UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-1A

(Check appropriate box or boxes.)

CLAYTON STREET TRUST

(Exact Name of Registrant as Specified in Charter)

151 Detroit Street, Denver, Colorado 80206-4805

(Address of Principal Executive Offices) (Zip Code)

Registrant's Telephone Number, including Area Code: 303-333-3863

Cara Owen

151 Detroit Street

Denver, Colorado 80206-4805

(Name and Address of Agent for Service)

With Copies to:

Eric S. Purple

Stradley Ronon Stevens & Young, LLP

2000 K Street, N.W., Suite 700

Washington, District of Columbia 20006

Approximate Date of Proposed Public Offering: As soon as practicable after the effective date of this Registration Statement.

April 30, 2026

Clayton Street Trust

Prospectus

The Securities and Exchange Commission has not approved or disapproved of these securities or passed on the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

This Prospectus describes three portfolios (each, a “Portfolio” and collectively, the “Portfolios”), each a separate series of Clayton Street Trust (the “Trust”). Janus Henderson Investors US LLC (the “Adviser”) serves as investment adviser to each Portfolio.

Each Portfolio currently offers one class of shares (the “Shares”). The Shares are offered by this Prospectus in connection with investment in and payments under variable annuity contracts issued exclusively by Protective Life Insurance Company and its affiliates (“Protective Life”).

This Prospectus contains information that variable annuity contract holders and prospective purchasers should consider in conjunction with the accompanying Protective Life separate account prospectus before allocating purchase payments or premiums to the Portfolios. Each variable annuity contract involves fees and expenses that are not described in this Prospectus. Refer to the accompanying contract prospectus for information regarding contract fees and expenses and any restrictions on purchases or allocations.

Table of Contents

1 | Clayton Street Trust

Protective Life Dynamic Allocation Series – Conservative Portfolio

EXAMPLE:

2 | Protective Life Dynamic Allocation Series – Conservative Portfolio

The biggest risk is that the Portfolio’s returns will vary, and you could lose money. The Portfolio is designed for long-term investors seeking income and growth of capital, balanced by capital preservation.

Main Risks Associated with the Portfolio

Risks Through Investing in the Underlying ETFs

The ability of the Portfolio to realize its investment objective will depend, in large part, on the extent to which the underlying ETFs realize their respective investment objectives. Similarly, the Portfolio’s investment performance is directly related to the investment performance of the underlying ETFs it holds. The Portfolio is subject to the risk factors associated with the investments of the underlying ETFs, and will be affected by such risks in direct proportion to the allocation of its assets among the underlying ETFs. Therefore, to the extent that the Portfolio invests significantly in a particular underlying ETF, the Portfolio’s performance would be significantly impacted by the performance of such underlying ETF. What follows are the main risks associated with the underlying ETFs, which, in turn, may be considered to be principal risks of the Portfolio. These risks are subject to change based on the allocation of the Portfolio’s assets among the underlying ETFs.

8 | Protective Life Dynamic Allocation Series – Conservative Portfolio

An investment in the Portfolio is not a bank deposit and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

Protective Life Dynamic Allocation Series – Conservative Portfolio

10 | Protective Life Dynamic Allocation Series – Conservative Portfolio

Protective Life Dynamic Allocation Series - Conservative Portfolio Shares

MSCI All Country World IndexSM (reflects no deduction for expenses, fees or taxes, except foreign withholding taxes)

Protective Life Conservative Allocation Index (reflects no deduction for expenses, fees or taxes)

Investment Adviser: Janus Henderson Investors US LLC

Portfolio Management: Benjamin Wang, CFA, is Co-Portfolio Manager of the Portfolio, which he has co-managed since inception in April 2016. Zoey Zhu, CFA, is Co-Portfolio Manager of the Portfolio, which she has co-managed since May 2020.

Purchases of Shares of the Portfolio may be made only by the separate accounts of Protective Life for the purpose of funding variable annuity contracts. Redemptions, like purchases, may be effected only through the separate accounts of Protective Life. Requests are duly processed at the NAV next calculated after your order is received in good order by the Portfolio or its agents. Refer to Protective Life’s separate account prospectus for details.

Because Shares of the Portfolio may be purchased only through variable annuity contracts, it is anticipated that any income dividends or net capital gains distributions made by the Portfolio will be exempt from current federal income taxation if left to accumulate within the variable annuity contract. Generally, withdrawals from such contracts may be subject to federal income tax at ordinary income rates and, if made before age 59 ½, a 10% penalty. The federal income tax status of your investment depends on the features of your variable annuity contract. Further information may be found in Protective Life’s separate account prospectus.

Shares of the Portfolio are only available through Protective Life’s variable annuity contracts. The Portfolio or its distributor (and/or their related companies) make payments to Protective Life and/or its related companies for distribution and/or other services; some of the payments may go to broker-dealers and other financial intermediaries. These payments may create a

11 | Protective Life Dynamic Allocation Series – Conservative Portfolio

conflict of interest for an intermediary, or be a factor in Protective Life’s decision to include the Portfolio as an underlying investment option in a variable annuity contract. Ask your financial advisor, visit Protective Life’s website, or consult your variable annuity contract prospectus for more information.

12 | Protective Life Dynamic Allocation Series – Conservative Portfolio

Protective Life Dynamic Allocation Series – Moderate Portfolio

EXAMPLE:

13 | Protective Life Dynamic Allocation Series – Moderate Portfolio

The biggest risk is that the Portfolio’s returns will vary, and you could lose money. The Portfolio is designed for long-term investors seeking growth of capital and income, balanced by capital preservation.

Main Risks Associated with the Portfolio

Risks Through Investing in the Underlying ETFs

The ability of the Portfolio to realize its investment objective will depend, in large part, on the extent to which the underlying ETFs realize their respective investment objectives. Similarly, the Portfolio’s investment performance is directly related to the investment performance of the underlying ETFs it holds. The Portfolio is subject to the risk factors associated with the investments of the underlying ETFs, and will be affected by such risks in direct proportion to the allocation of its assets among the underlying ETFs. Therefore, to the extent that the Portfolio invests significantly in a particular underlying ETF, the Portfolio’s performance would be significantly impacted by the performance of such underlying ETF. What follows are the main risks associated with the underlying ETFs, which, in turn, may be considered to be principal risks of the Portfolio. These risks are subject to change based on the allocation of the Portfolio’s assets among the underlying ETFs.

19 | Protective Life Dynamic Allocation Series – Moderate Portfolio

An investment in the Portfolio is not a bank deposit and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

Protective Life Dynamic Allocation Series – Moderate Portfolio

21 | Protective Life Dynamic Allocation Series – Moderate Portfolio

Protective Life Dynamic Allocation Series - Moderate Portfolio Shares

MSCI All Country World IndexSM (reflects no deduction for expenses, fees or taxes, except foreign withholding taxes)

Protective Life Moderate Allocation Index (reflects no deduction for expenses, fees or taxes)

Investment Adviser: Janus Henderson Investors US LLC

Portfolio Management: Benjamin Wang, CFA, is Co-Portfolio Manager of the Portfolio, which he has co-managed since inception in April 2016. Zoey Zhu, CFA, is Co-Portfolio Manager of the Portfolio, which she has co-managed since May 2020.

Purchases of Shares of the Portfolio may be made only by the separate accounts of Protective Life for the purpose of funding variable annuity contracts. Redemptions, like purchases, may be effected only through the separate accounts of Protective Life. Requests are duly processed at the NAV next calculated after your order is received in good order by the Portfolio or its agents. Refer to Protective Life’s separate account prospectus for details.

Because Shares of the Portfolio may be purchased only through variable annuity contracts, it is anticipated that any income dividends or net capital gains distributions made by the Portfolio will be exempt from current federal income taxation if left to accumulate within the variable annuity contract. Generally, withdrawals from such contracts may be subject to federal income tax at ordinary income rates and, if made before age 59 ½, a 10% penalty. The federal income tax status of your investment depends on the features of your variable annuity contract. Further information may be found in Protective Life’s separate account prospectus.

Shares of the Portfolio are only available through Protective Life’s variable annuity contracts. The Portfolio or its distributor (and/or their related companies) make payments to Protective Life and/or its related companies for distribution and/or other services; some of the payments may go to broker-dealers and other financial intermediaries. These payments may create a conflict of interest for an intermediary, or be a factor in Protective Life’s decision to include the Portfolio as an underlying investment option in a variable annuity contract. Ask your financial advisor, visit Protective Life’s website, or consult your variable annuity contract prospectus for more information.

