liabilities:
TBA
sales
commitments,
at
value
(proceeds
$51,019,809)
51,001,471
Collateral
on
securities
loaned
(Note
3)
28,600
Payables:
—
Due
to
custodian
116,574
TBA
investments
purchased
662,200,005
Management
fees
197,363
Total
Liabilities
713,544,013
Net
Assets
$
848,373,767
Net
Assets
Consists
of:
Capital
(par
value
and
paid-in
surplus)
$
846,215,489
Total
distributable
earnings
(loss)
2,158,278
Total
Net
Assets
$
848,373,767
Net
Assets
$
848,373,767
Shares
outstanding,
$0.001
Par
Value
(unlimited
shares
authorized)
16,025,000
Net
Asset
Value
Per
Share
$
52.94
(1)
Includes
$27,830
of
securites
on
loan.
See
Note
2
in
Notes
to
Financial
Statements.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Statement
of
Operations
For
the
year
ended
October
31,
2021
16
October
31,
2021
See
Notes
to
Financial
Statements.
Investment
Income:
Interest
$
10,784,145
Dividends
77,676
Dividends
from
affiliates
792
Affiliated
securities
lending
income,
net    
102
Total
Investment
Income
10,862,715
Expenses:
Management
Fees
2,023,761
Total
Expenses
2,023,761
Net
Investment
Income/(Loss)
8,838,954
Net
Realized
Gain/(Loss)
on
Investments:
Investments
$
1,036,529
Investments
in
affiliates
(
5,510
)
TBA
sales
commitments
(
2,387,569
)
Futures
contracts
1,401,119
Swap
contracts
(
48,323
)
Total
Net
Realized
Gain/(Loss)
on
Investments
$
(
3,754
)
Change
in
Unrealized
Net
Appreciation/Depreciation:
Investments
$
(
3,913,302
)
Investments
in
affiliates
5,510
TBA
sales
commitments
45,908
Futures
contracts
155,238
Swap
contracts
(
10,032
)
Total
Change
in
Unrealized
Net
Appreciation/Depreciation
$
(
3,716,678
)
Net
Increase/(Decrease)
in
Net
Assets
Resulting
from
Operations
$
5,118,522
Janus
Henderson
Mortgage-Backed
Securities
ETF
Statements
of
Changes
in
Net
Assets
Janus
Detroit
Street
Trust
17
See
Notes
to
Financial
Statements.
Year
Ended
October
31,
2021
Year
Ended
October
31,
2020
Operations:
Net
investment
income/(loss)
$
8,838,954
$
8,537,473
Net
realized
gain/(loss)
on
investments
(
3,754
)
5,201,002
Change
in
unrealized
net
appreciation/depreciation
(
3,716,678
)
3,690,595
Net
Increase/(Decrease)
in
Net
Assets
Resulting
from
Operations
5,118,522
17,429,070
Dividends
and
Distributions
to
Shareholders:
—
—
Dividends
and
Distributions
(
13,788,144
)
(
10,243,739
)
Net
Decrease
from
Dividends
and
Distributions
to
Shareholders
(
13,788,144
)
(
10,243,739
)
Capital
Share
Transactions
278,398,450
403,078,165
Net
Increase/(Decrease)
in
Net
Assets
269,728,828
410,263,496
Net
Assets:
—
—
Beginning
of
Year  
578,644,939
168,381,443
End
of
Year
$
848,373,767
$
578,644,939
Janus
Henderson
Mortgage-Backed
Securities
ETF
Financial
Highlights
18
October
31,
2021
See
Notes
to
Financial
Statements.
For
a
share
outstanding
during
each
year
or
period
ended
October
31
2021
2020
2019
2018
(1)
Net
Asset
Value,
Beginning
of
Period
$53.58
$52.62
$49.53
$50.00
Income/(Loss)
from
Investment
Operations:
—
—
—
—
Net
investment
income/(loss)
(2)
0.66
1.22
1.56
0.17
Net
realized
and
unrealized
gain/(loss)
(0.19)
1.51
3.03
(0.64)
Total
from
Investment
Operations
0.47
2.73
4.59
(0.47)
Less
Dividends
and
Distributions:
—
—
—
—
Dividends
(from
net
investment
income)
(1.00)
(1.77)
(1.50)
—
Distributions
(from
capital
gains)
(0.11)
—
—
—
Total
Dividends
and
Distributions
(1.11)
(1.77)
(1.50)
—
Net
Asset
Value,
End
of
Period
$52.94
$53.58
$52.62
$49.53
Total
Return
*
0.88%
5.30%
(3)
9.40%
(3)
(0.94)%
Net
assets,
End
of
Period
(in
thousands)
$848,374
$578,645
$168,381
$32,193
Average
Net
Assets
for
the
Period
(in
thousands)
$712,596
$369,845
$78,797
$30,452
Ratios
to
Average
Net
Assets
**
Ratio
of
Gross
Expenses
0.28%
0.32%
0.35%
0.35%
Ratio
of
Net
Investment
Income/(Loss)
1.24%
2.31%
3.05%
2.67%
Portfolio
Turnover
Rate
(4)(5)
162%
300%
348%
91%
*
Total
return
not
annualized
for
periods
of
less
than
one
full
year.
**
Annualized
for
periods
of
less
than
one
full
year.
(1)
Period
from
September
12,
2018
(commencement
of
operations)
through
October
31,
2018.
(2)
Per
share
amounts
are
calculated
based
on
average
shares
outstanding
during
the
year
or
period.
(3)
The
return
includes
adjustments
in
accordance
with
generally
accepted
accounting
principles
required
at
period
end
date.
(4)
Portfolio
turnover
rate
excludes
securities
received
or
delivered
from
in-kind
processing
of
creation
or
redemptions.
(5)
Portfolio
Turnover
Rate
excludes
TBA
(to
be
announced)
purchase
and
sales
commitments.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
19
1.
Organization
and
Significant
Accounting
Policies
Janus
Henderson
Mortgage-Backed
Securities
ETF
(the
“Fund”)
is
a
series
fund.
The
Fund
is
part
of
Janus
Detroit
Street
Trust
(the
“Trust”),
which
is
organized
as
a
Delaware
statutory
trust
and
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“1940
Act”),
as
an
open-end
management
investment
company,
and
therefore
has
applied
the
specialized
accounting
and
reporting
guidance
in
Financial
Accounting
Standards
Board
(“FASB”)
Accounting
Standards
Codification
(“ASC”)
Topic
946.
As
of
the
date
of
this
report,
the
Trust
offers eleven
Funds
each
of
which
represent
shares
of
beneficial
interest
in
a
separate
portfolio
of
securities
and
other
assets
with
its
own
objective
and
policies.
The
Fund
seeks
a
high
level
of
total
return
consisting
of
income
and
capital
appreciation.
The
Fund
is
classified
as
diversified,
as
defined
in
the
1940
Act.
The
Fund
is
an
actively-managed
exchange-traded
fund.
Unlike
shares
of
traditional
mutual
funds,
shares
of
the
Fund
are
not
individually
redeemable
and
may
only
be
purchased
or
redeemed
directly
from
the
Fund
at
net
asset
value
(“NAV”)
in
large
increments
called
“Creation
Units”
by
certain
participants,
known
as
“Authorized
Participants.”
The
size
of
a
Creation
Unit
to
purchase
shares
of
the
Fund
may
differ
from
the
size
of
a
Creation
Unit
to
redeem
shares
of
the
Fund.
The
Fund
will
issue
or
redeem
Creation
Units
in
exchange
for
portfolio
securities
and/or
cash.
Except
when
aggregated
in
Creation
Units,
Fund
shares
are
not
redeemable
securities
of
the
Fund.
Shares
of
the
Fund
are
listed
and
trade
on
NYSE
Arca,
Inc.
(NYSE
Arca"),
and
individual
investors
can
purchase
or
sell
shares
in
much
smaller
increments
for
cash
in
the
secondary
market
through
a
broker.
These
transactions,
which
do
not
involve
the
Fund,
are
made
at
market
prices
that
may
vary
throughout
the
day
and
differ
from
the
Fund’s
NAV.
As
a
result,
you
may
pay
more
than
NAV
(a
premium)
when
you
purchase
shares
and
receive
less
than
NAV
(a
discount)
when
you
sell
shares,
in
the
secondary
market.
An
Authorized
Participant
(or
other
broker-dealers
making
markets
in
shares
of
the
Fund)
may
hold
of
record
more
than
25%
of
the
outstanding
shares
of
the
Fund.
From
time
to
time,
Authorized
Participants
(or
other
broker-dealers
making
markets
in
shares
of
the
Fund)
may
be
a
beneficial
and/or
legal
owner
of
the
Fund,
may
be
affiliated
with
an
index
provider,
may
be
deemed
to
have
control
of
the
Fund
and/or
may
be
able
to
affect
the
outcome
of
matters
presented
for
a
vote
of
the
shareholders
of
the
Fund.
Authorized
Participants
(or
other
broker-dealers
making
markets
in
shares
of
the
Fund)
may
execute
an
irrevocable
proxy
granting
the
Distributor,
Janus
Capital
Management
LLC
(“Janus
Capital”
or
“Janus”
or
"Agent")
or
an
affiliate
of
Janus
Capital
power
to
vote
or
abstain
from
voting
such
Authorized
Participant’s
beneficially
or
legally
owned
shares
of
the
Fund.
In
such
cases,
the
Agent
shall
mirror
vote
(or
abstain
from
voting)
such
shares
in
the
same
proportion
as
all
other
beneficial
owners
of
the
Fund. 
The
following
accounting
policies
have
been
followed
by
the
Fund
and
are
in
conformity
with
United
States
of
America
generally
accepted
accounting
principles
(“US
GAAP”). 
Investment
Valuation 
Securities
held
by
the
Fund
are
valued
in
accordance
with
policies
and
procedures
established
by
and
under
the
supervision
of
the
Trustees
(the
“Valuation
Procedures”).
Equity
securities,
including
shares
of
exchange-traded
funds,
traded
on
a
domestic
securities
exchange
are
generally
valued
at
the
closing
prices
on
the
primary
market
or
exchange
on
which
they
trade.
If
such
price
is
lacking
for
the
trading
period
immediately
preceding
the
time
of
determination,
such
securities
are
valued
at
their
current
bid
price.
Equity
securities
that
are
traded
on
a
foreign
exchange
are
generally
valued
at
the
closing
prices
on
such
markets.
In
the
event
that
there
is
no
current
trading
volume
on
a
particular
security
in
such
foreign
exchange,
the
bid
price
from
the
primary
exchange
is
generally
used
to
value
the
security.
Securities
that
are
traded
on
the
over-the-counter
(“OTC”)
markets
are
generally
valued
at
their
closing
or
latest
bid
prices
as
available.
Foreign
securities
and
currencies
are
converted
to
U.S.
dollars
using
the
applicable
exchange
rate
in
effect
at
the
close
of
the
London
Stock
Exchange.
The
Fund
will
determine
the
market
value
of
individual
securities
held
by
it
by
using
prices
provided
by
one
or
more
approved
professional
pricing
services
or,
as
needed,
by
obtaining
market
quotations
from
independent
broker-dealers.
Most
debt
securities
are
valued
in
accordance
with
the
evaluated
bid
price
supplied
by
the
pricing
service
that
is
intended
to
reflect
market
value.
The
evaluated
bid
price
supplied
by
the
pricing
service
is
an
evaluation
that
may
consider
factors
such
as
security
prices,
yields,
maturities
and
ratings.
Certain
short-term
securities
maturing
within
60
days
or
less
may
be
evaluated
and
valued
on
an
amortized
cost
basis
provided
that
the
amortized
cost
determined
approximates
market
value.
