Janus Henderson Horizon Fund – Emerging Markets Debt Hard Currency Fund
Legal Entity Identifier: 21380035ZY96ZZG7JL26
A. Summary
The Fund is categorised as one which meets the provisions set out in Article 8 of SFDR as a product which promotes environmental and/or social characteristics and invests in companies with good governance practices but will not make any sustainable investments.
The Fund promotes climate change mitigation and support of anti-corruption initiatives for sovereign issuers. The Fund also seeks to avoid investments in certain activities with the potential to cause harm to human health and wellbeing by applying binding exclusions. The Fund also leverages a proprietary ESG framework, utilising both third party data and proprietary insights, that incorporates at least 20 metrics across environmental, social, and governance factors to produce country-level ESG ratings ranging from AAA to CCC. To encourage the adoption of better environmental and/or social practices the Fund will ensure that 80% of the holdings in the portfolio are issued by countries, or issuers in countries, rated B or higher. The Fund does not use a reference benchmark to attain its environmental or social characteristics.
This Fund seeks a combination of capital and income return in excess of the JP Morgan EMBI Global Diversified Index through exposure to emerging market government bonds, corporate bonds and other fixed and floating rate securities.
The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system utilising third-party data provider(s) on an ongoing basis. The exclusionary screens are implemented on both a pre and post trade basis enabling the sub investment advisor to block any proposed transactions in an excluded security and identify any changes to the status of holdings when third-party data is periodically updated.
The Investment Manager uses specific screens to help achieve some of the promoted characteristics. For example- to promote climate change mitigation, screens are applied to avoid investment in certain high carbon activities, and it is expected that this will result in the fund having a lower carbon profile.
The Investment Manager applies screens to exclude direct investment in corporate issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil sands extraction, arctic oil and gas exploration and extraction, thermal coal extraction, tobacco or adult entertainment. The Investment Manager applies screens to avoid direct investment in issuers within the bottom 5% of countries in the Corruption Perception Index. The Investment Manager leverages a proprietary ESG framework, utilising both third party data and proprietary insights, that incorporates at least 20 metrics across environmental, social, and governance factors to produce country-level ESG ratings ranging from AAA to CCC. To encourage the adoption of better environmental and/or social practices the Fund will ensure that 80% of the holdings in the portfolio are issued by countries, or issuers in countries, rated B or higher.
The Fund also applies the Firmwide Exclusions Policy (see “Firmwide Exclusions” in the "JHI Responsible Investment Policy”), which includes controversial weapons.
For the purposes of the AMF doctrine, the extra-financial analysis or rating as described above is higher than:
- 90% for equities issued by large capitalisation companies whose registered office is located in "developed" countries, debt securities and money market instruments with an investment grade credit rating, sovereign debt issued by developed countries.
- 75% for equities issued by large capitalisations whose registered office is located in "emerging" countries, equities issued by small and medium capitalisations, debt securities and money market instruments with a high yield credit rating and sovereign debt issued by "emerging" countries.
The Investment Manager may only invest in companies that would be excluded by the screens described above if the Investment Manager believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data used to apply the exclusions is insufficient or inaccurate.
The Investment Manager may consider that the data is insufficient or inaccurate if, for example, the third-party data provider research is historic, vague, based on out-of-date sources, or the investment manager has other information to make them doubt the accuracy of the research.
If the Investment Manager wishes to challenge the third-party data, then the challenge is presented to a cross-functional ESG Oversight Committee who must sign off on the “override” of the third-party data.
If a third-party data provider does not provide research on a specific issuer or excluded activity, the Investment Manager may invest if, through its own research, it is satisfied that the issuer is not involved in the excluded activity.
JHI has chosen MSCI as its primary data source for ESG (Environmental, Social and Governance) research.
Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research. This helps ensure that consistent data and methodologies are used given an ESG measure per security type and hence can be compared correctly in the portfolio construction process.
The JHI Responsible Investment Policy sets out the firmwide approach to ESG Integration Principles, including JHI’s Responsible Investment Principles for long-term investment success, our approaches to Stewardship and Engagement and Firmwide Exclusions applied to investee companies.
B. No Sustainable Investment Objective
This financial product promotes environmental or social characteristics, but it does not have as its objective sustainable investment.
C. Environmental or social characteristics of the financial product
The Fund promotes climate change mitigation and support of anti-corruption initiatives for sovereign issuers. The Fund also seeks to avoid investments in certain activities with the potential to cause harm to human health and wellbeing by applying binding exclusions. The Fund also leverages a proprietary ESG framework, utilising both third party data and proprietary insights, that incorporates at least 20 metrics across environmental, social, and governance factors to produce country-level ESG ratings ranging from AAA to CCC. To encourage the adoption of better environmental and/or social practices the Fund will ensure that 80% of the holdings in the portfolio are issued by countries, or issuers in countries, rated B or higher. The Fund does not use a reference benchmark to attain its environmental or social characteristics.