22 | Protective Life Dynamic Allocation Series – Moderate Portfolio

Protective Life Dynamic Allocation Series – Growth Portfolio

EXAMPLE:

23 | Protective Life Dynamic Allocation Series – Growth Portfolio

The biggest risk is that the Portfolio’s returns will vary, and you could lose money. The Portfolio is designed for long-term investors seeking growth of capital, balanced by capital preservation.

Main Risks Associated with the Portfolio

Risks Through Investing in the Underlying ETFs

The ability of the Portfolio to realize its investment objective will depend, in large part, on the extent to which the underlying ETFs realize their respective investment objectives. Similarly, the Portfolio’s investment performance is directly related to the investment performance of the underlying ETFs it holds. The Portfolio is subject to the risk factors associated with the investments of the underlying ETFs, and will be affected by such risks in direct proportion to the allocation of its assets among the underlying ETFs. Therefore, to the extent that the Portfolio invests significantly in a particular underlying ETF, the Portfolio’s performance would be significantly impacted by the performance of such underlying ETF. What follows are the main risks associated with the underlying ETFs, which, in turn, may be considered to be principal risks of the Portfolio. These risks are subject to change based on the allocation of the Portfolio’s assets among the underlying ETFs.

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30 | Protective Life Dynamic Allocation Series – Growth Portfolio

An investment in the Portfolio is not a bank deposit and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

Protective Life Dynamic Allocation Series – Growth Portfolio

31 | Protective Life Dynamic Allocation Series – Growth Portfolio

Protective Life Dynamic Allocation Series - Growth Portfolio Shares

MSCI All Country World IndexSM (reflects no deduction for expenses, fees or taxes, except foreign withholding taxes)

Investment Adviser: Janus Henderson Investors US LLC

Portfolio Management: Benjamin Wang, CFA, is Co-Portfolio Manager of the Portfolio, which he has co-managed since inception in April 2016. Zoey Zhu, CFA, is Co-Portfolio Manager of the Portfolio, which she has co-managed since May 2020.

Purchases of Shares of the Portfolio may be made only by the separate accounts of Protective Life for the purpose of funding variable annuity contracts. Redemptions, like purchases, may be effected only through the separate accounts of Protective Life. Requests are duly processed at the NAV next calculated after your order is received in good order by the Portfolio or its agents. Refer to Protective Life’s separate account prospectus for details.

Because Shares of the Portfolio may be purchased only through variable annuity contracts, it is anticipated that any income dividends or net capital gains distributions made by the Portfolio will be exempt from current federal income taxation if left to accumulate within the variable annuity contract. Generally, withdrawals from such contracts may be subject to federal income tax at ordinary income rates and, if made before age 59 ½, a 10% penalty. The federal income tax status of your investment depends on the features of your variable annuity contract. Further information may be found in Protective Life’s separate account prospectus.

Shares of the Portfolio are only available through Protective Life’s variable annuity contracts. The Portfolio or its distributor (and/or their related companies) make payments to Protective Life and/or its related companies for distribution and/or other services; some of the payments may go to broker-dealers and other financial intermediaries. These payments may create a conflict of interest for an intermediary, or be a factor in Protective Life’s decision to include the Portfolio as an underlying investment option in a variable annuity contract. Ask your financial advisor, visit Protective Life’s website, or consult your variable annuity contract prospectus for more information.

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Additional Information about the Portfolios

This Prospectus provides information about the Portfolios, a group of mutual funds that invest in affiliated and unaffiliated ETFs, cash and/or money market instruments. Because they invest primarily in ETFs, each Portfolio is considered a “fund of funds.” The term “fund of funds” is used to describe a registered investment company that pursues its investment objective by investing primarily in other investment companies, rather than in individual stocks or bonds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of the expenses charged by the underlying ETFs in which it invests. Each Portfolio is best suited for long-term investors.

The Portfolios’ Board of Trustees of the Trust (the “Trustees”) may change each Portfolio’s investment objective or non-fundamental principal investment strategies without a shareholder vote. A Portfolio will notify you in writing at least 60 days, or as soon as practicable, before making any such change it considers material. If there is a material change to a Portfolio’s investment objective or principal investment strategies, you should consider whether the Portfolio remains an appropriate investment for you. There is no guarantee that a Portfolio will achieve its investment objective.

This section takes a closer look at the Portfolios’ principal investment strategies, as well as certain risks of investing in the Portfolios. Some of these strategies and policies may be part of a principal strategy, describing Portfolio Summary items in more detail. Other strategies and policies, not previously discussed, are not considered principal strategies, but may be utilized to a lesser extent. Please carefully review the “Risks of the Portfolios” section of this Prospectus for a discussion of risks associated with certain investment techniques.

The Portfolios offer three choices for different investment styles. Because investors’ risk tolerances, investment goals, investment time horizons, and financial circumstances may be different, Conservative Portfolio and Moderate Portfolio each offer differing strategies that seek to attain total return through capital appreciation and income, balanced by capital preservation. Growth Portfolio offers a strategy that seeks to attain total return through growth of capital, balanced by capital preservation. The allocation among global equity asset classes, intermediate- and long-duration fixed-income investments (if any) (the “Static Fixed-Income Allocation”), and short-duration investments (the “Variable Short-Duration Allocation”), in each Portfolio reflects its greater or lesser emphasis on pursuing growth of capital versus income or preservation of capital.

Each Portfolio intends to invest in a dynamic portfolio of underlying ETFs, to pursue a target allocation of global equity and, with respect to Conservative Portfolio and Moderate Portfolio, intermediate- and long-duration fixed-income market exposure. Each Portfolio may also invest in short-duration investments. Each Portfolio intends to employ a quantitative-based investment strategy in which equity allocations will be adjusted weekly, based on market conditions, pursuant to the Allocation Adjustment Program, described further below.

The Allocation Adjustment Program

The Allocation Adjustment Program, a proprietary methodology co-developed by the Adviser and Protective Life, allocates each Portfolio’s assets on a weekly basis among various different equity asset classes and the Variable Short-Duration Allocation, based on historical market indicators. Each Portfolio’s asset allocation is intended to diversify investments throughout the world among equity investments and seeks to mitigate market risk by adjusting equity investments between market exposure and the Variable Short-Duration Allocation, based on historical market indicators. Each of Conservative Portfolio’s and Moderate Portfolio’s Static Fixed-Income Allocation is expected to remain constant over time, subject to market movements. Portfolio management oversees the Allocation Adjustment Program and are responsible for the day-to-day management of the Portfolios. Within the parameters of each asset class’ allocation relative to a Portfolio’s total assets, and the target allocation ranges within each asset class, portfolio management reviews the allocation of Portfolio assets in the underlying ETFs and may, without shareholder notice, cease investing in one or more underlying ETFs, modify the underlying ETFs’ weightings or add or substitute other underlying ETFs that provide similar investment exposure, to emphasize and mitigate risk exposures that may arise as a result of the implementation of the allocations.

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In allocating among the underlying ETFs in a particular asset class, portfolio management will consider a number of factors, the primary of which is liquidity. The following table summarizes the management process:

The following table indicates each Portfolio’s long-term, fully-invested target asset allocation, which is how each Portfolio’s investments generally will be allocated among the asset classes under full investment, as well as the approximate ranges, based on market conditions, within which each Portfolio’s assets may be allocated.

Equity and Variable Short-Duration Allocations. The equity and Variable Short-Duration allocations are adjusted weekly, as needed, based on historical market indicators (a 252-day exponentially-weighted moving average for each equity class, as discussed further below), subject to the respective asset class’ allocation. Accordingly, in any given week, each equity asset class component will represent the combined allocation to such equity investments plus short-duration investments, if any. Within each equity asset class, the amount invested by a Portfolio to gain or maintain market exposure versus the amount to be held in short-duration investments depends on the market indicator as established by the Allocation Adjustment Program. The Variable Short-Duration Allocation is described in further detail below.

Static Fixed-Income Allocation (Conservative Portfolio and Moderate Portfolio only). The Static Fixed-Income Allocation is expected to remain constant over time, subject to market movement, and will be rebalanced to its target allocation on a quarterly basis. Conservative Portfolio and Moderate Portfolio will generally obtain intermediate- and long-duration fixed- income exposure by investing in unaffiliated ETFs that provide broad exposure to the total U.S. investment-grade bond market. The credit quality of the Portfolios’ Static Fixed Income Allocation will generally reflect the average credit quality of the underlying ETFs providing the fixed-income exposure.