Securities
for
which
market
quotations
or
evaluated
prices
are
not
readily
available,
or
are
deemed
unreliable,
are
valued
at
fair
value
determined
in
good
faith
under
the
Valuation
Procedures.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
20
October
31,
2021
Circumstances
in
which
fair
value
pricing
may
be
utilized
include,
but
are
not
limited
to:
(i)
a
significant
event
that
may
affect
the
securities
of
a
single
issuer,
such
as
a
merger,
bankruptcy,
or
significant
issuer-
specific
development;
(ii)
an
event
that
may
affect
an
entire
market,
such
as
a
natural
disaster
or
significant
governmental
action;
(iii)
a
nonsignificant
event
such
as
a
market
closing
early
or
not
opening,
or
a
security
trading
halt;
and
(iv)
pricing
of
a
nonvalued
security
and
a
restricted
or
nonpublic
security.
Special
valuation
considerations
may
apply
with
respect
to
“odd-lot”
fixed-income
transactions
which,
due
to
their
small
size,
may
receive
evaluated
prices
by
pricing
services
which
reflect
a
large
block
trade
and
not
what
actually
could
be
obtained
for
the
odd-lot
position. 
Valuation
Inputs
Summary 
FASB
ASC
820,
Fair
Value
Measurements
and
Disclosures
(“ASC
820”),
defines
fair
value,
establishes
a
framework
for
measuring
fair
value,
and
expands
disclosure
requirements
regarding
fair
value
measurements.
This
standard
emphasizes
that
fair
value
is
a
market-based
measurement
that
should
be
determined
based
on
the
assumptions
that
market
participants
would
use
in
pricing
an
asset
or
liability
and
establishes
a
hierarchy
that
prioritizes
inputs
to
valuation
techniques
used
to
measure
fair
value.
These
inputs
are
summarized
into
three
broad
levels: 
Level
1
–
Unadjusted
quoted
prices
in
active
markets
the
Fund
has
the
ability
to
access
for
identical
assets
or
liabilities.
Level
2
–
Observable
inputs
other
than
unadjusted
quoted
prices
included
in
Level
1
that
are
observable
for
the
asset
or
liability
either
directly
or
indirectly.
These
inputs
may
include
quoted
prices
for
the
identical
instrument
on
an
inactive
market,
prices
for
similar
instruments,
interest
rates,
prepayment
speeds,
credit
risk,
yield
curves,
default
rates
and
similar
data.
Assets
or
liabilities
categorized
as
Level
2
in
the
hierarchy
generally
include:
debt
securities
fair
valued
in
accordance
with
the
evaluated
bid
or
ask
prices
supplied
by
a
pricing
service;
securities
traded
on
OTC
markets
and
listed
securities
for
which
no
sales
are
reported
that
are
fair
valued
at
the
latest
bid
price
(or
yield
equivalent
thereof)
obtained
from
one
or
more
dealers
transacting
in
a
market
for
such
securities
or
by
a
pricing
service
approved
by
the
Fund’s
Trustees;
and
certain
short-term
debt
securities
with
maturities
of
60
days
or
less
that
are
fair
valued
at
amortized
cost.
Other
securities
that
may
be
categorized
as
Level
2
in
the
hierarchy
include,
but
are
not
limited
to,
preferred
stocks,
bank
loans,
swaps,
investments
in
unregistered
investment
companies,
options,
and
forward
contracts.
Level
3
–
Unobservable
inputs
for
the
asset
or
liability
to
the
extent
that
relevant
observable
inputs
are
not
available,
representing
the
Fund’s
own
assumptions
about
the
assumptions
that
a
market
participant
would
use
in
valuing
the
asset
or
liability,
and
that
would
be
based
on
the
best
information
available.
There
have
been
no
significant
changes
in
valuation
techniques
used
in
valuing
any
such
positions
held
by
the
Fund
since
the
beginning
of
the
fiscal
year. 
The
inputs
or
methodology
used
for
fair
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
The
summary
of
inputs
used
as
of
October
31,
2021
to
fair
value
the
Fund’s
investments
in
securities
and
other
financial
instruments
is
included
in
the
“Valuation
Inputs
Summary”
in
the
Notes
to
Schedule
of
Investments
and
Other
Information.
Investment
Transactions
and
Investment
Income
Investment
transactions
are
accounted
for
as
of
the
date
purchased
or
sold
(trade
date).
Dividend
income
is
recorded
on
the
ex-dividend
date.
Certain
dividends
from
foreign
securities
will
be
recorded
as
soon
as
the
Fund
is
informed
of
the
dividend,
if
such
information
is
obtained
subsequent
to
the
ex-dividend
date.
Dividends
from
foreign
securities
may
be
subject
to
withholding
taxes
in
foreign
jurisdictions.
Non-cash
dividends,
if
any,
are
recorded
on
the
ex-dividend
date
at
fair
value.
Interest
income
is
recorded
daily
on
an
accrual
basis
and
includes
amortization
of
premiums
and
accretion
of
discounts.
The
Fund
classifies
gains
and
losses
on
prepayments
received
as
an
adjustment
to
interest
income.
Debt
securities
may
be
placed
in
non-accrual
status
and
related
interest
income
may
be
reduced
by
stopping
current
accruals
and
writing
off
interest
receivables
when
collection
of
all
or
a
portion
of
interest
has
become
doubtful.
Gains
and
losses
are
determined
on
the
identified
cost
basis,
which
is
the
same
basis
used
for
federal
income
tax
purposes.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
21
Estimates
The
preparation
of
financial
statements
in
conformity
with
US
GAAP
requires
management
to
make
estimates
and
assumptions
that
affect
the
reported
amount
of
assets
and
liabilities
and
disclosure
of
contingent
assets
and
liabilities
at
the
date
of
the
financial
statements
and
the
reported
amounts
of
income
and
expenses
during
the
reporting
period.
Actual
results
could
differ
from
those
estimates. 
Indemnifications
In
the
normal
course
of
business,
the
Fund
may
enter
into
contracts
that
contain
provisions
for
indemnification
of
other
parties
against
certain
potential
liabilities.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown
and
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not
yet
occurred.
Currently,
the
risk
of
material
loss
from
such
claims
is
considered
remote. 
Dividends
and
Distributions
Dividends
from
net
investment
income
are
generally
declared
and
distributed
monthly.
Net
realized
capital
gains
(if
any)
are
distributed
annually.
The
Fund
may
treat
a
portion
of
the
amount
paid
to
redeem
shares
as
a
distribution
of
investment
company
taxable
income
and
realized
capital
gains
that
are
reflected
in
the
NAV.
This
practice,
commonly
referred
to
as
“equalization,”
has
no
effect
on
the
redeeming
shareholder
or
a
Fund’s
total
return
but
may
reduce
the
amounts
that
would
otherwise
be
required
to
be
paid
as
taxable
dividends
to
the
remaining
shareholders.
It
is
possible
that
the
Internal
Revenue
Service
(IRS)
could
challenge
the
Fund’s
equalization
methodology
or
calculations,
and
any
such
challenge
could
result
in
additional
tax,
interest,
or
penalties
to
be
paid
by
the
Fund. 
Federal
Income
Taxes
The
Fund
intends
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
income
in
accordance
with
the
requirements
of
Subchapter
M
of
the
Internal
Revenue
Code.
Management
has
analyzed
the
Fund’s
tax
positions
taken
for
all
open
federal
income
tax
years,
generally
a
three-year
period,
and
has
concluded
that
no
provision
for
federal
income
tax
is
required
in
the
Fund’s
financial
statements.
The
Fund
is
not
aware
of
any
tax
positions
for
which
it
is
reasonably
possible
that
the
total
amounts
of
unrecognized
tax
benefits
will
significantly
change
in
the
next
twelve
months. 
2.
Derivative
Instruments 
The
Fund
may
invest
in
various
types
of
derivatives.
A
derivative
is
a
financial
instrument
whose
performance
is
derived
from
the
performance
of
another
asset.
The
Fund
may
invest
in
derivative
instruments
including,
but
not
limited
to
futures
contracts,
options,
and
swaps.
Each
derivative
instrument
that
was
held
by
the
Fund
during
the year
ended
October
31,
2021 is
discussed
in
further
detail
below.
A
summary
of
derivative
activity
by
the
Fund
is
reflected
in
the
tables
at
the
end
of
the
Schedule
of
Investments.
The
Fund
may
use
derivatives
only
to
manage
or
hedge
portfolio
risk,
including
interest
rate
risk,
or
to
manage
duration.
The
Fund’s
exposure
to
derivatives
will
vary.
The
Fund
may
also
enter
into
short
positions
for
hedging
purposes.
The
Fund’s
use
of
derivative
instruments
involves
risks
different
from,
or
possibly
greater
than,
the
risks
associated
with
investing
directly
in
securities
and
other
traditional
investments.
Derivatives
are
subject
to
a
number
of
risks
including
liquidity
risk,
market
risk,
credit
risk,
default
risk,
counterparty
risk
and
management
risk.
They
also
involve
the
risk
of
mispricing
or
improper
valuation
and
the
risk
that
changes
in
the
value
of
the
derivative
may
not
correlate
exactly
with
the
change
in
the
value
of
the
underlying
asset,
rate
or
index.
Also,
suitable
derivative
transactions
may
not
be
available
in
all
circumstances
and
there
can
be
no
assurance
that
the
Fund
will
engage
in
these
transactions
to
reduce
exposure
to
other
risks
when
that
would
be
beneficial.
While
use
of
derivatives
to
hedge
can
reduce
or
eliminate
losses,
it
can
also
reduce
or
eliminate
gains
or
cause
losses
if
the
market
moves
in
a
manner
different
from
that
anticipated
by
Janus
Capital
or
if
the
cost
of
the
derivative
outweighs
the
benefit
of
the
hedge.
The
Fund’s
ability
to
use
derivatives
may
also
be
limited
by
certain
regulatory
and
tax
considerations. 
In
pursuit
of
its
investment
objective,
the
Fund
may
seek
to
use
derivatives
to
increase
or
decrease
exposure
to
the
following
market
risk
factors: 
Counterparty
Risk
 -
the
risk
that
the
counterparty
(the
party
on
the
other
side
of
the
transaction)
on
a
derivative
transaction
will
be
unable
to
honor
its
financial
obligation
to
the
Fund. 
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
22
October
31,
2021
Credit
Risk
-
the
risk
an
issuer
will
be
unable
to
make
principal
and
interest
payments
when
due
or
will
default
on
its
obligations. 
Currency
Risk
-
the
risk
that
changes
in
the
exchange
rate
between
currencies
will
adversely
affect
the
value
(in
U.S.
dollar
terms)
of
an
investment. 
Index
Risk
-
if
the
derivative
is
linked
to
the
performance
of
an
index,
it
will
be
subject
to
the
risks
associated
with
changes
in
that
index.
If
the
index
changes,
the
Fund
could
receive
lower
interest
payments
or
experience
a
reduction
in
the
value
of
the
derivative
to
below
what
the
Fund
paid.
Certain
indexed
securities,
including
inverse
securities
(which
move
in
an
opposite
direction
to
the
index),
may
create
leverage,
to
the
extent
that
they
increase
or
decrease
in
value
at
a
rate
that
is
a
multiple
of
the
changes
in
the
applicable
index. 
Interest
Rate
Risk
-
the
risk
that
the
value
of
fixed-income
securities
will
generally
decline
as
prevailing
interest
rates
rise,
which
may
cause
the
Fund's
NAV
to
likewise
decrease. 
Leverage
Risk
-
the
risk
associated
with
certain
types
of
leveraged
investments
or
trading
strategies
pursuant
to
which
relatively
small
market
movements
may
result
in
large
changes
in
the
value
of
an
investment.
The
Fund
creates
leverage
by
investing
in
instruments,
including
derivatives,
where
the
investment
loss
can
exceed
the
original
amount
invested.
Certain
investments
or
trading
strategies,
such
as
short
sales,
that
involve
leverage
can
result
in
losses
that
greatly
exceed
the
amount
originally
invested. 
Liquidity
Risk
-
the
risk
that
certain
securities
may
be
difficult
or
impossible
to
sell
at
the
time
that
the
seller
would
like
or
at
the
price
that
the
seller
believes
the
security
is
currently
worth. 