D. Investment Strategy
This Fund seeks a combination of capital and income return in excess of the JP Morgan EMBI Global Diversified Index through exposure to emerging market government bonds, corporate bonds and other fixed and floating rate securities. The binding elements of the investment strategy described below are implemented as exclusionary screens within the Investment Manager’s order management system utilising third-party data provider(s) on an ongoing basis. The exclusionary screens are implemented on both a pre and post trade basis enabling the sub investment advisor to block any proposed transactions in an excluded security and identify any changes to the status of holdings when third-party data is periodically updated.
The companies in which investments are made are assessed by the Investment Manager to follow good governance practices. The Investment Manager has developed a proprietary framework based on internal analysis and data from external vendors to assess securities on specific indicators relating to good governance.
The good governance practices of investee companies are assessed prior to making an investment and periodically thereafter in accordance with the Sustainability Risk Policy (“Policy”).
The Policy sets minimum standards against which investee companies will be assessed and monitored by the Investment Manager prior to making an investment and on an ongoing basis. Such standards may include, but are not limited to sound management structures, employee relations, remuneration of staff and tax compliance.
The Policy can be found at https://www.janushenderson.com/corporate/who-we-are/brighter-future-project/responsibility/esg-resources/.
In addition, the Investment Manager is a signatory to the UN-supported Principles for Responsible Investment (PRI). As a signatory, the good governance practices of investee companies are also assessed by having regard to the PRI prior to making an investment and periodically thereafter.
E. Proportion of investments
A minimum of 80% of the investments of the financial product are used to meet the environmental or social characteristics promoted by the financial product. Other assets, which are not used to meet the environmental or social characteristics, may include cash or cash equivalents, securitised assets, derivatives for the purposes of efficient portfolio management, or derivatives for investment purposes other than those used to gain exposure to direct issuers.
F. Monitoring of environmental or social characteristics
The sustainability indicators used to measure the attainment of each of the environmental or social characteristics promoted by this financial product are:
- Carbon - Carbon Intensity Scope 1&2
This represents the company's most recently reported or estimated Scope 1 + Scope 2 greenhouse gas emissions normalized by sales, which allows for comparison between companies of different sizes. - Number of companies in bottom 5% of the Corruption Perception Index
- ESG Exclusionary screens - see “G. Methodologies for environmental or social characteristics?” below for details on the exclusions.
- Ratings of sovereign issuers across the portfolio based on the proprietary ESG framework.
The Front Office Controls & Governance team provide ongoing assurance, where required, that we can evidence investment products are being managed in line with documented sustainability commitments where automated controls and/or 3rd party data are not available. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. Investment Compliance implement exclusionary screening and monitor this on an ongoing basis in addition to elements of manual oversight where relevant.
G. Methodologies for environmental or social characteristics
The Investment Manager uses specific screens to help achieve some of the promoted characteristics. For example- to promote climate change mitigation, screens are applied to avoid investment in certain high carbon activities, and it is expected that this will result in the fund having a lower carbon profile.
The Investment Manager applies screens to exclude direct investment in corporate issuers based on their involvement in certain activities. Specifically, issuers are excluded if they derive more than 10% of their revenue from oil sands extraction, arctic oil and gas exploration and extraction, thermal coal extraction, tobacco or adult entertainment.
The Investment Manager applies screens to avoid direct investment in issuers within the bottom 5% of countries in the Corruption Perception Index.
The Investment Manager leverages a proprietary ESG framework, utilising both third party data and proprietary insights, that incorporates at least 20 metrics across environmental, social, and governance factors to produce country-level ESG ratings ranging from AAA to CCC. To encourage the adoption of better environmental and/or social practices the Fund will ensure that 80% of the holdings in the portfolio are issued by countries, or issuers in countries, rated B or higher.
The Fund also applies the Firmwide Exclusions Policy (see “Firmwide Exclusions” in the "JHI Responsible Investment Policy”), which includes controversial weapons.
The Investment Manager may only invest in companies that would be excluded by the screens described above if the Investment Manager believes, based on its own research and as approved by its ESG Oversight Committee, that the third-party data used to apply the exclusions is insufficient or inaccurate.
The Investment Manager may consider that the data is insufficient or inaccurate if, for example, the third-party data provider research is historic, vague, based on out of date sources, or the investment manager has other information to make them doubt the accuracy of the research.
If the Investment Manager wishes to challenge the third-party data, then the challenge is presented to a cross-functional ESG Oversight Committee who must sign off on the “override” of the third-party data.
If a third-party data provider does not provide research on a specific issuer or excluded activity, the Investment Manager may invest if, through its own research, it is satisfied that the issuer is not involved in the excluded activity.
H. Data sources and processing
The fund has chosen MSCI as its primary data source for ESG (Environmental, Social and Governance) research. This helps ensure that in an effort to provide consistent data, methodologies are given an ESG measure per security type, hence enabling them to be compared correctly in the portfolio construction process.