Market Indicators. The Allocation Adjustment Program compares the current valuation of an equity asset class compared to a 252-day exponentially-weighted moving average. An exponentially-weighted moving average gives more weight to more recent days’ valuation relative to less recent days’ valuation within the 252-day look-back window. If the current valuation of a given equity asset class is more than 2% below the 252-day exponentially-weighted moving average, the Allocation Adjustment Program signals portfolio management to move to the next lower target allocation, down to a minimum of 0%. If the valuation of a given equity asset class is between 98% and 100% of the 252-day exponentially-weighted moving average, the Allocation Adjustment Program will signal no change. If the current valuation of a given equity asset class is above the 252-day exponentially-weighted moving average by any amount, the Allocation Adjustment Program signals portfolio management to move to the next higher target allocation, up to the maximum target allocation for that equity class. Under normal circumstances, trade signals from the Allocation Adjustment Program will be implemented in a Portfolio on the next business day.

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Trading Increments. The Allocation Adjustment Program allows for five different target allocations within each equity asset class: 0%, 25%, 50%, 75%, and 100%. The target reflects the desired allocation to equity, with the remainder held in the Variable Short-Duration Allocation. The target allocation for each of the equity asset classes at the outset is 100%.

The table below shows, for each asset class, the class’ target allocation within each Portfolio, the approximate range of potential market exposure within the asset class, and the approximate trading increment upon a trade signal. Each figure is shown as a percentage of the respective Portfolio’s total assets.

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At no time will an individual asset class exposure be less than zero for investment purposes (i.e., no short exposure), and generally an asset class exposure will not be greater than its maximum target allocation, except due to market movements between periodic rebalancing of a Portfolio. To the extent market movements between periodic rebalancing of the Portfolio results in an asset class exposure in excess of its maximum target allocation, a Portfolio will continue to buy and sell assets reflecting the Portfolio’s current composition as it manages purchase and redemption orders for the Portfolio, and when it implements trades directed by the weekly Allocation Adjustment Program.

Portfolio management may change a Portfolio’s allocations among the asset classes without shareholder notice, unless the Adviser determines it would be a material change to the Portfolio’s investment strategy, in which case shareholders would receive advance notice.

Actual allocations implemented in each Portfolio may vary, due to a number of factors, including but not limited to, market movements, and large purchases and redemptions in the Portfolios.

As an example of how the Allocation Adjustment Program works, assume a Portfolio presently allocates 20% of its assets to the U.S. Large Cap Equity asset class, and the target allocation within that asset class is 100%. Twenty percent of the Portfolio’s assets will be invested in underlying ETFs that comprise the U.S. Large Cap Equity asset class. If the following week, the U.S. Large Cap Equity asset class is valued 5% below the 252-day exponentially-weighted moving average, the Allocation Adjustment Program will signal portfolio management to move to the next lower target allocation (75%) for this asset class. If, as a result of market movement, the asset class now represents 18% of the Portfolio’s assets, the Portfolio’s assets invested in the underlying ETFs that comprise the U.S. Large Cap Equity asset class will be reduced to a target of 13.5% of the Portfolio’s assets, with the remaining target of 4.5% held in the Variable Short-Duration Allocation. If in the third week, the performance of the U.S. Large Cap Equity class is flat, but its valuation remains more than 2% below the 252-day exponentially-weighted moving average, the Allocation Adjustment Program will signal to portfolio management to move to the next lower target allocation (50%). If, as a result of market movement, the asset class now represents 16% of the Portfolio’s assets, the Portfolio’s assets invested in the underlying ETFs that comprise the U.S. Large Cap Equity asset class will be further reduced to a target of 8% of the Portfolio’s assets, with the remaining target of 8% held in short-duration investments.

The Underlying ETFs

Each Portfolio will normally allocate its investments to underlying ETFs to diversify investments throughout the world and provide varying exposure to large-, mid-, or small-capitalization companies, U.S. based and non-U.S. based companies (including those with exposure to emerging markets), and, with respect to Conservative Portfolio and Moderate Portfolio, fixed-income securities (including U.S. Treasury, government-related, and corporate, mortgage-backed pass-through

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securities, commercial mortgage-backed securities, and asset-backed securities). The allocations may change from time to time to reflect market fluctuations or in response to various economic or other factors as deemed appropriate by portfolio management. As noted above, each Portfolio may invest in short-duration affiliated and unaffiliated underlying ETFs within its Variable Short- Duration Allocation to seek to mitigate market risk associated with its equity allocation.

The table below shows, for each asset class, the ETFs in which the Portfolios, as of the date of this Prospectus, expect to invest. The underlying ETFs may change at any time without prior notice. In addition, the Portfolios may reallocate their assets among the potential underlying ETFs described in this Prospectus, other ETFs, or cash and/or money market instruments. Portfolio management may choose at their sole discretion to remove, add or substitute other ETFs in order to obtain the desired market exposure, to further diversify and/or mitigate risk for the Portfolios, or for other reasons, without prior shareholder notification.

Actual holdings percentages may vary due to actual asset allocations, cash flows, and changes to the underlying ETFs’ asset values. Each Portfolio can invest in any or all of the underlying ETFs and a Portfolio’s investment in certain underlying ETFs may exceed 25% of such Portfolio’s total assets. The Adviser may change the underlying ETFs, an underlying ETF’s asset category, or allocations among asset classes or underlying ETFs without prior notice to shareholders, unless the Adviser determines it would be a material change to a Portfolio’s principal investment strategy, in which case shareholders would receive prior notice.

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In the event portfolio management is unable to identify or invest in underlying ETFs that provide the desired exposure to an asset class, portfolio management may, without shareholder notice, elect to forego investment in that asset class until an appropriate underlying ETF is identified and available. Portfolio management may also determine to remove the asset class from the Allocation Adjustment Program, in which case a Portfolio would provide notice to shareholders as soon as reasonably practical.

Information regarding a Portfolio’s actual allocations to underlying ETFs is available to shareholders on a periodic basis through the Portfolios’ annual reports, semiannual reports, and certain other reports filed with the Securities and Exchange Commission (the “SEC”), as well as at janushenderson.com/clayton-street-trust. Please refer to “Availability of Portfolio Holdings Information” in this Prospectus to learn how to access the most recent allocation information.

Refer to Appendix A in this Prospectus for a brief description of the investment objective and strategies of each of the potential underlying ETFs in which a Portfolio, as of the date of this Prospectus, expects to invest. This Prospectus is not an offer to sell any of the underlying ETFs. Additional information is available in the underlying ETFs’ prospectuses and statements of additional information available on the SEC’s website at http://www.sec.gov.

Variable Short-Duration Allocation

Each Portfolio’s Variable Short-Duration Allocation may be as low as 0% or as high as 50%, 65%, or 100% of its assets for the Conservative Portfolio, Moderate Portfolio, and Growth Portfolio, respectively, depending on prevailing market conditions and the weekly results of the Allocation Adjustment Program. Under normal circumstances, each Portfolio expects the Variable Short- Duration Allocation to be comprised of or provide exposure to securities with varying maturities and an average duration of 2 years or less. Permissible short-duration investments include cash, money market instruments (eligible securities, as defined by Rule 2a-7 under the Investment Company Act of 1940, as amended (the “1940 Act”)) determined by the Adviser to present minimal credit risk, affiliated or unaffiliated money market funds and/or investments in affiliated and unaffiliated underlying ETFs that invest in a portfolio of fixed-income instruments across a broad range of sectors and geographies while maintaining a short-duration portfolio. These underlying ETFs primarily invest in investment grade debt securities, including, among others, short-term instruments, such as commercial paper and repurchase agreements, mortgage-backed securities, asset-backed securities, including collateralized debt obligations, and derivatives. The underlying ETFs may also invest in high-yield (or “junk”) bonds. Each Portfolio’s short-duration investments may include securities of U.S. and foreign public- and private-sector issuers.

A Portfolio will increase its Variable Short-Duration Allocation when market indicators from the Allocation Adjustment Program dictate a more defensive position. As a Portfolio’s investments in short-duration investments increase, it may not participate in market advances or declines to the same extent that it would if the Portfolio remained more fully invested in underlying ETFs.

Securities that a Portfolio may invest in as a means of receiving a return on the portion of the Portfolio’s assets allocated to short- duration investments include high-quality debt obligations and obligations of financial institutions. Debt obligations may include commercial paper, notes, bonds, and floating interest rate securities. Obligations of financial institutions include certificates of deposit and time deposits. A Portfolio may also invest in repurchase agreements, including those secured by U.S. Treasuries, or other instruments issued by U.S. Government agencies. Some government agencies are backed by the full faith and credit of the United States and as such are supported by the issuer’s ability to borrow from the United States Treasury, others are supported only by the credit of the issuer, and some are supported by the United States in some other way. With respect to money market instruments, a Portfolio will:

Subject to the limitations described above, money market instruments and/or affiliated and unaffiliated underlying ETFs that invest in a portfolio of fixed-income instruments across a broad range of sectors and geographies while maintaining a short- duration portfolio in which the Portfolio may invest include, but are not limited to:

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the risk the issuer cannot issue enough new commercial paper to satisfy its outstanding commercial paper, also known as rollover risk. In addition, under certain circumstances, commercial paper may become illiquid or may suffer from reduced liquidity.