Derivatives
may
generally
be
traded
OTC
or
on
an
exchange.
Derivatives
traded
OTC
are
agreements
that
are
individually
negotiated
between
parties
and
can
be
tailored
to
meet
a
purchaser's
needs.
OTC
derivatives
are
not
guaranteed
by
a
clearing
agency
and
may
be
subject
to
increased
credit
risk. 
In
an
effort
to
mitigate
credit
risk
associated
with
derivatives
traded
OTC,
the
Fund
may
enter
into
collateral
agreements
with
certain
counterparties
whereby,
subject
to
certain
minimum
exposure
requirements,
the
Fund
may
require
the
counterparty
to
post
collateral
if
the
Fund
has
a
net
aggregate
unrealized
gain
on
all
OTC
derivative
contracts
with
a
particular
counterparty.
Additionally,
the
Fund
may
deposit
cash
and/or
treasuries
as
collateral
with
the
counterparty
and/
or
custodian
daily
(based
on
the
daily
valuation
of
the
financial
asset)
if
the
Fund
has
a
net
aggregate
unrealized
loss
on
OTC
derivative
contracts
with
a
particular
counterparty.
All
liquid
securities
and
restricted
cash
are
considered
to
cover
in
an
amount
at
all
times
equal
to
or
greater
than
the
Fund’s
commitment
with
respect
to
certain
exchange-
traded
derivatives,
centrally
cleared
derivatives,
short
sales,
and/or
securities
with
extended
settlement
dates.
There
is
no
guarantee
that
counterparty
exposure
is
reduced
and
these
arrangements
are
dependent
on
Janus
Capital’s
ability
to
establish
and
maintain
appropriate
systems
and
trading.
Futures
Contracts 
A
futures
contract
is
an
exchange-traded
agreement
to
take
or
make
delivery
of
an
underlying
asset
at
a
specific
time
in
the
future
for
a
specific
predetermined
negotiated
price.
The
Fund
may
enter
into
futures
contracts
to
hedge
or
protect
itself
from
fluctuations
or
other
adverse
movement
in
the
value
of
individual
securities,
the
securities
markets
generally,
or
interest
rate
fluctuations,
without
actually
buying
or
selling
the
underlying
debt
security.
The
Fund
is
subject
to
interest
rate
risk
and
equity
risk
in
the
normal
course
of
pursuing
its
investment
objective
through
its
investments
in
futures
contracts.
The
use
of
futures
contracts
may
involve
risks
such
as
the
possibility
of
illiquid
markets
or
imperfect
correlation
between
the
values
of
the
contracts
and
the
underlying
securities,
or
that
the
counterparty
will
fail
to
perform
its
obligations.
Futures
contracts
on
commodities
are
valued
at
the
settlement
price
on
valuation
date
on
the
commodities
exchange
as
reported
by
an
approved
vendor.
Mini
contracts,
as
defined
in
the
description
of
the
contract,
shall
be
valued
using
the
Actual
Settlement
Price
or
“ASET”
price
type
as
reported
by
an
approved
vendor.
Futures
contracts
are
marked-to-market
daily,
and
the
daily
variation
margin
is
recorded
as
a
receivable
or
payable
on
the
Statement
of
Assets
and
Liabilities
(if
applicable).
The
change
in
unrealized
net
appreciation/depreciation
is
reported
on
the
Statement
of
Operations
(if
applicable).
When
a
contract
is
closed,
a
realized
gain
or
loss
is
reported
on
the
Statement
of
Operations
(if
applicable),
equal
to
the
difference
between
the
opening
and
closing
value
of
the
contract.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
23
Securities
held
by
the
Fund
that
are
designated
as
collateral
for
market
value
on
futures
contracts
are
noted
on
the
Schedule
of
Investments
(if
applicable).
Such
collateral
is
in
the
possession
of
the
Fund's
futures
option
merchant. 
With
futures,
there
is
minimal
counterparty
credit
risk
to
the
Fund
since
futures
are
exchange-traded
and
the
exchange's
clearinghouse,
as
counterparty
to
all
exchange-traded
futures,
guarantees
the
futures
against
default. 
During
the
year,
the
Fund
purchased
interest
rate
futures
to
increase
exposure
to
interest
rate
risk.
During
the
year,
the
Fund
sold
interest
rate
futures
to
decrease
exposure
to
interest
rate
risk. 
Swaps 
Swap
agreements
are
two-party
contracts
entered
into
primarily
by
institutional
investors
for
periods
ranging
from
a
day
to
more
than
one
year
to
exchange
one
set
of
cash
flows
for
another.
The
most
significant
factor
in
the
performance
of
swap
agreements
is
the
change
in
value
of
the
specific
index,
security,
or
currency,
or
other
factors
that
determine
the
amounts
of
payments
due
to
and
from
the
Fund.
The
use
of
swaps
is
a
highly
specialized
activity
which
involves
investment
techniques
and
risks
different
from
those
associated
with
ordinary
portfolio
securities
transactions.
Swap
agreements
entail
the
risk
that
a
party
will
default
on
its
payment
obligations
to
the
Fund.
If
the
other
party
to
a
swap
defaults,
the
Fund
would
risk
the
loss
of
the
net
amount
of
the
payments
that
it
contractually
is
entitled
to
receive.
If
the
Fund
utilizes
a
swap
at
the
wrong
time
or
judges
market
conditions
incorrectly,
the
swap
may
result
in
a
loss
to
the
Fund
and
reduce
the
Fund’s
total
return.
Swap
agreements
also
bear
the
risk
that
the
Fund
will
not
be
able
to
meet
its
obligation
to
the
counterparty.
Swap
agreements
are
typically
privately
negotiated
and
entered
into
in
the
OTC
market.
However,
certain
swap
agreements
are
required
to
be
cleared
through
a
clearinghouse
and
traded
on
an
exchange
or
swap
execution
facility.
Swaps
that
are
required
to
be
cleared
are
required
to
post
initial
and
variation
margins
in
accordance
with
the
exchange
requirements.
Regulations
enacted
require
the
Fund
to
centrally
clear
certain
interest
rate
and
credit
default
index
swaps
through
a
clearinghouse
or
central
counterparty
(“CCP”).
To
clear
a
swap
with
a
CCP,
the
Fund
will
submit
the
swap
to,
and
post
collateral
with,
a
futures
clearing
merchant
(“FCM”)
that
is
a
clearinghouse
member.
Alternatively,
the
Fund
may
enter
into
a
swap
with
a
financial
institution
other
than
the
FCM
(the
“Executing
Dealer”)
and
arrange
for
the
swap
to
be
transferred
to
the
FCM
for
clearing.
The
Fund
may
also
enter
into
a
swap
with
the
FCM
itself.
The
CCP,
the
FCM,
and
the
Executing
Dealer
are
all
subject
to
regulatory
oversight
by
the
U.S.
Commodity
Futures
Trading
Commission
(“CFTC”).
A
default
or
failure
by
a
CCP
or
an
FCM,
or
the
failure
of
a
swap
to
be
transferred
from
an
Executing
Dealer
to
the
FCM
for
clearing,
may
expose
the
Fund
to
losses,
increase
its
costs,
or
prevent
the
Fund
from
entering
or
exiting
swap
positions,
accessing
collateral,
or
fully
implementing
its
investment
strategies.
The
regulatory
requirement
to
clear
certain
swaps
could,
either
temporarily
or
permanently,
reduce
the
liquidity
of
cleared
swaps
or
increase
the
costs
of
entering
into
those
swaps.
Index
swaps,
interest
rate
swaps,
inflation
swaps
and
credit
default
swaps
are
valued
using
an
approved
vendor
supplied
price.
Basket
swaps
are
valued
using
a
broker
supplied
price.
Equity
swaps
that
consist
of
a
single
underlying
equity
are
valued
either
at
the
closing
price,
the
latest
bid
price,
or
the
last
sale
price
on
the
primary
market
or
exchange
it
trades.
The
market
value
of
swap
contracts
are
aggregated
by
positive
and
negative
values
and
are
disclosed
separately
as
an
asset
or
liability
on
the
Fund’s
Statement
of
Assets
and
Liabilities
(if
applicable).
Realized
gains
and
losses
are
reported
on
the
Statement
of
Operations
(if
applicable).
The
change
in
unrealized
net
appreciation
or
depreciation
during
the
period
is
included
in
the
Statement
of
Operations
(if
applicable).
The
Fund’s
maximum
risk
of
loss
from
counterparty
risk
or
credit
risk
is
the
discounted
value
of
the
payments
to
be
received
from/paid
to
the
counterparty
over
the
contract’s
remaining
life,
to
the
extent
that
the
amount
is
positive.
The
risk
is
mitigated
by
having
a
netting
arrangement
between
the
Fund
and
the
counterparty
and
by
the
posting
of
collateral
by
the
counterparty
to
cover
the
Fund’s
exposure
to
the
counterparty.
The
Fund
may
enter
into
various
types
of
credit
default
swap
agreements,
including
OTC
credit
default
swap
agreements
and
index
credit
default
swaps
(“CDX”),
for
hedging
purposes.
Credit
default
swaps
are
a
specific
kind
of
counterparty
agreement
that
allow
the
transfer
of
third-party
credit
risk
from
one
party
to
the
other.
One
party
in
the
swap
is
a
lender
and
faces
credit
risk
from
a
third
party,
and
the
counterparty
in
the
credit
default
swap
agrees
to
insure
this
risk
in
exchange
for
regular
periodic
payments.
Credit
default
swaps
could
result
in
losses
if
the
Fund
does
not
correctly
evaluate
the
creditworthiness
of
the
company
or
companies
on
which
the
credit
default
swap
is
based.
Credit
default
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
24
October
31,
2021
swap
agreements
may
involve
greater
risks
than
if
the
Fund
had
invested
in
the
reference
obligation
directly
since,
in
addition
to
risks
relating
to
the
reference
obligation,
credit
default
swaps
are
subject
to
liquidity
risk,
counterparty
risk,
and
credit
risk.
The
Fund
will
generally
incur
a
greater
degree
of
risk
when
it
sells
a
credit
default
swap
than
when
it
purchases
a
credit
default
swap.
As
a
buyer
of
a
credit
default
swap,
the
Fund
may
lose
its
investment
and
recover
nothing
should
no
credit
event
occur,
and
the
swap
is
held
to
its
termination
date.
As
seller
of
a
credit
default
swap,
if
a
credit
event
were
to
occur,
the
value
of
any
deliverable
obligation
received
by
the
Fund,
coupled
with
the
upfront
or
periodic
payments
previously
received,
may
be
less
than
what
it
pays
to
the
buyer,
resulting
in
a
loss
of
value
to
the
Fund.
If
the
Fund
is
the
seller
of
credit
protection
against
a
particular
security,
the
Fund
would
receive
an
up-front
or
periodic
payment
to
compensate
against
potential
credit
events.
As
the
seller
in
a
credit
default
swap
contract,
the
Fund
would
be
required
to
pay
the
par
value
(the
“notional
value”)
(or
other
agreed-upon
value)
of
a
referenced
debt
obligation
to
the
counterparty
in
the
event
of
a
default
by
a
third
party,
such
as
a
U.S.
or
foreign
corporate
issuer,
on
the
debt
obligation.
In
return,
the
Fund
would
receive
from
the
counterparty
a
periodic
stream
of
payments
over
the
term
of
the
contract
provided
that
no
event
of
default
has
occurred.
If
no
default
occurs,
the
Fund
would
keep
the
stream
of
payments
and
would
have
no
payment
obligations.
As
the
seller,
the
Fund
would
effectively
add
leverage
to
its
portfolio
because,
in
addition
to
its
total
net
assets,
the
Fund
would
be
subject
to
investment
exposure
on
the
notional
value
of
the
swap.
The
maximum
potential
amount
of
future
payments
(undiscounted)
that
the
Fund
as
a
seller
could
be
required
to
make
in
a
credit
default
transaction
would
be
the
notional
amount
of
the
agreement.