JHI has built a centralised proprietary research alignment process; The central research alignment process aligns data at three different levels
- Entity Level,
- Position Level, and
- Fund Level.
The research alignment and mapping capability is critical to JHI's ESG (Environmental, Social and Governance) methodology, as we recognise a security could inherit the ESG information from the issuing legal entity, however, some ESG risks will be instrument specific.
JHI applies a series of Data Quality rules to ensure the integrity of the data being ingested into the central research alignment solution. JHI data that is not aligned correctly to the definition as provided by the data vendor is not ingested into the central cloud-based data warehouse and exceptions are raised. Remediation includes challenging the data provider or internal operations supporting internally managed Systems of Records. Where appropriate the Data Owner responsible and accountable for the data is notified through the internal Data Governance process to resolve outstanding exceptions.
JHI receives weekly automated data feeds from external ESG Data vendors, which are ingested into a cloud-based data warehouse.
Some data used to support binding criteria as received by external providers may be estimated data. For positions not covered by the external data provider, proprietary research may be used. This could range from proprietary research alignment against the external data vendor to written confirmation from the issuing entity that it aligns to the binding criteria. The appropriateness of the evidence provided is assessed by an independent body at JHI.
Where coverage gaps are identified, specialist ESG Data vendors or inhouse research may be used to complement the ESG research. This ensures consistent data and methodologies are used given an ESG measure per security type and hence can be compared correctly in the portfolio construction process.
I. Limitations to methodologies and data
Data coverage is directly driven by the coverage of the underlying ESG Data Provider.
The promotion of the social and environmental characteristics is not wholly dependent on third party data, or any methodology limitations thereof and is typically also informed by proprietary research, engagement with investee companies where there might be relevant data gaps.
JHI’s internal data structure provides sufficient flexibility to incorporate proprietary evidence or adapt evaluations to future requirements.
JHI is aware of data gaps in ESG Research for non-traditional asset classes compared to mainstream asset classes such as equities and debt instruments.
J. Due diligence
The JHI Responsible Investment Policy sets out the firmwide approach to ESG Integration, including JHI’s Responsible Investment Principles for long-term investment success, our approaches to Stewardship and Engagement and Firmwide Exclusions applied to investee companies. These exclusions are based on classifications provided by third-party data ESG data providers.
This classification is subject to an investment research override in cases where sufficient evidence exists that the third-party field is not accurate or appropriate.
Each Investment desk completes their own due diligence processes ahead of making any investment decisions within their Article 8 funds, using internal and external tools and research.
The Front Office Controls & Governance team provide ongoing assurance, where required, that we can evidence investment products are being managed in line with documented sustainability commitments where automated controls and/or 3rd party data are not available. Financial Risk review and challenge investment management in light of ESG-related risks, alongside traditional market risk metrics, and embed sustainability risk into the risk profiles. Investment Compliance ensure that ESG-related activities are managed in line with regulatory requirements and expectations and considered within our compliance framework.
K. Engagement Policies
In addition to the binding elements of the investment strategy described above, stewardship forms an integral and natural part of Janus Henderson’s long-term, active approach to investment management. Details of JHI’s approach to Engagement can be found in the ‘Responsible Investment Policy’ published under the ‘ESG Resource Library’ at https://www.janushenderson.com/corporate/who-we-are/brighter-future-project/responsibility/esg-resources/.
The Firm supports a number of stewardship codes and broader initiatives around the world and is a signatory to the UK Stewardship Code.
Janus Henderson has a Proxy Voting Committee, which is responsible for establishing positions on major voting issues and creating guidelines overseeing the voting process. The Committee is comprised of representatives of investments portfolio management, corporate governance, legal and compliance. Additionally, the Proxy Voting Committee is responsible for monitoring and resolving conflicts of interest with respect to proxy voting.
L. Designated Reference Benchmark
The Fund does not use a reference benchmark to attain its environmental or social characteristics.
Principal adverse impacts (PAI)
As at 20 January 2026, the Investment Manager considers the following principal adverse impacts (PAIs) on sustainability factors for this Fund:
| Adverse Sustainability Indicator | Metric | How is PAI considered | |
|---|---|---|---|
| Greenhouse gas emissions | GHG emissions | Scope 1 GHG emissions | Exclusionary screen |
| Scope 2 GHG emissions | Exclusionary screen | ||
| Carbon footprint | Carbon footprint | Exclusionary screen | |
| GHG Intensity of investee companies | HG intensity of investee companies | Exclusionary screen | |
| Exposure to companies active in the fossil fuel sector | Share of investments in companies active in the fossil fuel sector | Exclusionary screen | |
| Social and employee matters | Share of investments in investee companies involved in the manufacture or selling of controversial weapons | Exposure to controversial weapons (anti-personnel mines, cluster munitions, chemical weapons and biological weapons) | Exclusionary screen |
'Where the translated version of this disclosure text differs from the English version, the original English version prevails'