A Portfolio may also invest its cash in a cash sweep program, an arrangement in which the Portfolio’s uninvested cash balance is pooled with uninvested cash of other funds and invested in certain securities such as repurchase agreements or is used to purchase shares of affiliated or non-affiliated money market funds (or cash management pooled investment vehicles that operate as money market funds) at the end of each day. To the extent a Portfolio invests through a sweep program, it is subject to the risks of the account or fund into which it is investing, including liquidity issues that may delay the Portfolio from accessing its cash. The Portfolios and certain underlying ETFs may purchase unlimited shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles.

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Portfolio management’s selection of investments for the Variable Short-Duration Allocation among short-duration affiliated ETFs, short-duration unaffiliated ETFs, money market instruments and cash may be based on a variety of factors, including prevailing market conditions, to seek to enhance total return and managing risk.

When market indicators from the Allocation Adjustment Program dictate a more defensive position, the resulting allocations may result in a Portfolio holding a substantial portion of its assets in short-duration investments for a prolonged period. When a Portfolio holds a substantial portion of its assets in short-duration investments for a prolonged period, it may not achieve the income and/or growth portions of its investment objective, as applicable.

Due to the nature of the Allocation Adjustment Program, a Portfolio may have higher portfolio turnover compared to other funds of funds. Increased portfolio turnover may result in higher costs for brokerage commissions, dealer mark-ups, and other transaction costs. Higher costs associated with increased portfolio turnover also may have a negative effect on a Portfolio’s performance.

Portfolio Turnover

Portfolio turnover rates are not a factor in making buy and sell decisions. The Portfolios normally seek long-term investment, although the Portfolios may sell shares of the underlying ETFs regardless of how long they have been held. Portfolio turnover is affected by market conditions, the Allocation Adjustment Program, and changes in the size of a Portfolio (including due to shareholder purchases and redemptions). Changes are normally made in a Portfolio’s holdings on a weekly basis, pursuant to the Allocation Adjustment Program. Portfolio turnover rates are not a factor in the Allocation Adjustment Program. The Portfolios’ transactions in the underlying ETFs incur brokerage commissions. Due to the nature of the Allocation Adjustment Program, the Portfolios may have higher portfolio turnover compared to other fund of funds.

Increased portfolio turnover may result in higher costs for brokerage commissions, dealer mark-ups, and other transaction costs. Higher costs associated with increased portfolio turnover also may have a negative effect on a Portfolio’s performance.

Securities Lending

A Portfolio may seek to earn additional income through lending its securities to certain qualified broker-dealers and institutions, in an amount equal to up to one-third of its total assets as determined at the time of the loan origination. When a Portfolio lends its securities, it receives collateral (including cash collateral), at least equal to the value of securities loaned. The Portfolios may earn income by investing this collateral in one or more affiliated or non-affiliated cash management vehicles or in time deposits. It is also possible that, due to a decline in the value of a cash management vehicle in which collateral is invested, the Portfolio may lose money. There is also the risk that when portfolio securities are lent, the securities may not be returned on a timely basis, and the Portfolio may experience delays and costs in recovering the security or gaining access to the collateral provided to the Portfolio to collateralize the loan. If the Portfolio is unable to recover a security on loan, the Portfolio 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 Portfolio. In certain circumstances, individual loan transactions could yield negative returns. The Adviser intends to manage the cash collateral in an affiliated cash management vehicle and will receive an investment advisory fee for managing such assets.

The value of your investment will vary over time, sometimes significantly, and you may lose money by investing in the Portfolios.

Allocation Risk. The Portfolios are managed pursuant to the Allocation Adjustment Program, and are therefore subject to the risk that the investment strategies and resulting allocation employed for the Portfolios may fail to produce the intended results. A Portfolio may underperform its benchmark index or other mutual funds with similar investment objectives. A Portfolio’s ability to achieve its investment objective depends largely upon the allocation of assets among the underlying ETFs and short- duration investments, using the Allocation Adjustment Program. You could lose money on your investment in a Portfolio as a result of these allocations. The Portfolios will typically invest in a range of different underlying ETFs and short-duration investments; however, to the extent that a Portfolio invests a significant portion of its assets in a single underlying ETF, it will be more sensitive to the risks associated with that underlying ETF and any investments in which that underlying ETF focuses. To the extent a Portfolio’s assets are allocated to short-duration investments, it will be subject to risks associated

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with those investments, may generate returns that are lower than inflation and, in periods of rising market prices, such Portfolio may be unable to participate in such price increases as fully as it may have if its assets were allocated to the equity asset classes.

Investment Process Risk. No assurance can be given that a Portfolio’s investment strategy will be successful under all or any market conditions. Although the Allocation Adjustment Program is designed to achieve each Portfolio’s investment objective, there is no guarantee that it will achieve the desired results, and there is a risk that it may not be successful in identifying how a Portfolio’s assets should be adjusted to reduce the risk of loss in down markets while participating in the upside growth of markets. The Allocation Adjustment Program is a quantitative, model-driven (i.e., rules-based) investment strategy that may perform differently from the market as a whole based on the factors used in the model, the weight placed on each factor, as well as changes in historical trends and market conditions. Historical performance does not indicate future performance, and the assumption that markets will continue to rise where an asset class is valued higher (or continue to fall where an asset class is valued lower) than its 252-day exponentially-weighted moving average may prove to be incorrect under certain market conditions. In such cases, implementing a signal from the Allocation Adjustment Program may result in maintaining or increasing market exposure (or a reduction in exposure), might not provide the intended results, and may adversely impact a Portfolio’s performance. The risk of loss may be heightened during periods of significant market volatility if the Allocation Adjustment Program is not designed to address the specific market conditions present at that time.

Fund of Funds Structure Risk. To varying degrees, each Portfolio intends to allocate assets among underlying ETFs that invest in global equity and fixed-income securities (not including Growth Portfolio), and also among short-duration investments. The allocation of each Portfolio’s assets to underlying ETFs may not be successful in achieving each Portfolio’s investment objective. There is a risk that you may experience lower returns by investing in a Portfolio instead of investing directly in an underlying ETF. A Portfolio’s returns are directly related to the aggregate performance and expenses of the underlying ETFs in which it invests. A Portfolio, as a shareholder in an underlying ETF, will indirectly bear its pro rata share of the expenses incurred by the underlying ETFs. A Portfolio’s return will be net of these expenses, and these expenses may be higher or lower depending upon the allocation of its assets among the underlying ETFs and the actual expenses of the underlying ETFs. There is additional risk for the Portfolios with respect to aggregation of holdings of underlying ETFs. The aggregation of holdings of underlying ETFs may result in a Portfolio indirectly having increased exposure to assets in a particular industry, geographical sector, or single company. Such indirect exposure may have the effect of increasing the volatility of a Portfolio’s returns. The Portfolios do not control the investments of the underlying ETFs, or any indirect exposure that occurs as a result of the underlying ETFs following their investment objectives. Additionally, to the extent the Portfolio purchases shares of affiliated or non-affiliated money market funds, or cash management pooled investment vehicles, it would bear its pro rata portion of such fund’s expenses, in addition to the expenses the Portfolio bears directly in connection with its own operation.

The SEC adopted changes to the rules that govern SEC registered money market funds in July 2023 that impact the manner in which money market funds are operated. These changes may affect the investment strategies, performance, yield, operating expenses and continued viability of money market funds in which a Portfolio may invest. There can be no assurance that a Portfolio’s investments in money market funds are not adversely affected by these or additional reforms to money market regulation that may be adopted by the SEC or other regulatory authorities.

Affiliated Underlying Fund Risk. The Adviser may invest in certain underlying affiliated ETFs and money market funds (or unregistered cash management pooled investment vehicles that operate as money market funds) as investments for the Portfolios. The Adviser will generally receive fees for managing such funds, in addition to the fees paid to the Adviser by each Portfolio. The payment of such fees by underlying affiliated funds creates a conflict of interest when selecting underlying affiliated funds for investment in the Portfolio. The Adviser, however, is a fiduciary to each Portfolio and its shareholders and is legally obligated to act in their best interest when selecting underlying affiliated funds. In addition, the Adviser has contractually agreed to waive and/or reimburse a portion of each Portfolio’s management fee in an amount equal to the management fee it earns as an investment adviser to any of the underlying affiliated ETFs with respect to each Portfolio’s investment in such ETF, less certain asset-based operating fees and expenses.