As
a
buyer
of
credit
protection,
the
Fund
is
entitled
to
receive
the
par
(or
other
agreed-upon)
value
of
a
referenced
debt
obligation
from
the
counterparty
to
the
contract
in
the
event
of
a
default
or
other
credit
event
by
a
third
party,
such
as
a
U.S.
or
foreign
issuer,
on
the
debt
obligation.
In
return,
the
Fund
as
buyer
would
pay
to
the
counterparty
a
periodic
stream
of
payments
over
the
term
of
the
contract
provided
that
no
credit
event
has
occurred.
If
no
credit
event
occurs,
the
Fund
would
have
spent
the
stream
of
payments
and
potentially
received
no
benefit
from
the
contract.
During
the
year,
the
Fund
purchased
protection
via
the
credit
default
swap
market
in
order
to
reduce
credit
risk
exposure
to
individual
corporates,
countries
and/or
credit
indices
where
gaining
this
exposure
via
the
cash
bond
market
was
less
attractive. 
3.
Other
Investments
and
Strategies 
Additional
Investment
Risk 
In
response
to
the
COVID-19
pandemic,
the
U.S.
government
and
the
Federal
Reserve,
as
well
as
certain
foreign
governments
and
central
banks,
have
taken
extraordinary
actions
to
support
local
and
global
economies
and
the
financial
markets,
including
reducing
interest
rates
to
record
low
levels.
Extremely
low
or
negative
interest
rates
may
become
more
prevalent
or
may
not
work
as
intended.
As
there
is
little
precedent
for
this
situation,
the
impact
on
various
markets
that
interest
rate
or
other
significant
policy
changes
may
have
is
unknown.
The
withdrawal
of
this
support,
a
failure
of
measures
put
in
place
in
response
to
such
economic
uncertainty,
or
investor
perception
that
such
efforts
were
not
sufficient
could
each
negatively
affect
financial
markets
generally,
and
the
value
and
liquidity
of
specific
securities.
In
addition,
policy
and
legislative
changes
in
the
United
States
and
in
other
countries
continue
to
impact
many
aspects
of
financial
regulation.
Widespread
disease,
including
pandemics
and
epidemics,
and
natural
or
environmental
disasters,
including
those
which
may
be
attributable
to
global
climate
change,
such
as
earthquakes,
fires,
floods,
hurricanes,
tsunamis
and
weather-related
phenomena
generally,
have
been
and
can
be
highly
disruptive
to
economies
and
markets,
adversely
impacting
individual
companies,
sectors,
industries,
markets,
currencies,
interest
and
inflation
rates,
credit
ratings,
investor
sentiment,
and
other
factors
affecting
the
value
of
a
Fund’s
investments.
Economies
and
financial
markets
throughout
the
world
have
become
increasingly
interconnected,
which
increases
the
likelihood
that
events
or
conditions
in
one
region
or
country
will
adversely
affect
markets
or
issuers
in
other
regions
or
countries,
including
the
United
States.
These
disruptions
could
prevent
a
Fund
from
executing
advantageous
investment
decisions
in
a
timely
manner
and
negatively
impact
a
Fund’s
ability
to
achieve
its
investment
objective(s).
Any
such
event(s)
could
have
a
significant
adverse
impact
on
the
value
of
a
Fund.
In
addition,
these
disruptions
could
also
impair
the
information
technology
and
other
operational
systems
upon
which
the
Fund’s
service
providers,
including
Janus
Capital,
rely,
and
could
otherwise
disrupt
the
ability
of
employees
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
25
of
the
Fund’s
service
providers
to
perform
essential
tasks
on
behalf
of
the
Fund.
Adverse
weather
conditions
may
also
have
a
particularly
negative
effect
on
issuers
in
the
agricultural
sector
in
the
agricultural
sector
and
on
insurance
and
reinsurance
companies
that
insure
or
reinsure
against
the
impact
of
natural
disasters.
A
number
of
countries
in
the
European
Union
(“EU”)
have
experienced,
and
may
continue
to
experience,
severe
economic
and
financial
difficulties.
In
particular,
many
EU
nations
are
susceptible
to
economic
risks
associated
with
high
levels
of
debt.
Many
non-governmental
issuers,
and
even
certain
governments,
have
defaulted
on,
or
been
forced
to
restructure,
their
debts.
Many
other
issuers
have
faced
difficulties
obtaining
credit
or
refinancing
existing
obligations.
Financial
institutions
have
in
many
cases
required
government
or
central
bank
support,
have
needed
to
raise
capital,
and/or
have
been
impaired
in
their
ability
to
extend
credit.
As
a
result,
financial
markets
in
the
EU
have
experienced
extreme
volatility
and
declines
in
asset
values
and
liquidity.
These
difficulties
may
continue,
worsen,
or
spread
further
within
the
EU.
Responses
to
these
financial
problems
by
European
governments,
central
banks,
and
others,
including
austerity
measures
and
reforms,
may
not
work,
may
result
in
social
unrest,
and
may
limit
future
growth
and
economic
recovery
or
have
other
unintended
consequences.
All
of
these
developments
may
continue
to
significantly
affect
the
economies
of
all
EU
countries,
which
in
turn
may
have
a
material
adverse
effect
on
a
Fund's
investments
in
such
countries
that
depend
on
EU
countries
for
significant
amounts
of
trade
or
investment,
or
issues
with
exposure
to
debt
issued
by
certain
EU
countries.
Management
Risk
The
Fund
is
an
actively
managed
investment
portfolio
and
is
therefore
subject
to
the
risk
that
the
investment
strategies
employed
for
the
Fund
may
fail
to
produce
the
intended
results.
Although
the
Fund
seeks
to
provide
long-term
positive
returns,
market
conditions
or
implementation
of
the
Fund's
investment
process
may
result
in
losses,
and
the
Fund
may
not
meet
its
investment
objective.
As
such,
there
can
be
no
assurance
of
positive
"absolute"
returns. 
LIBOR
Replacement
Risk 
The
Fund
may
invest
in
certain
debt
securities,
derivatives,
or
other
financial
instruments
that
utilize
the
London
Inter-
Bank
Offered
Rate
("LIBOR")
as
a
reference
rate
for
various
rate
calculations.
The
U.K.
Financial
Conduct
Authority
has
announced
that
it
intends
to
stop
compelling
or
inducing
banks
to
submit
rates
for
many
LIBOR
settings
after
December
31,
2021,
and
for
certain
other
commonly
used
U.S.
dollar
LIBOR
settings
after
June
30,
2023.
The
elimination
of
LIBOR
or
other
reference
rates
and
the
transition
process
away
from
LIBOR
could
adversely
impact
(i)
volatility
and
liquidity
in
markets
that
are
tied
to
those
reference
rates,
(ii)
the
market
for,
or
value
of,
specific
securities
or
payments
linked
to
those
reference
rates,
(iii)
the
availability
or
terms
of
borrowing
or
refinancing,
or
(iv)
the
effectiveness
of
hedging
strategies.
For
these
and
other
reasons,
the
elimination
of
LIBOR
or
changes
to
other
interest
rates
may
adversely
affect
the
Fund's
performance
and/or
net
asset
value.
Alternatives
to
LIBOR
are
established
or
in
development
in
most
major
currencies
including
the
Secured
Overnight
Financing
Rate
("SOFR")
that
is
intended
to
replace
the
U.S.
dollar
LIBOR. 
The
effect
of
the
discontinuation
of
LIBOR
or
other
reference
rates
on
the
Fund
will
vary
depending
on,
among
other
things
(i)
existing
fallback
or
termination
provisions
in
individual
contracts
and
(ii)
whether,
how,
and
when
industry
participants
develop
and
adopt
new
reference
rates
and
fallbacks
for
both
legacy
and
new
products
and
instruments.
Accordingly,
it
is
difficult
to
predict
the
full
impact
of
the
transition
away
from
LIBOR
or
other
reference
rates
on
the
Fund
until
new
reference
rates
and
fallbacks
for
both
legacy
and
new
products,
instruments
and
contracts
are
commercially
accepted. 
Counterparties 
Fund
transactions
involving
a
counterparty
are
subject
to
the
risk
that
the
counterparty
or
a
third
party
will
not
fulfill
its
obligation
to
the
Fund
("counterparty
risk").
Counterparty
risk
may
arise
because
of
the
counterparty's
financial
condition
(i.e.,
financial
difficulties,
bankruptcy,
or
insolvency),
market
activities
and
developments,
or
other
reasons,
whether
foreseen
or
not.
A
counterparty's
inability
to
fulfill
its
obligation
may
result
in
significant
financial
loss
to
the
Fund.
The
Fund
may
be
unable
to
recover
its
investment
from
the
counterparty
or
may
obtain
a
limited
recovery,
and/or
recovery
may
be
delayed.
The
extent
of
the
Fund's
exposure
to
counterparty
risk
with
respect
to
financial
assets
and
liabilities
approximates
its
carrying
value.
See
the
"Offsetting
Assets
and
Liabilities"
section
of
this
Note
for
further
details.
The
Fund
may
be
exposed
to
counterparty
risk
through
participation
in
various
programs,
including,
but
not
limited
to,
lending
its
securities
to
third
parties,
cash
sweep
arrangements
whereby
the
Fund's
cash
balance
is
invested
in
one
or
more
types
of
cash
management
vehicles,
as
well
as
investments
in,
but
not
limited
to,
repurchase
agreements,
and
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
26
October
31,
2021
derivatives,
including
various
types
of
swaps,
futures
and
options.
The
Fund
intends
to
enter
into
financial
transactions
with
counterparties
that
Janus
Capital
believes
to
be
creditworthy
at
the
time
of
the
transaction.
There
is
always
the
risk
that
Janus
Capital's
analysis
of
a
counterparty's
creditworthiness
is
incorrect
or
may
change
due
to
market
conditions.
To
the
extent
that
the
Fund
focuses
its
transactions
with
a
limited
number
of
counterparties,
it
will
have
greater
exposure
to
the
risks
associated
with
one
or
more
counterparties. 
Offsetting
Assets
and
Liabilities 
The
Fund
presents
gross
and
net
information
about
transactions
that
are
either
offset
in
the
financial
statements
or
subject
to
an
enforceable
master
netting
arrangement
or
similar
agreement
with
a
designated
counterparty,
regardless
of
whether
the
transactions
are
actually
offset
in
the
Statement
of
Assets
and
Liabilities.
JPMorgan
Chase
Bank,
National
Association
acts
as
securities
lending
agent
and
a
limited
purpose
custodian
or
subcustodian
to
receive
and
disburse
cash
balances
and
cash
collateral,
hold
short-term
investments,
hold
collateral,
and
perform
other
custodial
functions
in
accordance
with
the
Securities
Lending
Agreement.
For
financial
reporting
purposes,
the
Fund
does
not
offset
financial
instruments’
payables
and
receivables
and
related
collateral
on
the
Statement
of
Assets
and
Liabilities.
Securities
on
loan
will
be
continuously
secured
by
collateral
which
may
consist
of
cash,
U.S.
Government
securities,
domestic
and
foreign
short-term
debt
instruments,
letters
of
credit,
time
deposits,
repurchase
agreements,
money
market
mutual
funds
or
other
money
market
accounts,
or
such
other
collateral
as
permitted
by
the
Securities
and
Exchange
Commission
(the
“SEC”).
See
“Securities
Lending”
in
the
“Notes
to
Financial
Statements”
for
additional
information. 
The
following
tables
present
gross
amounts
of
recognized
assets
and/or
liabilities
and
the
net
amounts
after
deducting
collateral
that
has
been
pledged
by
counterparties
or
has
been
pledged
to
counterparties
(if
applicable).
For
corresponding
information
grouped
by
type
of
instrument,
see
the
“Fair
Value
of
Derivative
Instruments
as
of
October
31,
2021
table
located
in
the
Fund’s
Schedule
of
Investments.