The Adviser manages many funds and numerous other accounts, which may include separate accounts and other pooled investment vehicles, such as hedge funds. Side-by-side management of multiple accounts, including the management of a cash collateral pool for securities lending and investing the Janus Henderson funds’ cash, may give rise to conflicts of interest among those accounts, and may create potential risks, such as the risk that investment activity in one account may adversely affect another account. Side-by-side management may raise additional potential conflicts of interest relating to the allocation of investment opportunities and the aggregation and allocation of trades. Additionally, because the Adviser is the adviser to the Portfolios and potentially to certain of the underlying ETFs or money market funds, it is subject to certain

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potential conflicts of interest when allocating the assets of the Portfolios among underlying ETFs. Portfolio management, officers, and Trustees of the Portfolios may also serve in the same capacity as portfolio management, officers, and Trustees of the underlying ETFs. Conflicts may arise as portfolio management, officers, and Trustees seek to fulfill their fiduciary responsibilities to the Portfolios and the underlying ETFs. A further discussion of potential conflicts of interest and a discussion of certain procedures intended to mitigate such potential conflicts are contained in the Portfolios’ statement of additional information (“SAI”).

Operational Risk. An investment in a Portfolio (and the Portfolios’ investments in the underlying ETFs) can involve operational risks arising from factors such as processing errors, human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel, and errors caused by third party service providers. Among other things, these errors or failures, as well as other technological issues, may adversely affect a Portfolio’s or underlying ETF’s ability to calculate its net asset value, process fund orders, execute portfolio trades or perform other essential tasks in a timely manner, including over a potentially extended period of time. These errors or failures may also result in a loss or compromise of information, regulatory scrutiny, reputational damage or other events, any of which could have a material adverse effect on a Portfolio or underlying ETF. Implementation of business continuity plans by the Portfolio, the Adviser or third-party service providers in response to disruptive events such as natural disasters, epidemics and pandemics, terrorism, conflicts and social unrest may increase these operational risks to the Portfolios. While the Portfolios seek to minimize such events through internal controls and oversight of third-party service providers, there is no guarantee that the Portfolios will not suffer losses if such events occur.

Portfolio Turnover Risk. Increased portfolio turnover may result in higher costs, which may have a negative effect on a Portfolio’s performance. Due to operation of the Allocation Adjustment Program, a Portfolio may experience higher portfolio turnover as the result of equity market volatility.

Risks of Holding Short-Duration Investments. The Conservative Portfolio, Moderate Portfolio, and Growth Portfolio may allocate up to 50%, 65% and 100% of their respective assets to short-duration investments, respectively. To the extent a Portfolio’s assets are allocated directly to short-duration investments (i.e. money market instruments) rather than short-duration ETFs, such Portfolio may be subject to the following risks:

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Risks Associated with the Underlying ETFs and Securities

The biggest risk is that the underlying ETFs’ returns will vary, and you could lose money. There can be no assurance that an underlying ETF will achieve its investment objective.

The following information is intended to help you better understand some of the risks of investing in the Portfolios. The impact of the following risks on a Portfolio may vary depending on the Portfolio’s investment allocation. The greater a Portfolio’s allocation to an underlying ETF or investment, the greater the Portfolio’s exposure to the risks associated with that underlying ETF or investment. Additional information is available in the underlying ETFs’ prospectuses and statements of additional information available on the SEC’s website at http://www.sec.gov. Before investing in a Portfolio, you should consider carefully the risks that you assume when investing in that Portfolio.

Collateral Risk. With respect to collateral received in repurchase transactions or other investments, an underlying ETF or a Portfolio may have significant exposure to financial services, mortgage markets, and government agencies not secured by the full faith and credit of the United States. Such exposure, depending on market conditions, could have a negative impact on an underlying ETF, including minimizing the value of any collateral.

Counterparty Risk. Portfolio or underlying ETF transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to such Portfolio or underlying ETF (“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 a Portfolio, in connection with its short-duration investments, or through an underlying ETF. A Portfolio or an underlying ETF may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. A Portfolio, in connection with its short-duration investments, or through an underlying ETF may be exposed to counterparty risk to the extent it, or an underlying ETF, participates in cash sweep arrangements whereby a Portfolio’s or an underlying ETF’s cash balance is invested in one or more types of cash management vehicles. In addition, a Portfolio, in connection with its short-duration investments, or through an underlying ETF may be exposed to counterparty risk through investments in certain securities, including, but not limited to, repurchase agreements, debt securities and derivatives (including various types of forwards, swaps, futures, and options). The Portfolios intend to enter into financial transactions with counterparties that the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser’s analysis, or an underlying ETF’s analysis, of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that a Portfolio or an underlying ETF focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.

Credit Quality Risk. A Portfolio, in connection with its money market instruments, and through investments in underlying ETFs holding fixed-income securities, is subject to the risks associated with the credit quality of the issuers of those fixed- income securities. Credit quality measures the likelihood that the issuer or borrower will meet its obligations on a security. One of the fundamental risks for the underlying ETFs and the Portfolios is credit risk, which is the risk that an issuer will be unable to make principal and interest payments when due, or default on its obligations. Higher credit risk may negatively impact a Portfolio and an underlying ETF’s returns and yields.

Many fixed-income securities receive credit ratings from services such as Nationally Recognized Statistical Rating Organizations (“NRSROs”). These services assign ratings to securities by assessing the likelihood of issuer default. The lower a bond issue is rated by an agency, the more credit risk it is considered to represent. Lower rated instruments and securities

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generally pay interest at a higher rate to compensate for the associated greater risk. Interest rates can fluctuate in response to economic or market conditions, which can result in a fluctuation in the price of a security and impact a Portfolio’s return and yield.

Currency Risk. An underlying ETF’s investments and strategies will involve exposure to foreign currencies. Currency risk is the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment. As long as an underlying ETF holds a foreign security, its value will be affected by the value of the local currency relative to the U.S. dollar. When the underlying ETF sells a foreign currency denominated security, its value may be worth less in U.S. dollars even if the security increases in value in its home country. U.S. dollar-denominated securities of foreign issuers may also be affected by currency risk, as the value of these securities may also be affected by changes in the issuer’s local currency.

Depositary Receipt Investing Risk. An underlying ETF may invest in depositary receipts (“DRs”), including listed unsponsored DRs. Unsponsored DRs may be established by a depositary without participation by the underlying issuer. Holders of an unsponsored DR generally bear all the costs associated with establishing the unsponsored DR. These investments may involve additional risks and considerations including, for example, risks related to adverse political and economic developments unique to a country or region, currency fluctuations or controls and the possibility of expropriation, nationalization or confiscatory taxation. The issuers of the securities underlying unsponsored DRs are not obligated to disclose material information in the U.S. and, therefore, there may be less information available regarding such issuers and there may not be a correlation between such information and the market value of the DRs. Additionally, to the extent the value of a DR held by an underlying ETF fails to track that of the underlying security, the use of the DR may result in tracking error in the underlying ETF.

Derivatives Risk. Derivatives can be volatile and involve risks in addition to the risks of the underlying referenced securities or asset. Gains or losses from a derivative investment can be substantially greater than the derivative’s original cost and can therefore involve leverage. Leverage may cause an underlying ETF to be more volatile than if it had not used leverage because leverage can exaggerate the effect of any increase or decrease in the value of securities and other instruments held by the underlying ETF.

Derivatives can be complex instruments and may involve analysis that differs from that required for other investment types used by an underlying ETF. If the value of a derivative does not correlate well with the particular market or other asset class to which the derivative is intended to provide exposure, the derivative may not produce the anticipated result. Derivatives can also reduce the opportunity for gain or result in losses by offsetting positive returns in other investments.

Derivatives can be less liquid than other types of investments and because most derivatives are not eligible to be transferred in-kind, an underlying ETF may be subject to increased liquidity risk to the extent its derivative positions become less liquid, relative to an exchange-traded fund that is able to deliver its underlying investments in-kind to meet redemptions. Derivatives also entail the risk that the counterparty will default on its payment obligations. If the counterparty to a derivative transaction defaults, an underlying ETF would risk the loss of the net amount of the payments that it contractually is entitled to receive. If there is a default by the other party to such a transaction, an underlying ETF normally will have contractual remedies pursuant to the agreements related to the transaction. To the extent an underlying ETF enters into short derivative positions, the underlying ETF may be exposed to risks similar to those associated with short sales, including the risk that the underlying ETF’s losses are theoretically unlimited.