Mortgage
and
Asset-Backed
Securities 
Mortgage-and
asset-backed
securities
represent
interests
in
“pools”
of
commercial
or
residential
mortgages
or
other
assets,
including
consumer
and
commercial
loans
or
receivables.
The
Fund
may
purchase
fixed
or
variable
rate
commercial
or
residential
mortgage-backed
securities
issued
by
the
Government
National
Mortgage
Association
(“Ginnie
Mae”),
the
Federal
National
Mortgage
Association
(“Fannie
Mae”),
the
Federal
Home
Loan
Mortgage
Corporation
(“Freddie
Mac”),
or
other
governmental
or
government-related
entities.
Ginnie
Mae’s
guarantees
are
backed
as
to
the
timely
payment
of
principal
and
interest
by
the
full
faith
and
credit
of
the
U.S.
Government.
Fannie
Mae
and
Freddie
Mac
securities
are
not
backed
by
the
full
faith
and
credit
of
the
U.S.
Government.
In
September
2008,
the
Federal
Housing
Finance
Agency
(“FHFA”),
an
agency
of
the
U.S.
Government,
placed
Fannie
Mae
and
Freddie
Mac
under
conservatorship.
Since
that
time,
Fannie
Mae
and
Freddie
Mac
have
received
capital
support
through
U.S.
Treasury
preferred
stock
purchases
and
Treasury
and
Federal
Reserve
purchases
of
their
mortgage-backed
securities.
The
FHFA
and
the
U.S.
Treasury
have
imposed
strict
limits
on
the
size
of
these
entities’
mortgage
portfolios.
The
FHFA
has
the
power
to
cancel
any
contract
entered
into
by
Fannie
Mae
and
Freddie
Mac
prior
to
FHFA’s
appointment
as
conservator
or
receiver,
including
the
guarantee
obligations
of
Fannie
Mae
and
Freddie
Mac.
The
Fund
may
also
purchase
other
mortgage-and
asset-backed
securities
through
single-and
multi-seller
conduits,
collateralized
debt
obligations,
structured
investment
vehicles,
and
other
similar
securities.
Asset-backed
securities
may
Counterparty
Gross
Amounts
of
Recognized
Assets
Offsetting
Asset
or
Liability
(a)
Collateral
Pledged
(b)
Net
Amount
JPMorgan
Chase
Bank
NA
$
27,830
$
—
$
(27,830
)
$
—
(a)
Represents
the
amount
of
assets
or
liabilities
that
could
be
offset
with
the
same
counterparty
under
master
netting
or
similar
agreements
that
management
elects
not
to
offset
on
the
Statement
of
Assets
and
Liabilities.
(b)
Collateral
pledged
is
limited
to
the
net
outstanding
amount
due
to/from
an
individual
counterparty.
The
actual
collateral
amounts
pledged
may
exceed
these
amounts
and
may
fluctuate
in
value.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
27
be
backed
by
various
consumer
obligations,
including
automobile
loans,
equipment
leases,
credit
card
receivables,
or
other
collateral.
In
the
event
the
underlying
loans
are
not
paid,
the
securities’
issuer
could
be
forced
to
sell
the
assets
and
recognize
losses
on
such
assets,
which
could
impact
your
return.
Unlike
traditional
debt
instruments,
payments
on
these
securities
include
both
interest
and
a
partial
payment
of
principal.
Mortgage-and
asset-backed
securities
are
subject
to
both
extension
risk,
where
borrowers
pay
off
their
debt
obligations
more
slowly
in
times
of
rising
interest
rates,
and
prepayment
risk,
where
borrowers
pay
off
their
debt
obligations
sooner
than
expected
in
times
of
declining
interest
rates.
These
risks
may
reduce
the
Fund’s
returns.
In
addition,
investments
in
mortgage-and
asset-backed
securities,
including
those
comprised
of
subprime
mortgages,
may
be
subject
to
a
higher
degree
of
credit
risk,
valuation
risk,
extension
risk
(if
interest
rates
rise),
and
liquidity
risk
than
various
other
types
of
fixed-income
securities.
Additionally,
although
mortgage-
backed
securities
are
generally
supported
by
some
form
of
government
or
private
guarantee
and/or
insurance,
there
is
no
assurance
that
guarantors
or
insurers
will
meet
their
obligations.
TBA
Commitments 
The
Fund
enters
into
“to
be
announced”
or
“TBA”
commitments
to
purchase
mortgage-backed
securities.
TBAs
are
forward
agreements
for
the
purchase
or
sale
of
securities,
including
mortgage-backed
securities,
for
a
fixed
price,
with
payment
and
delivery
on
an
agreed
upon
future
settlement
date.
The
specific
securities
to
be
delivered
are
not
identified
at
the
trade
date.
However,
delivered
securities
must
meet
specified
terms,
including
issuer,
rate,
and
mortgage
terms.
Although
the
particular
TBA
securities
must
meet
industry-accepted
“good
delivery”
standards,
there
can
be
no
assurance
that
a
security
purchased
on
forward
commitment
basis
will
ultimately
be
issued
or
delivered
by
the
counterparty.
During
the
settlement
period,
the
Fund
will
still
bear
the
risk
of
any
decline
in
the
value
of
the
security
to
be
delivered.
Because
TBA
commitments
do
not
require
the
purchase
and
sale
of
identical
securities,
the
characteristics
of
the
security
delivered
to
the
Fund
may
be
less
favorable
than
the
security
delivered
to
the
dealer.
If
the
counterparty
to
a
transaction
fails
to
deliver
the
security,
the
Fund
could
suffer
a
loss.
To
facilitate
TBA
commitments,
the
Fund
is
required
to
segregate
or
otherwise
earmark
liquid
assets
marked
to
market
daily
in
an
amount
at
least
equal
to
such
TBA
commitments.
Rules
of
the
Financial
Industry
Regulatory
Authority
(“FINRA”)
which
went
into
effect
in
October
2021,
include
mandatory
margin
requirements
for
TBA
commitments
which,
in
some
circumstances,
will
require
the
Fund
to
also
post
collateral.
These
collateral
requirements
may
increase
costs
associated
with
the
Fund’s
participation
in
the
TBA
market. 
Real
Estate
Investing
The
Fund
may
invest
in
equity
securities
of
real
estate-related
companies
to
the
extent
such
securities
are
included
in
the
Underlying
Index.
Such
companies
may
include
those
in
the
real
estate
industry
or
real
estate-related
industries.
These
securities
may
include
common
stocks,
preferred
and
convertible
securities
of
issuers
in
real
estate-related
industries.
A
REIT
is
a
trust
that
invests
in
real
estate-related
projects,
such
as
properties,
mortgage
loans,
and
construction
loans.
REITs
are
generally
categorized
as
equity,
mortgage,
or
hybrid
REITs.
A
REIT
may
be
listed
on
an
exchange
or
traded
OTC.
When-Issued,
Delayed
Delivery
and
Forward
Commitment
Transactions 
The
Fund
may
purchase
or
sell
securities
on
a
when-issued,
delayed
delivery,
or
forward
commitment
basis.
When
purchasing
a
security
on
a
when-issued,
delayed
delivery,
or
forward
commitment
basis,
the
Fund
assumes
the
rights
and
risks
of
ownership
of
the
security,
including
the
risk
of
price
and
yield
fluctuations,
and
takes
such
fluctuations
into
account
when
determining
its
net
asset
value.
Typically,
no
income
accrues
on
securities
the
Fund
has
committed
to
purchase
prior
to
the
time
delivery
of
the
securities
is
made.
Because
the
Fund
is
not
required
to
pay
for
the
security
until
the
delivery
date,
these
risks
are
in
addition
to
the
risks
associated
with
the
Fund’s
other
investments.
If
the
other
party
to
a
transaction
fails
to
deliver
the
securities,
the
Fund
could
miss
a
favorable
price
or
yield
opportunity.
If
the
Fund
remains
substantially
fully
invested
at
a
time
when
when-issued,
delayed
delivery,
or
forward
commitment
purchases
(including
TBA
commitments)
are
outstanding,
the
purchases
may
result
in
a
form
of
leverage.
When
the
Fund
has
sold
a
security
on
a
when-issued,
delayed
delivery,
or
forward
commitment
basis,
the
Fund
does
not
participate
in
future
gains
or
losses
with
respect
to
the
security.
If
the
other
party
to
a
transaction
fails
to
pay
for
the
securities,
the
Fund
could
suffer
a
loss.
Additionally,
when
selling
a
security
on
a
when-issued,
delayed
delivery,
or
forward
commitment
basis
without
owning
the
security,
the
Fund
will
incur
a
loss
if
the
security’s
price
appreciates
in
value
such
that
the
security’s
price
is
above
the
agreed
upon
price
on
the
settlement
date.
The
Fund
may
dispose
of
or
renegotiate
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
28
October
31,
2021
a
transaction
after
it
is
entered
into,
and
may
purchase
or
sell
when-issued,
delayed
delivery
or
forward
commitment
securities
before
the
settlement
date,
which
may
result
in
a
gain
or
loss. 
Securities
Lending 
Under
procedures
adopted
by
the
Trustees,
the
Fund
may
seek
to
earn
additional
income
by
lending
securities
to
certain
qualified
broker-dealers
and
institutions.
JP
Morgan
Chase
Bank,
NA
acts
as
securities
lending
agent
and
a
limited
purpose
custodian
or
subcustodian
to
receive
and
disburse
cash
balances
and
cash
collateral,
hold
short-term
investments,
hold
collateral,
and
perform
other
custodial
functions
in
accordance
with
the
Securities
Lending
Agreement.
The
Fund
may
lend
fund
securities
in
an
amount
equal
to
up
to
1/3
of
its
total
assets
as
determined
at
the
time
of
the
loan
origination.
There
is
the
risk
of
delay
in
recovering
a
loaned
security
or
the
risk
of
loss
in
collateral
rights
if
the
borrower
fails
financially.
In
addition,
Janus
Capital
makes
efforts
to
balance
the
benefits
and
risks
from
granting
such
loans.
All
loans
will
be
continuously
secured
by
collateral
which
may
consist
of
cash,
U.S.
Government
securities,
domestic
and
foreign
short-term
debt
instruments,
letters
of
credit,
time
deposits,
repurchase
agreements,
money
market
mutual
funds
or
other
money
market
accounts,
or
such
other
collateral
as
permitted
by
the
SEC.
If
the
Fund
is
unable
to
recover
a
security
on
loan,
the
Fund
may
use
the
collateral
to
purchase
replacement
securities
in
the
market.
There
is
a
risk
that
the
value
of
the
collateral
could
decrease
below
the
cost
of
the
replacement
security
by
the
time
the
replacement
investment
is
made,
resulting
in
a
loss
to
the
Fund.
In
certain
circumstances
individual
loan
transactions
could
yield
negative
returns. 
Upon
receipt
of
cash
collateral,
Janus
Capital
may
invest
it
in
affiliated
or
non-affiliated
cash
management
vehicles,
whether
registered
or
unregistered
entities,
as
permitted
by
the
1940
Act
and
rules
promulgated
thereunder.
Janus
Capital
currently
intends
to
invest
the
cash
collateral
in
a
cash
management
vehicle
for
which
Janus
Capital
serves
as
investment
adviser,
Janus
Henderson
Cash
Collateral
Fund
LLC,
or
in
time
deposits.
An
investment
in
Janus
Henderson
Cash
Collateral
Fund
LLC
is
generally
subject
to
the
same
risks
that
shareholders
experience
when
investing
in
similarly
structured
vehicles,
such
as
the
potential
for
significant
fluctuations
in
assets
as
a
result
of
the
purchase
and
redemption
activity
of
the
securities
lending
program,
a
decline
in
the
value
of
the
collateral,
and
possible
liquidity
issues.
Such
risks
may
delay
the
return
of
the
cash
collateral
and
cause
the
Fund
to
violate
its
agreement
to
return
the
cash
collateral
to
a
borrower
in
a
timely
manner.