An underlying ETF may use derivatives for hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. While hedging 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 portfolio management or if the cost of the derivative outweighs the benefit of the hedge. The risks associated with derivatives may be heightened when they are used to enhance an underlying ETF’s return rather than solely for hedging purposes. Changes in laws or regulations may make the use of derivatives more costly, may limit the availability of derivatives, or may otherwise adversely affect the use, value or performance of derivatives.

Emerging Markets Risk. Within the parameters of its specific investment policies, an underlying ETF may invest in securities of issuers or companies from or with exposure to one or more “developing countries” or “emerging market countries.” To the extent that an underlying ETF invests a significant amount of its assets in one or more of these countries, its returns and net asset value may be affected by events and economic conditions in such countries. The risks of foreign investing are heightened when investing in emerging markets, which may result in the price of investments in emerging markets experiencing sudden and sharp price swings. In many developing markets, there is less government supervision and regulation of stock exchanges, brokers, and listed companies than in more developed markets, making these investments

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may be potentially more volatile in price and less liquid than investments in developed securities markets, resulting in greater risk to investors. There is a risk in developing countries that a current or future economic or political crisis could lead to price controls, forced mergers of companies, expropriation or confiscatory taxation, imposition or enforcement of foreign ownership limits, seizure, nationalization, sanctions or imposition of restrictions by various governmental entities on investment and trading, or creation of government monopolies, any of which may have a detrimental effect on an underlying ETF’s investments.

The securities markets of many of these emerging market countries may also be smaller, less liquid, and subject to greater price volatility than those in the United States. Moreover, the legal remedies for investors in emerging markets or other legal systems to ensure orderly enforcement of property interests such as bankruptcy may be more limited than the remedies available in the United States and the ability of U.S. authorities (e.g., the SEC and the U.S. Department of Justice) to bring actions against bad actors may be limited. A shareholder’s ability to bring and enforce legal actions in emerging market countries, or to obtain information needed to pursue or enforce such actions, may be limited and as a result such claims may be difficult or impossible to pursue. In the event of a default on any investments in foreign debt obligations, it may be more difficult for an underlying ETF to obtain or to enforce a judgment against the issuers of such securities. In addition, an underlying ETF’s investments may be denominated in foreign currencies and therefore, changes in the value of a country’s currency compared to the U.S. dollar may affect the value of the underlying ETF’s investments. Further, the taxation systems at the federal, regional, and local levels in developing or emerging market countries may be less transparent, inconsistently enforced, and subject to sudden change. An underlying ETF may be subject to emerging markets risk to the extent that it invests in securities of issuers or companies which are not considered to be from emerging markets, but which have customers, products, or transactions associated with emerging markets. Additionally, foreign and emerging market risks, including but not limited to price controls, expropriation or confiscatory taxation, imposition or enforcement of foreign ownership limits, nationalization, and restrictions on repatriation of assets may be heightened to the extent an underlying ETF invests in local market securities. Some of the risks of investing directly in emerging market securities may be reduced when a Portfolio invests indirectly in such securities through various other investment vehicles including derivatives, but such investments also involve other risks.

Emerging market countries in which a Portfolio may invest include frontier market countries, which generally have smaller economies and even less developed capital markets than traditional developing markets, and, as a result, the risks of investing in developing market countries are magnified in frontier market countries. The magnification of risks are the result of: potential for extreme price volatility and illiquidity in frontier markets; government ownership or control of parts of private sector and of certain companies; trade barriers, exchange controls, managed adjustments in relative currency values and other protectionist measures imposed or negotiated by other countries; and the relatively new and unsettled securities laws in many frontier market countries.

Equity Securities Risk. Consistent with each Portfolio’s investment strategy and target allocations, a significant portion of a Portfolio’s assets may be allocated to equity investments through investments in underlying ETFs. Under certain circumstances, all of Growth Portfolio’s assets may be allocated to equity investments through investments in underlying ETFs. Equity securities are subject to changes in value, and their values may be more volatile than those of other asset classes. The value of an underlying ETF’s portfolio may decrease if the value of an individual company or security, or multiple companies or securities, in the portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of an underlying ETF’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, or perceptions regarding the industries in which the issuers of securities the underlying ETF holds participate.

European Investments Risk. Exposure to investments in European countries may expose an underlying ETF to the economic and political risks associated with Europe in general and the specific European countries in which it invests. The economies and markets of European countries are often closely connected and interdependent, and events in one European country can have an adverse impact on other European countries. An underlying ETF may be exposed to investments in securities of issuers that are domiciled in, have significant operations in, or that are listed on at least one securities exchange within member states of the European Union (the “EU”). A number of countries within the EU are also members of the Economic and Monetary Union (the “EMU”) (together, with the EU, the “eurozone”) and have adopted the euro as their currency. Eurozone membership requires member states to comply with restrictions on inflation rates, deficits, interest rates, debt levels and fiscal and monetary controls, each of which may significantly affect every country in Europe. Changes in import or export tariffs, changes in governmental or EU regulations on trade, changes in the exchange rate of the euro and other

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currencies of certain EU countries which are not in the eurozone, the default or threat of default by an EU member state on its sovereign debt, and/or an economic recession in an EU member state may have a significant adverse effect on the economies of other EU member states and major trading partners outside Europe.

Exchange-Traded Funds Risk. Each Portfolio invests in underlying ETFs. ETFs are traded on a national securities exchange at market prices that may vary from the net asset value of their underlying investments. Accordingly, there may be times when an ETF trades at a premium or discount. As a result, a Portfolio may pay more or less than NAV when it buys ETF shares, and may receive more or less than NAV when it sells those shares. ETFs also involve the risk that an active trading market for an ETF’s shares may not develop or be maintained. Similarly, because the value of ETF shares depends on the demand in the market, a Portfolio may not be able to purchase or sell an ETF at the most optimal time, which could adversely affect the Portfolio’s performance. Trading of an underlying ETF’s shares may be halted by the activation of individual or market-wide “circuit breakers” (which halt trading for a specific period of time when the price of a particular security or overall market prices decline by a specified percentage). Trading of the ETF shares may also be halted if (1) the shares are delisted from an exchange without first being listed on another exchange or (2) exchange officials determine that such action is appropriate in the interest of a fair and orderly market or for the protection of investors. In addition, ETFs that track particular indices may be unable to match the performance of such underlying indices due to the temporary unavailability of certain index securities in the secondary market or other factors, such as discrepancies with respect to the weighting of securities.

An underlying index and underlying ETF reconstitute and rebalance only when the index provider determines to reconstitute and rebalance the underlying index, which may cause the performance of the underlying index and the underlying ETF to deviate from that of the market the underlying index seeks to track. This deviation results from changes to index component securities being reflected in the market more quickly than the index provider’s methodology can track because of the annual reconstitution process and the intermittent rebalancing of individual index component securities for corporate actions. In addition, an ETF that tracks a particular index may not utilize an investing strategy that seeks returns in excess of its underlying index and would not necessarily buy or sell a security unless that security is added or removed, respectively, from its underlying index, even if that security generally is underperforming. Certain underlying ETFs are subject to index sampling risk, which is the chance that the securities selected for an underlying ETF, in the aggregate, will not provide investment performance matching that of such underlying ETF’s target index.

Fixed-Income Securities Risk. Through a Portfolio’s investments in underlying ETFs holding fixed-income securities, the Portfolio is subject to the risks associated with investments in a variety of fixed-income securities. Typically, the values of fixed- income securities change inversely with prevailing interest rates. Therefore, a fundamental risk of fixed-income securities is interest rate risk, which is the risk that the value of such securities will generally decline as prevailing interest rates rise, which may cause an underlying ETF’s net asset value to likewise decrease. How specific fixed-income securities may react to changes in interest rates will depend on the specific characteristics of each security. For example, while securities with longer maturities and durations tend to produce higher yields, they also tend to be more sensitive to changes in prevailing interest rates and are therefore more volatile than shorter-term securities and are subject to greater market fluctuations as a result of changes in interest rates. However, calculations of maturity and duration may not reliably predict a security’s price sensitivity to changes in interest rates. In addition, different interest rate measures (such as short- and long-term interest rates and U.S. and non-U.S. interest rates), or interest rates on different types of securities or securities of different issuers, may not necessarily change in the same amount or in the same direction. Investments in fixed-income securities with very low or negative interest rates may diminish an underlying ETF’s yield and performance. How specific fixed-income securities may react to changes in interest rates will depend on the specific characteristics of each security held by an underlying ETF. Fixed-income securities are also subject to credit risk, income risk, call risk, prepayment risk, extension risk, valuation risk, and liquidity risk.