As
adviser
to
the
Fund
and
Janus
Henderson
Cash
Collateral
Fund
LLC,
Janus
Capital
has
an
inherent
conflict
of
interest
as
a
result
of
its
fiduciary
duties
to
both
the
Fund
and
Janus
Henderson
Cash
Collateral
Fund
LLC.
Additionally,
Janus
Capital
receives
an
investment
advisory
fee
of
0.05%
for
managing
Janus
Henderson
Cash
Collateral
Fund
LLC
and
therefore
may
have
an
incentive
to
allocate
collateral
to
the
Janus
Henderson
Cash
Collateral
Fund
LLC,
rather
than
to
other
collateral
management
options
for
which
Janus
Capital
does
not
receive
compensation. 
The
value
of
the
collateral
must
be
at
least
102%
of
the
market
value
of
the
loaned
securities
that
are
denominated
in
U.S.
dollars
and
105%
of
the
market
value
of
the
loaned
securities
that
are
not
denominated
in
U.S.
dollars.
Loaned
securities
and
related
collateral
are
marked-to-market
each
business
day
based
upon
the
market
value
of
the
loaned
securities
at
the
close
of
business,
employing
the
most
recent
available
pricing
information.
Collateral
levels
are
then
adjusted
based
on
this
mark-to-market
evaluation.
Additional
required
collateral,
or
excess
collateral
returned,
is
delivered
on
the
next
business
day.
Therefore,
the
value
of
the
collateral
held
may
be
temporarily
less
than
102%
or
105%
value
of
the
securities
on
loan.
The
cash
collateral
invested
by
Janus
Capital
is
disclosed
in
the
Schedule
of
Investments
(if
applicable).
Income
earned
from
the
investment
of
the
cash
collateral,
net
of
rebates
paid
to,
or
fees
paid
by,
borrowers
and
less
the
fees
paid
to
the
lending
agent
are
included
as
“Affiliated
securities
lending
income,
net”
on
the
Statement
of
Operations.
As
of
October
31,
2021,
securities
lending
transactions
accounted
for
as
secured
borrowings
with
an
overnight
and
continuous
contractual
maturity
are
$27,830
for
equity
securities.
Gross
amounts
of
recognized
liabilities
for
securities
lending
(collateral
received)
as
of
October
31,
2021
is
$28,600,
resulting
in
the
net
amount
due
to
the
counterparty
of
$770.
4.
Investment
Advisory
Agreements
and
Other
Transactions
with
Affiliates 
Under
its
unitary
fee
structure,
the
Fund
pays
Janus
Capital
a
management
fee
in
return
for
providing
certain
investment
advisory,
supervisory,
and
administrative
services
to
the
Fund,
including
the
costs
of
transfer
agency,
custody,
fund
administration,
legal,
audit,
and
other
services.
Janus
Capital’s
fee
structure
is
designed
to
pay
substantially
all
of
the
Fund’s
expenses.
However,
the
Fund
bears
other
expenses
which
are
not
covered
under
the
management
fee
which
may
vary
and
affect
the
total
level
of
expenses
paid
by
shareholders,
such
as
distribution
fees
(if
any),
brokerage
expenses
or
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
29
commissions,
interest,
dividends,
taxes,
litigation
expenses,
acquired
fund
fees
and
expenses
(if
any),
and
extraordinary
expenses.
The
Fund’s
unitary
management
fee
provides
for
reductions
in
the
fee
rate
as
the
Fund’s
assets
grow.
As
of
the
date
of
this
report,
the
Fund’s
management
fee
was
calculated
daily
and
paid
monthly
according
to
the
following
schedule: 
Additionally,
Janus
Capital
has
contractually
agreed
to
waive
and/or
reimburse
the
management
fee
payable
by
the
Fund
in
an
amount
equal
to
the
amount,
if
any,
that
the
Fund’s
total
annual
fund
operating
expenses
(excluding
distribution
fees
(if
any),
brokerage
expenses
or
commissions,
interest,
dividends,
taxes,
litigation
expenses,
acquired
fund
fees
and
expenses
(if
any),
and
other
extraordinary
expenses
not
incurred
in
the
ordinary
course
of
the
Fund’s
business)
exceed
the
annual
rate
of
0.29%
of
the
Fund’s
average
daily
net
assets.
Janus
Capital
has
agreed
to
continue
the
waiver
for
at
least
the
period
from
February
28,
2021
through
February
28,
2022.
If
applicable,
amounts
waived
and/or
reimbursed
to
the
Fund
by
Janus
Capital
are
disclosed
as
“Excess
Expense
Reimbursement
and
Waivers”
on
the
Statement
of
Operations. 
For
the
year
ended
October
31,
2021,
the
Fund’s
contractual
management
fee
rate
(expressed
as
an
annual
rate)
was
0.28%
of
the
Fund’s
average
daily
net
assets.
Effective
June
14,
2021,
J.P.
Morgan
Chase
Bank,
NA
(“JP
Morgan")
provides
certain
fund
administration
services
to
the
Fund,
including
services
related
to
the
Fund’s
accounting,
including
calculating
the
daily
NAV,
audit
coordination,
tax,
and
reporting
obligations,
pursuant
to
an
agreement
with
Janus
Capital,
on
behalf
of
the
Fund.
Prior
to
June
14,
2021,
State
Street
Bank
and
Trust
Company
(“State
Street”)
provided
certain
fund
administration
services
to
the
Fund,
including
services
related
to
the
Fund’s
accounting,
including
calculating
the
daily
NAV,
audit
coordination,
tax,
and
reporting
obligations,
pursuant
to
an
agreement
with
Janus
Capital,
on
behalf
of
the
Fund.
As
compensation
for
such
services,
Janus
Capital
pays
JP
Morgan,
and
previously
paid
State
Street,
a
fee
based
on
a
percentage
of
the
Fund’s
assets,
and
a
flat
fee,
for
certain
services.
Janus
Capital
serves
as
administrator
to
the
Fund,
providing
oversight
and
coordination
of
the
Fund’s
service
providers,
recordkeeping
and
other
administrative
services.
Janus
Capital
does
not
receive
any
additional
compensation,
beyond
the
unitary
fee,
for
serving
as
administrator.
Effective
June
14,
2021,
JP
Morgan
also
serves
as
transfer
agent
for
the
shares
of
the
Fund.
Prior
to
June
14,
2021,
State
Street
served
as
transfer
agent
for
the
shares
of
the
Fund.
Pursuant
to
agreements
with
Janus
Capital
on
behalf
of
the
Fund,
J.P.
Morgan
Securities
LLC,
an
affiliate
of
JP
Morgan,
may
execute
portfolio
transactions
for
the
Fund,
including
but
not
limited
to,
transactions
in
connection
with
cash
in
lieu
transactions
for
non-US
securities.
Prior
to
June
14,
2021,
State
Street
Global
Markets,
an
affiliate
of
State
Street,
executed
portfolio
transactions
for
the
Fund,
including
but
not
limited
to,
transactions
in
connection
with
cash
in
lieu
transactions
for
non-US
securities.
The
Tr
ust
has
adopted
a
Distribution
and
Servicing
Plan
for
shares
of
the
Fund
pursuant
to
Rule
12b-1
under
the
1940
Act
(the
“Plan”).
The
Plan
permits
compensation
in
connection
with
the
distribution
and
marketing
of
Fund
shares
and/or
the
provision
of
certain
shareholder
services.
The
Plan
permits
the
Fund
to
pay
ALPS
Distributors,
Inc.
(the
“Distributor”)
or
its
designee,
a
fee
for
the
sale
and
distribution
and/or
shareholder
servicing
of
the
shares
at
an
annual
rate
of
up
to
0.25%
of
average
daily
net
assets
of
the
Fund.
However,
the
Trustees
have
determined
not
to
authorize
payment
under
this
Plan
at
this
time.
Under
the
terms
of
the
Plan,
the
Trust
would
be
authorized
to
make
payments
to
the
Distributor
or
its
designee
for
remittance
to
retirement
plan
service
providers,
broker-dealers,
bank
trust
departments,
financial
advisors,
and
other
financial
intermediaries,
as
compensation
for
distribution
and/or
shareholder
services
performed
by
such
entities
for
their
customers
who
are
investors
in
the
Fund.
The
12b-1
fee
may
only
be
imposed
or
increased
when
the
Trustees
determine
that
it
is
in
the
best
interests
of
shareholders
to
do
so.
Because
these
fees
are
paid
out
of
the
Fund’s
assets
on
an
ongoing
basis,
to
the
extent
that
a
fee
is
authorized,
over
time
they
will
increase
the
cost
of
an
investment
in
the
Fund.
The
Plan
fee
may
cost
an
investor
more
than
other
types
of
sales
charges. 
Daily
Net
Assets
Fee
Rate
$0-$500
million
0.30%
Next
$500
million
0.25%
Over
$1
billion
0.20%
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
30
October
31,
2021
Pursuant
to
the
provisions
of
the
1940
Act
and
related
rules,
the
Fund
may
participate
in
an
affiliated
or
non-affiliated
cash
sweep
program.
In
the
cash
sweep
program,
uninvested
cash
balances
of
the
Fund
may
be
used
to
purchase
shares
of
affiliated
or
non
affiliated
money
market
funds
or
cash
management
pooled
investment
vehicles
that
operate
as
money
market
funds.
The
Fund
is
eligible
to
participate
in
the
cash
sweep
program
(the
“Investing
Funds”).
As
adviser,
Janus
Capital
has
an
inherent
conflict
of
interest
because
of
its
fiduciary
duties
to
the
affiliated
money
market
funds
or
cash
management
pooled
investment
vehicles
and
the
Investing
Funds.
Janus
Henderson
Cash
Liquidity
Fund
LLC
(the
“Sweep
Vehicle”)
is
an
affiliated
unregistered
cash
management
pooled
investment
vehicle
that
invests
primarily
in
highly-rated
short-term
fixed-income
securities.
The
Sweep
Vehicle
operates
pursuant
to
the
provisions
of  the
1940
Act
that
govern
the
operation
of
money
market
funds
and
prices
its
shares
at
NAV
reflecting
market-based
values
of
its
portfolio
securities
(i.e.,
a
“floating”
NAV)
rounded
to
the
fourth
decimal
place
(e.g.,
$1.0000).
The
Sweep
Vehicle
is
permitted
to
impose
a
liquidity
fee
(of
up
to
2%)
on
redemptions
from
the
Sweep
Vehicle
or
a
redemption
gate
that
temporarily
suspends
redemptions
from
the
Sweep
Vehicle
for
up
to
10
business
days
during
a
90
day
period.  There
are
no
restrictions
on
the
Fund's
ability
to
withdraw
investments
from
the
Sweep
Vehicle
at
will,
and
there
are
no
unfunded
capital
commitments
due
from
the
Fund
to
the
Sweep
Vehicle.
The
Sweep
Vehicle
does
not
charge
any
management
fee,
sales
charge
or
service
fee.
Any
purchases
and
sales,
realized
gains/losses
and
recorded
dividends
from
affiliated
investments
during
the
year
ended
October
31,
2021
can
be
found
in
a
table
located
in
the
Schedule
of
Investments.
The
Fund
is
permitted
to
purchase
or
sell
securities
(“cross-trade”)
between
itself
and
other
funds
or
accounts
managed
by
Janus
Capital
in
accordance
with
Rule
17a-7
under
the
Investment
Company
Act
of
1940
(“Rule
17a-7”),
when
the
transaction
is
consistent
with
the
investment
objectives
and
policies
of
the
Fund
and
in
accordance
with
the
Internal
Cross
Trade
Procedures
adopted
by
the
Trust’s
Board
of
Trustees.
These
procedures
have
been
designed
to
ensure
that
any
cross-trade
of
securities
by
the
Fund
from
or
to
another
fund
or
account
that
is
or
could
be
considered
an
affiliate
of
the
Fund
under
certain
limited
circumstances
by
virtue
of
having
a
common
investment
adviser,
common
Officer,
or
common
Trustee
complies
with
Rule
17a-7.