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In addition, to the extent an underlying ETF invests in fixed-income securities in a particular industry or economic sector, its share values may fluctuate in response to events affecting that industry or sector. Securities underlying mortgage- and asset- backed securities, which may include subprime mortgages, also may be subject to a high degree of credit risk, valuation risk, and liquidity risk.

The market for certain fixed-income securities may become illiquid under adverse market or economic conditions independent of any specific adverse changes in the conditions of a particular issuer.

Foreign Exposure Risk. Foreign markets, including investments in emerging markets, can be more volatile than the U.S. market. With respect to investments in securities of issuers or companies that are economically tied to different countries throughout the world, securities may be deemed to be economically tied to a particular country based on such factors as the issuer’s country of incorporation, primary listing, and other factors including, but not limited to operations, revenues, headquarters, management, and shareholder base. Investments in foreign securities may involve greater risks than investing in domestic securities and investment returns and net asset value may depend on factors other than the performance of a particular company. These factors include, but may not be limited to, fluctuations in currency exchange rates, political and economic risk, regulatory risk, foreign market risk, geographic investment risk, and transaction costs. Foreign investments may be subject to increased political and economic risks, including the imposition of economic and other sanctions. Sanctions imposed by the U.S. Government on other countries or persons or issuers operating in such countries could restrict an underlying ETF’s ability to buy affected securities or force an underlying ETF to dispose of any affected securities it has previously purchased at an inopportune time. As a result, an underlying ETF may experience a greater risk of loss with respect to securities impacted by such sanctions. Political and economic risks may be heightened in emerging markets which may have relatively unstable governments, immature economic structures, national policies restricting investments by foreigners, social instability, and different and/or developing legal systems. In some countries, there is the risk that the government may take over the assets or operations of a company or that the government may impose withholding and other taxes or limits on the removal of an underlying ETF’s assets from that country. In addition, the economies of emerging markets may be predominantly based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. There may be less government supervision of foreign markets. As a result, foreign issuers may not be subject to the uniform accounting, auditing, and financial reporting standards and practices applicable to domestic issuers, and there may be less publicly available information about foreign issuers. Investments in foreign securities, particularly those of issuers located in emerging market countries, tend to have greater exposure to liquidity risk than domestic securities. In some foreign markets, there may not be protection against failure by other parties to complete transactions. It may not be possible to repatriate capital, dividends, interest, and other income from a particular country or governmental entity. In addition, a market swing in one or more countries or regions where an underlying ETF has invested a significant amount of its assets may have a greater effect on its performance than it would in a more geographically diversified portfolio. Costs of buying, selling, and holding foreign

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securities, including brokerage, tax, and custody costs, may be higher than those involved in domestic transactions. Some of the risks of investing directly in foreign securities may be reduced to the extent that a Portfolio invests indirectly in such securities through various other investment vehicles including derivatives, but such investments also involve other risks.

Geographic Concentration Risk. Geographic concentration risk is the risk that world events, such as political upheaval, social conditions, financial troubles, or natural disasters in the countries or regions in which an underlying ETF invests will have a significant impact on the performance of the underlying ETF. Some of the markets in which certain underlying ETFs invest are located in parts of the world that have historically been prone to natural disasters, such as earthquakes, tornadoes, volcanic eruptions, droughts, floods, hurricanes, or tsunamis, and are economically sensitive to environmental events.

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High-Yield Bond Risk. High-yield bonds (also known as “junk” bonds) are bonds rated below investment grade by NRSROs or are unrated bonds of similar quality. The value of lower quality bonds generally is more dependent on credit risk than investment grade bonds. Issuers of high-yield bonds may not be as strong financially as those issuing bonds with higher credit ratings and are more vulnerable to real or perceived economic changes, political changes, or adverse developments specific to the issuer. In addition, the junk bond market can experience sudden and sharp price swings.

The secondary market on which high-yield securities are traded is less liquid than the market for investment grade securities. The lack of a liquid secondary market may have an adverse impact on the market price of the security. Additionally, it may be more difficult to value the securities because valuation may require more research, and elements of judgment may play a larger role in the valuation because there is less reliable, objective data available.

Illiquid Investments Risk. To the extent a Portfolio or underlying ETF invests in illiquid investments or investments that become less liquid, such investments may have a negative effect on the returns of the Portfolio or underlying ETF because the Portfolio or underlying ETF may be unable to sell the illiquid investments at an advantageous time or price. To the extent that a Portfolio or underlying ETF invests in securities with substantial market and/or credit risk, the Portfolio or underlying ETF will tend to have the greatest exposure to liquidity risk. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed-income securities or the lack of an active market.

Liquid investments may become illiquid or less liquid after purchase by a Portfolio or underlying ETF, particularly during periods of market turmoil or economic uncertainty. Illiquid and relatively less liquid investments may be harder to value, especially in changing markets. Although a Portfolio or underlying ETF may primarily seek to redeem its shares in-kind, if the Portfolio or underlying ETF is forced to sell underlying investments at reduced prices or under unfavorable conditions to meet redemption requests or for other cash needs, the Portfolio or underlying ETF may suffer a loss. This may be magnified in a rising interest rate environment or other circumstances where redemptions from a Portfolio or underlying ETF may be higher than normal. It may also be the case that other market participants may be attempting to liquidate holdings at the same time as the Portfolio or underlying ETF, causing increased supply in the market and contributing to liquidity risk and downward pricing pressure. There can be no assurance that a security that is deemed to be liquid when purchased will continue to be liquid for as long as it is held by the Portfolio or underlying ETF.

Industry and Sector Risk. An underlying ETF may focus its investments in related industry groups. To the extent that one or more underlying ETF’s investments are focused in the securities of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset class, the investments in one or more underlying ETF’s portfolio

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may share common characteristics and react similarly to market developments, including adverse events, which may result in an increased risk of loss more than the market as a whole. Sectors in which certain underlying ETFs may focus include, but are not limited to:

Large-Capitalization Companies Risk. Certain underlying ETFs’ investments in securities issued by large-capitalization companies will be subject to the risk that returns on stocks of large companies could trail the returns on investments in stocks of small- and mid-sized companies. Large-cap stocks tend to go through cycles of doing better – or worse – than other segments of the stock market or the stock market in general. These periods have, in the past, lasted for as long as several years.

Market Risk. The value of a Portfolio or an underlying ETF may decrease if the value of one or more issuers in an underlying ETF’s portfolio decreases. Further, regardless of how well individual securities perform, the value of an underlying ETF’s portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio or an underlying ETF invests. If the value of the underlying ETF’s portfolio decreases, an underlying ETF’s net asset value will also decrease, resulting in a decrease in a Portfolio’s net asset value, which means if you sell your shares in the Portfolio, you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole.

The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, war, armed conflicts, including related sanctions, social unrest, tariffs, trade disputes, financial

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institution failures, and economic recessions, could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant and negative impact on the global economies and financial markets.

Mortgage- and Asset-Backed Securities Risk. A Portfolio or underlying ETF may invest in mortgage-backed securities, some of which may not be backed by the full faith and credit of the U.S. government. Rising interest rates tend to extend the duration of, or reduce the rate of prepayments on, both commercial mortgage-backed securities (“CMBS”) and residential mortgage-backed securities (“RMBS”), making them more sensitive to changes in interest rates (“extension risk”). As a result, in a period of rising interest rates, the price of mortgage-backed securities may fall, causing a Portfolio or underlying ETF that holds mortgage-backed securities to exhibit additional volatility. Mortgage-backed securities are also subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce a Portfolio’s or underlying ETF’s returns because the Portfolio or underlying ETF will have to reinvest that money at lower prevailing interest rates. Investments in certain mortgage-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, 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.

CMBS are subject to certain other risks. The market for CMBS developed more recently than that for RMBS and is relatively small in terms of outstanding principal amount of issues compared to the RMBS market. CMBS are also subject to risks associated with a lack of standardized terms, shorter maturities than residential mortgage loans, and payment of all or substantially all of the principal at maturity, rather than regular amortization of principal. Moreover, the type and use of a particular commercial property may add to the risk of CMBS investments. Adverse changes in economic conditions and circumstances are more likely to have an adverse impact on mortgage-backed securities secured by loans on commercial properties than on those secured by residential properties.

Similarly, the value of a Portfolio’s or underlying ETF’s investments in asset-backed securities may be adversely affected by changes in interest rates, factors concerning the interests in and structure of the issuer or originator of the receivables, the creditworthiness of the entities that provide any supporting letters of credit, surety bonds, or other credit or liquidity enhancements, and/or the market’s assessment of the quality of the underlying assets. Generally, the originating bank or credit provider is neither the obligor nor the guarantor of the security, and interest and principal payments ultimately depend upon payment of the underlying loans by individuals. A Portfolio or underlying ETF could incur a loss if the underlying loans are not paid. In addition, most asset-backed securities are subject to prepayment risk in a declining interest rate environment. The impact of prepayments on the value of asset-backed securities may be difficult to predict and may result in greater volatility. Rising interest rates tend to extend the duration of asset-backed securities, making them more volatile and sensitive to changing interest rates.