Under
these
procedures,
each
cross-trade
is
effected
at
the
current
market
price
to
save
costs
where
allowed.
During
the
year
ended
October
31,
2021,
the
Fund
engaged
in
cross
trades
amounting
to
$49,971,902
in
purchases
and
$8,382,478
in
sales,
resulting
in
a
net
realized
gain
of
$190,273.
The
net
realized
gain
is
included
within
the
“Net
Realized
Gain/(Loss)
on
Investments”
section
of
the
Fund’s
Statement
of
Operations.
5.
Federal
Income
Tax
The
tax
components
of
capital
shown
in
the
table
below
represent:
(1)
distribution
requirements
the
Fund
must
satisfy
under
the
income
tax
regulations;
(2)
losses
or
deductions
the
Fund
may
be
able
to
offset
against
income
and
gains
realized
in
future
years;
and
(3)
unrealized
appreciation
or
depreciation
of
investments
for
federal
income
tax
purposes. 
The
Fund
has
elected
to
treat
gains
and
losses
on
forward
foreign
currency
contracts
as
capital
gains
and
losses,
if
applicable.
Other
foreign
currency
gains
and
losses
on
debt
instruments
are
treated
as
ordinary
income
for
federal
income
tax
purposes
pursuant
to
Section
988
of
the
Internal
Revenue
Code. 
Accumulated
capital
losses
noted
below
represent
net
capital
loss
carryovers,
as
of
October
31,
2021,
that
may
be
available
to
offset
future
realized
capital
gains
and
thereby
reduce
future
taxable
gains
distributions.
The
following
table
shows
these
capital
loss
carryovers. 
Loss
Deferrals
Undistributed
Ordinary
Income
Undistributed
Long-Term
Gains
Accumulated
Capital
Losses
Late-Year
Ordinary
Loss
Post-October
Capital
Loss
Other
Book
to
Tax
Differences
Net
Tax
Appreciation/
(Depreciation)
$959,481
$
—
$(113,659)
$
—
$
—
$
—
$1,312,456
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
Janus
Detroit
Street
Trust
31
The
aggregate
cost
of
investments
and
the
composition
of
unrealized
appreciation
and
depreciation
of
investment
securities
for
federal
income
tax
purposes
as
of
October
31,
2021 are
noted
below.
The
primary
difference
between
book
and
tax
appreciation
or
depreciation
of
investments
is
wash
sale
loss
deferrals. 
Information
on
the
tax
components
of
derivatives
as
of
October
31,
2021
is
as
follows: 
Income
and
capital
gains
distributions
are
determined
in
accordance
with
income
tax
regulations
that
may
differ
from
US
GAAP.
These
differences
are
due
to
differing
treatments
for
items
such
as
net
short-term
gains,
deferral
of
wash
sale
losses,
foreign
currency
transactions,
passive
foreign
investment
companies,
net
investment
losses,
in-kind
transactions
and
capital
loss
carryovers.
Certain
permanent
differences
such
as
tax
returns
of
capital
and
net
investment
losses
noted
below
have
been
reclassified
to
capital. 
Permanent
book
to
tax
basis
differences
may
result
in
reclassifications
between
the
components
of
net
assets.
These
differences
have
no
impact
on
the
results
of
operations
or
net
assets.
The
following
reclassifications
have
been
made
to
the
Fund: 
Capital
Loss
Carryover
Schedule
For
the
year
ended
October
31,
2021
No
Expiration
Short-Term
Long-Term
Accumulated
Capital
Losses
$
—
$(113,659)
$(113,659)
Federal
Tax
Cost
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Tax
Appreciation/
(Depreciation)
$1,469,537,738
$3,178,758
$(1,884,640)
$1,294,118
Federal
Tax
Cost
Unrealized
Appreciation
Unrealized
(Depreciation)
Net
Tax
Appreciation/
(Depreciation)
$(49,947,100)
$18,338
$
—
$18,338
For
the
year
ended
October
31,
2021
:
Distributions
From
Ordinary
Income
From
Long-Term
Capital
Gain
Tax
Return
of
Capital
Net
Investment
Loss
$12,444,742
$1,343,402
$
—
$
—
For
the
year
ended
October
31,
2020
:
Distributions
From
Ordinary
Income
From
Long-Term
Capital
Gain
Tax
Return
of
Capital
Net
Investment
Loss
$10,243,739
$
—
$
—
$
—
Increase/(Decrease)
to
Capital
Increase/(Decrease)
to
Undistributed
Net
Investment
Income/Loss
Increase/(Decrease)
to
Undistributed
Net
realized
Gain/Loss
$
—
$3,416,239
$(3,416,239)
Pursuant
to
the
provisions
of
the
1940
Act
and
related
rules,
the
Fund
may
participate
in
an
affiliated
or
non-affiliated
cash
sweep
program.
In
the
cash
sweep
program,
uninvested
cash
balances
of
the
Fund
may
be
used
to
purchase
shares
of
affiliated
or
non
affiliated
money
market
funds
or
cash
management
pooled
investment
vehicles
that
operate
as
money
market
funds.
The
Fund
is
eligible
to
participate
in
the
cash
sweep
program
(the
“Investing
Funds”).
As
adviser,
Janus
Capital
has
an
inherent
conflict
of
interest
because
of
its
fiduciary
duties
to
the
affiliated
money
market
funds
or
cash
management
pooled
investment
vehicles
and
the
Investing
Funds.
Janus
Henderson
Cash
Liquidity
Fund
LLC
(the
“Sweep
Vehicle”)
is
an
affiliated
unregistered
cash
management
pooled
investment
vehicle
that
invests
primarily
in
highly-rated
short-term
fixed-income
securities.
The
Sweep
Vehicle
operates
pursuant
to
the
provisions
of  the
1940
Act
that
govern
the
operation
of
money
market
funds
and
prices
its
shares
at
NAV
reflecting
market-based
values
of
its
portfolio
securities
(i.e.,
a
“floating”
NAV)
rounded
to
the
fourth
decimal
place
(e.g.,
$1.0000).
The
Sweep
Vehicle
is
permitted
to
impose
a
liquidity
fee
(of
up
to
2%)
on
redemptions
from
the
Sweep
Vehicle
or
a
redemption
gate
that
temporarily
suspends
redemptions
from
the
Sweep
Vehicle
for
up
to
10
business
days
during
a
90
day
period.  There
are
no
restrictions
on
the
Fund's
ability
to
withdraw
investments
from
the
Sweep
Vehicle
at
will,
and
there
are
no
unfunded
capital
commitments
due
from
the
Fund
to
the
Sweep
Vehicle.
The
Sweep
Vehicle
does
not
charge
any
management
fee,
sales
charge
or
service
fee.
Any
purchases
and
sales,
realized
gains/losses
and
recorded
dividends
from
affiliated
investments
during
the
year
ended
October
31,
2021
can
be
found
in
a
table
located
in
the
Schedule
of
Investments.
The
Fund
is
permitted
to
purchase
or
sell
securities
(“cross-trade”)
between
itself
and
other
funds
or
accounts
managed
by
Janus
Capital
in
accordance
with
Rule
17a-7
under
the
Investment
Company
Act
of
1940
(“Rule
17a-7”),
when
the
transaction
is
consistent
with
the
investment
objectives
and
policies
of
the
Fund
and
in
accordance
with
the
Internal
Cross
Trade
Procedures
adopted
by
the
Trust’s
Board
of
Trustees.
These
procedures
have
been
designed
to
ensure
that
any
cross-trade
of
securities
by
the
Fund
from
or
to
another
fund
or
account
that
is
or
could
be
considered
an
affiliate
of
the
Fund
under
certain
limited
circumstances
by
virtue
of
having
a
common
investment
adviser,
common
Officer,
or
common
Trustee
complies
with
Rule
17a-7.
Under
these
procedures,
each
cross-trade
is
effected
at
the
current
market
price
to
save
costs
where
allowed.
During
the
year
ended
October
31,
2021,
the
Fund
engaged
in
cross
trades
amounting
to
$49,971,902
in
purchases
and
$8,382,478
in
sales,
resulting
in
a
net
realized
gain
of
$190,273.
The
net
realized
gain
is
included
within
the
“Net
Realized
Gain/(Loss)
on
Investments”
section
of
the
Fund’s
Statement
of
Operations.
5.
Federal
Income
Tax
The
tax
components
of
capital
shown
in
the
table
below
represent:
(1)
distribution
requirements
the
Fund
must
satisfy
under
the
income
tax
regulations;
(2)
losses
or
deductions
the
Fund
may
be
able
to
offset
against
income
and
gains
realized
in
future
years;
and
(3)
unrealized
appreciation
or
depreciation
of
investments
for
federal
income
tax
purposes. 
The
Fund
has
elected
to
treat
gains
and
losses
on
forward
foreign
currency
contracts
as
capital
gains
and
losses,
if
applicable.
Other
foreign
currency
gains
and
losses
on
debt
instruments
are
treated
as
ordinary
income
for
federal
income
tax
purposes
pursuant
to
Section
988
of
the
Internal
Revenue
Code. 
Accumulated
capital
losses
noted
below
represent
net
capital
loss
carryovers,
as
of
October
31,
2021,
that
may
be
available
to
offset
future
realized
capital
gains
and
thereby
reduce
future
taxable
gains
distributions.
The
following
table
shows
these
capital
loss
carryovers. 
Loss
Deferrals
Undistributed
Ordinary
Income
Undistributed
Long-Term
Gains
Accumulated
Capital
Losses
Late-Year
Ordinary
Loss
Post-October
Capital
Loss
Other
Book
to
Tax
Differences
Net
Tax
Appreciation/
(Depreciation)
$959,481
$
—
$(113,659)
$
—
$
—
$
—
$1,312,456
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Financial
Statements
32
October
31,
2021
6.
Capital
Share
Transactions 
7.
Purchases
and
Sales
of
Investment
Securities 
For
the
year ended
October
31,
2021,
the
aggregate
cost
of
purchases
and
proceeds
from
sales
of
investment
securities
(excluding
any
short-term
securities,
short-term
options
contracts,
TBAs
and
in-kind
transactions)
was
as
follows: 
8.
Recent
Accounting
Pronouncements 
The
FASB
issued
Accounting
Standards
Update
2020-04
Reference
Rate
Reform:
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting
("ASU
2020-04")
in
March
2020.
The
new
guidance
in
the
ASU
provide
optional
temporary
financial
reporting
relief
from
the
effect
of
certain
types
of
contract
modifications
due
to
the
planned
discontinuation
of
the
LIBOR
or
other
interbank-offered
based
reference
rates
as
of
the
end
of
2021.
For
new
and
existing
contracts,
Funds
may
elect
to
apply
the
guidance
as
of
March
12,
2020
through
December
31,
2022.
Management
is
currently
evaluating
the
impact,
if
any,
of
the
ASU's
adoption
to
the
Fund's
financial
statements. 
9.
Subsequent
Events 
Management
has
evaluated
whether
any
events
or
transactions
occurred
subsequent
to
October
31,
2021
and
through
the
date
of
the
issuance
of
the
Fund's
financial
statements
and
determined
that
there
were
no
material
events
or
transactions
that
would
require
recognition
or
disclosure
in
the
Fund's
financial
statements. 
Year
Ended
October
31,
2021
Year
Ended
October
31,
2020
Shares
Amount
Shares
Amount
Shares
sold
6,050,000
$
322,380,877
8,050,000
$
426,661,907
Shares
repurchased
(825,001)
(43,982,427
)
(450,000)
(23,583,742
)
Net
Increase/(Decrease)
5,224,999
$
278,398,450
7,600,000
$
403,078,165
Purchases
of
Securities
Proceeds
from
Sales
of
Securities
Purchases
of
Long-
Term
U.S.
Government
Obligations
Proceeds
from
Sales
of
Long-Term
U.S.
Government
Obligations
$183,867,398
$164,720,752
$497,800,991
$531,871,602
Janus
Henderson
Mortgage-Backed
Securities
ETF
Additional
Information
(unaudited)
Janus
Detroit
Street
Trust
33
Proxy
Voting
Policies
and
Voting
Record
A
description
of
the
policies
and
procedures
that
the
Fund
uses
to
determine
how
to
vote
proxies
relating
to
its
portfolio
securities
is
available
without
charge:
(i)
upon
request,
by
calling
1-800-525-0020
(toll
free);
(ii)
on
the
Fund’s
website
at
janushenderson.com/proxyvoting;
and
(iii)
on
the
SEC’s
website
at
http://www.sec.gov.
Quarterly
Portfolio
Holdings
The
Fund
files
its
complete
portfolio
holdings
(schedule
of
investments)
with
the
SEC
for
the
first
and
third
quarters
each
fiscal
year
as
an
exhibit
to
Form
N-PORT
within
60
days
of
the
end
of
such
fiscal
quarter.
Historically,
the
Fund
filed
its
complete
portfolio
holdings
(schedule
of
investments)
with
the
SEC
for
the
first
and
third
quarters
each
fiscal
year
on
Form
N-Q.
The
Fund’s
Form
N-PORT
and
Form
N-Q
filings:
are
available
on
the
SEC’s
website
at
http://www.sec.gov;
(ii)
may
be
reviewed
and
copied
at
the
SEC’s
Public
Reference
Room
in
Washington,
D.C.
(information
on
the
Public
Reference
Room
may
be
obtained
by
calling
1-800-SEC-0330);
and
(iii)
are
available
without
charge,
upon
request,
by
calling
Janus
Henderson
at
1-800-525-0020
(toll
free).
Designation
Requirements
(unaudited)
For
federal
income
tax
purposes,
the
Fund
designated
the
following
for
the
year
ended
October
31,
2021.
Capital
Gain
Distributions
$1,343,402
Janus
Henderson
Mortgage-Backed
Securities
ETF
Trustees
and
Officers
(unaudited)
34
October
31,
2021
The
following
are
the
Trustees
and
officers
of
the
Trust
together
with
a
brief
description
of
their
principal
occupations
during
the
last
five
years
(principal
occupations
for
certain
Trustees
may
include
periods
over
five
years).
The
Fund’s
Statement
of
Additional
Information
includes
additional
information
about
the
Trustees
and
officers
and
is
available,
without
charge,
by
calling
1-877-335-2687.
Each
Trustee
has
served
in
that
capacity
since
he
or
she
was
originally
elected
or
appointed.
The
Trustees
do
not
serve
a
specified
term
of
office.
Each
Trustee
will
hold
office
until
the
termination
of
the
Trust
or
his
or
her
earlier
death,
resignation,
retirement,
incapacity,
or
removal.
Under
the
Fund’s
Governance
Procedures
and
Guidelines,
the
policy
is
for
Trustees
to
retire
no
later
than
the
end
of
the
calendar
year
in
which
the
Trustee
turns
75.
The
Trustees
review
the
Fund’s
Governance
Procedures
and
Guidelines
from
time
to
time
and
may
make
changes
they
deem
appropriate.
The
Fund’s
Nominating
and
Governance
Committee
will
consider
nominees
for
the
position
of
Trustee
recommended
by
shareholders.
Shareholders
may
submit
the
name
of
a
candidate
for
consideration
by
the
Committee
by
submitting
their
recommendations
to
the
Trust’s
Secretary.
Each
Trustee
is
currently
a
Trustee
of
one
other
registered
investment
company
advised
by
Janus
Capital:
Clayton
Street
Trust.
As
of
the
date
of
this
report,
collectively,
the
two
registered
investment
companies
consist
of
14
series
or
funds.
The
Trust’s
officers
are
elected
annually
by
the
Trustees
for
a
one-year
term.
Certain
officers
also
serve
as
officers
of
Clayton
Street
Trust.
Certain
officers
of
the
Funds
may
also
be
officers
and/or
directors
of
Janus
Capital.
Except
as
otherwise
disclosed,
Fund
officers
receive
no
compensation
from
the
Funds.
TRUSTEES
Name,
Address,
and
Age
Positions
Held
with
the
Trust
Length
of
Time
Served
Principal
Occupations
During
the
Past
Five
Years
Number
of
Portfolios/Funds
in
Fund
Complex
Overseen
by
Trustee*
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Independent
Trustees
Clifford
J.
Weber
151
Detroit
Street
Denver,
CO
80206
DOB:
1963
Chairman
Trustee
2/16-Present
Owner,
Financial
Products
Consulting
Group
LLC
(consulting
services
to
financial
institutions)
(since
2015).
14
Independent
Trustee,
Clough
Funds
Trust
(investment
company)
(since
2015),
Chairman,
Clough
Funds
Trust
(since
2017),
Independent
Trustee,
Clough
Global
Dividend
and
Income
Fund (closed-end fund)
(since
2017),
Independent
Trustee,
Clough
Global
Opportunities
Fund (closed-end fund)
(since
2017),
Independent
Trustee,
Clough
Global
Equity
Fund (closed-end fund)
(since
2017),
Independent
Trustee,
Elevation
ETF
Trust
(investment
company)
(2016-
2018),
Chairman,
Elevation
ETF
Trust
(2016-2018),
and
Independent
Trustee,
Global
X
Funds
(investment
company)
(since
2018).
Janus
Henderson
Mortgage-Backed
Securities
ETF
Trustees
and
Officers
(unaudited)
Janus
Detroit
Street
Trust
35
*
Each
Trustee
also
serves
as
a
trustee
to
the
Clayton
Street
Trust,
which
is
currently
comprised
of
three
portfolios.
**
Ms.
Benz
is
an
Interested
Trustee
because
of
her
employment
with
Janus
Henderson
Investors.
Name,
Address,
and
Age
Positions
Held
with
the
Trust
Length
of
Time
Served
Principal
Occupations
During
the
Past
Five
Years
Number
of
Portfolios/Funds
in
Fund
Complex
Overseen
by
Trustee*
Other
Directorships
Held
by
Trustee
During
the
Past
Five
Years
Maureen
T.
Upton
151
Detroit
Street
Denver,
CO
80206
DOB:
1965
Trustee
2/16-Present
Principal,
Maureen
Upton
Ltd.
(consulting
services
to
developers
of
major
infrastructure
projects
and
investors)
(since
2017).
Formerly,
Principal
Consultant,
SRK
Consulting
(U.S.),
Inc.
(consulting
services
to
global
mining,
energy
and
water
resource
industries)
(2015-
2017)
and
Founder
and
Principal,
Resource
Initiatives
LLC
(sustainability
consulting
firm)
(2006-2015).
14
Jeffrey
B.
Weeden
151
Detroit
Street
Denver,
CO
80206
DOB:
1956
Trustee
2/16-Present
Senior
Advisor,
BayBoston
Capital
LP
(investment
fund
in
banks
and
bank
holdings
companies)
(since
2015).
Formerly,
Management
Advisor,
BoxCast,
Inc.
(technology start-
up company)
(2014-2017).
14
Director,
West
Travis
County
Municipal
Utility
District
No. 6
(municipal
utility)
(since
2020)
and
Director,
State
Farm
Bank
(banking)
(2014-2021).
Interested
Trustee
Carrie
Benz**
151
Detroit
Street
Denver,
CO
80206
DOB:
1975
Trustee
1/21-Present
Global
Head
of
Investment
Services,
Janus
Henderson
Investors
(since
2017);
Vice
President,
Investments
Chief
of
Staff,
Janus
Capital
Management
LLC
(2007-
2017).
14
Janus
Henderson
Mortgage-Backed
Securities
ETF
Trustees
and
Officers
(unaudited)
36
October
31,
2021
OFFICERS
*
Officers
are
elected
at
least
annually
by
the
Trustees
for
a
one-year
term
and
may
also
be
elected
from
time
to
time
by
the
Trustees
for
an
interim
period.
Name,
Address,
and
Age
Positions
Held
with
the
Trust
Term
of
Office*
and
Length
of
Time
Served
Principal
Occupations
During
the
Past
Five
Years
Bruce
L.
Koepfgen
151
Detroit
Street
Denver,
CO
80206
DOB:
1952
President
and
Chief
Executive
Officer
2/16-Present
Executive
Vice
President,
Head
of
North
America
at
Janus
Henderson
Investors
(since
2017),
President
and
Head
of
North
America
at
Janus
Capital
Management
LLC
(since
2013
and
2017,
respectively),
President
at
Janus
Capital
Group
Inc.
(since
2013),
President
and
Director
at
Janus
International
Holding
LLC
(since
2019
and
2011,
respectively),
President
at
Janus
Holdings
LLC
(since
2019),
President
and
Director
at
Janus
Management
Holdings
Corporation
(since
2017
and
2012,
respectively),
Executive
Vice
President
and
Head
of
North
America
at
Janus
Distributors
LLC
(since
2011
and
2019,
respectively),
Vice
President
and
Director
at
Intech
Investment
Management
LLC
(since
2012),
and
Executive
Vice
President
at
Perkins
Investment
Management
LLC
(since
2011).
Formerly,
Executive
Vice
President
at
Janus
Capital
Group
Inc.,
Janus
International
Holding
LLC,
and
Janus
Management
Holdings
Corporation
(2011-
2019),
Director
at
Perkins
Investment
Management
LLC
(2011-2019),
and
Chief
Financial
Officer
at
Janus
Capital
Group
Inc.
(2011-2013).
Kristin
Mariani
151
Detroit
Street
Denver,
CO
80206
DOB:
1966
Vice
President,
Chief
Compliance
Officer,
and
Anti-
Money
Laundering
Officer
7/20-Present
Head
of
Compliance,
North
America
for
Janus
Henderson
Investors
(since
September
2020)
and
Chief
Compliance
Officer
for
Janus
Capital
Management
LLC
(since
September
2017).
Formerly,
Global
Head
of
Investment
Management
Compliance
for
Janus
Henderson
Investors
(February
2019
-
August
2020),
Vice
President,
Head
of
Global
Distribution
Compliance
and
Chief
Compliance
Officer
of
Janus
Henderson
Distributors
(May
2017
–
September
2017),
Vice
President,
Compliance
at
Janus
Capital
Group
Inc.,
Janus
Capital
Management
LLC,
and
Janus
Distributors
LLC
(2009-2017).
Jesper
Nergaard
151
Detroit
Street
Denver,
CO
80206
DOB:
1962
Chief
Financial
Officer,
Vice
President,
Treasurer,
and
Principal
Accounting
Officer
2/16-Present
Head
of
U.S.
Fund
Administration,
Janus
Henderson
Investors
and
Janus
Services
LLC.
Byron
D.
Hittle
151
Detroit
Street
Denver,
CO
80206
DOB:
1974
Vice
President,
Secretary,
and
Chief
Legal
Officer
7/18-Present
Managing
Counsel
of
Janus
Henderson
Investors
(2017-present).
Formerly,
Assistant
Vice
President
and
Senior
Legal
Counsel
of
Janus
Capital
Management
LLC
(2012-2016).
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
Janus
Detroit
Street
Trust
37
125-02-93085
12-21
This
report
is
submitted
for
the
general
information
of
shareholders
of
the
Fund.
It
is
not
an
offer
or
solicitation
for
the
Fund
and
is
not
authorized
for
distribution
to
prospective
investors
unless
preceded
or
accompanied
by
an
effective
prospectus.
Janus
Henderson
is
a
trademark
of
Janus
Henderson
Group
plc
or
one
of
its
subsidiaries.
©
Janus
Henderson
Group
plc.
Janus
Capital
Management
LLC
is
the
investment
adviser
and
ALPS
Distributors,
Inc.
is
the
distributor.
ALPS
is
not
affiliated
with
Janus
Henderson
or
any
of
its
subsidiaries.