Passive Investment Risk. Certain of the underlying ETFs are not actively managed and therefore an underlying ETF might not sell shares of a security due to the current or projected underperformance of a security, industry, or sector, unless that security is removed from the index or the selling of shares is otherwise required upon a rebalancing of the index the underlying ETF seeks to track. Maintaining investments in securities without attempting to take defensive positions, regardless of market conditions or the performance of individual securities, could cause an underlying ETF’s return to be lower than if it had employed an active strategy.

Small- and Mid-Sized Companies Risk. Due to certain underlying ETFs’ investments in securities issued by small- and mid-sized companies, such underlying ETFs’ net asset value may fluctuate more than that of an underlying ETF investing primarily in large companies. An underlying ETF’s investments in securities issued by small- and mid-sized companies, which can include smaller, start-up companies offering emerging products or services, may involve greater risks than are customarily associated with larger, more established companies. For example, small- and mid-sized companies may may also suffer more significant losses as a result of their narrow product lines, limited operating history, greater exposure to competitive threats, limited financial resources, limited trading markets, and the potential lack of management depth. Securities issued by small- and mid-sized companies tend to be more volatile and somewhat more speculative than securities issued by larger or more

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established companies and may underperform as compared to the securities of larger or more established companies. These holdings are also subject to wider price fluctuations and tend to be less liquid than stocks of larger or more established companies, which could have a significant adverse effect on an underlying ETF’s returns, especially as market conditions change.

Sovereign Debt Risk. An underlying ETF may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Investments in sovereign debt, especially the debt of certain emerging market countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors, including its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the underlying ETF may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the underlying ETF invests in non-U.S. sovereign debt it may be subject to currency risk.

Valuation Risk. The sale price that an underlying ETF could receive for a security may differ from such fund’s valuation of the security and may differ from the value used by its underlying index, particularly for securities or assets that trade in low volume or volatile markets, or that are valued using a fair value methodology. Because non-U.S. exchanges may be open on days when an underlying ETF does not price its shares, the value of the securities or assets in the underlying ETF’s portfolio may change on days when a Portfolio will not be able to purchase or sell the fund’s shares. In addition, for purposes of calculating an underlying ETF’s NAV, the value of assets denominated in non-U.S. currencies is converted into U.S. dollars using prevailing market rates on the date of valuation as quoted by one or more data service providers. This conversion may result in a difference between the prices used to calculate an underlying ETF’s NAV and the prices used by its underlying index, which, in turn, could result in a difference between such underlying ETF’s performance and the performance of its underlying index.

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Management of the Portfolios

Janus Henderson Investors US LLC (the “Adviser”), 151 Detroit Street, Denver, Colorado 80206-4805, is the investment adviser to the Portfolios. The Adviser is responsible for the day-to-day management of the Portfolios’ investment portfolios and furnishes continuous advice and recommendations concerning the Portfolios’ investments. The Adviser also provides certain administration and other services and is responsible for other business affairs of the Portfolios.

The Adviser (together with its predecessors) has served as investment adviser to Janus Henderson mutual funds since 1970 and currently serves as investment adviser to all of the Janus Henderson mutual funds as well as the Janus Henderson exchange-traded funds, acts as subadviser for a number of private-label mutual funds, and provides separate account advisory services for institutional accounts and other unregistered products.

On December 22, 2025, Janus Henderson Group plc (“Janus Henderson”), the parent company of the Adviser to each Portfolio, Trian Fund Management, L.P. and its affiliated funds (“Trian”), and General Catalyst Group Management, LLC and its affiliated funds (“General Catalyst”) announced that they have entered into a definitive agreement under which Janus Henderson will be acquired by Trian and General Catalyst (the “Transaction”). The Transaction is expected to close in 2026, subject to customary closing conditions, including requisite regulatory approvals and client consents. Janus Henderson shareholders approved the Transaction on April 16, 2026.

The closing of the Transaction will be deemed to be an “assignment” (as defined in the Investment Company Act of 1940, as amended) of the Advisory Agreement between each Portfolio and the Adviser. As a result, the closing of the Transaction will cause such advisory agreements to terminate automatically in accordance with their respective terms. On February 11, 2026, the Trustees approved new advisory agreements with the Adviser. The new agreements will be presented to the Portfolios’ shareholders for approval, and, if so approved by shareholders, will take effect upon the closing of the Transaction or such later time as shareholder approval is obtained.

The Adviser has received an exemptive order from the SEC that permits the Adviser, subject to the approval of the Trustees, to appoint or replace certain subadvisers to manage all or a portion of a Portfolio’s assets and enter into, amend, or terminate a subadvisory agreement with certain subadvisers without obtaining shareholder approval (a “manager-of-managers structure”). The manager-of-managers structure applies to subadvisers that are not affiliated with the Trust or the Adviser (“non-affiliated subadvisers”), as well as any subadviser that is an indirect or direct “wholly-owned subsidiary” (as such term is defined by the 1940 Act) of the Adviser or of another company that, indirectly or directly, wholly owns the Adviser (collectively, “wholly-owned subadvisers”).

Pursuant to the order, the Adviser, with the approval of the Trustees, has the discretion to terminate any subadviser and allocate and, as appropriate, reallocate a Portfolio’s assets among the Adviser and any other non-affiliated subadvisers or wholly-owned subadvisers (including terminating a non-affiliated subadviser and replacing it with a wholly-owned subadviser). To the extent that a Portfolio’s assets are allocated to one or more subadvisers, the Adviser, subject to oversight by the Trustees, would have the responsibility to oversee such subadviser(s) to the Portfolio and to recommend for approval by the Trustees, the hiring, termination, and replacement of a subadviser for the Portfolio. In the event that the Adviser hires a subadviser pursuant to the manager-of-managers structure, a Portfolio would provide shareholders with information about the subadviser and subadvisory agreement within 90 days.

The Trustees and the initial shareholder of each Portfolio have approved the use of a manager-of-managers structure for the Portfolios.

The Adviser furnishes certain administration, compliance, and accounting services to the Portfolios, including providing office space for the Portfolios and providing personnel to serve as officers to the Portfolios. The Portfolios reimburse the Adviser for certain of its costs in providing these services (to the extent the Adviser seeks reimbursement and such costs are not otherwise waived). These costs include some or all of the salaries, fees, and expenses of the Adviser employees and Portfolio officers, including the Portfolios’ Chief Compliance Officer and compliance staff, that provide specified administration and compliance services to the Portfolios. The Portfolios pay these costs based on out-of-pocket expenses incurred by the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser provides to the Portfolios.

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Each Portfolio pays the Adviser an investment advisory fee and incurs expenses, including the distribution and shareholder servicing fees (12b-1 fee), any transfer agent and custodian fees and expenses, legal and auditing fees, printing and mailing costs of sending reports and other information to existing shareholders, and Independent Trustees’ fees and expenses. Each Portfolio’s investment advisory fee is calculated daily and paid monthly. Each Portfolio’s Advisory Agreement details the investment advisory fee and other expenses that each Portfolio must pay.

The following table reflects each Portfolio’s contractual investment advisory fee rate (expressed as an annual rate), as well as the actual compensation rate paid by each Portfolio to the Adviser any applicable fee waivers and/or expense reimbursements. The rate shown is a fixed rate based on each Portfolio’s average daily net assets.

A discussion regarding the basis for the Trustees’ approval of the Portfolios’ investment advisory agreements is included in each Portfolio’s semi-annual financial statements located in Form N-CSR for the period ending June 30. This information is available, free of charge, at janushenderson.com/clayton-street-trust, under “Financial Statements and Other Information,” or by contacting Protective Life or a representative at 1-877-335-2687.

Expense Limitations

The Adviser has contractually agreed to waive the advisory fee payable by each Portfolio and/or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s normal operating expenses, including the investment advisory fee, but excluding the distribution and shareholder servicing/administrative fees payable pursuant to the Transfer Agency Agreement, interest, dividends, taxes, brokerage commissions, and extraordinary expenses exceed the annual rate shown below. For information about how the expense limit affects the total expenses of each Portfolio, see the “Fees and Expenses of the Portfolio” table in each Portfolio Summary of the Prospectus. The Adviser has agreed to continue each waiver at least until May 1, 2027. The contractual waiver may be modified or terminated prior to this date only at the discretion of the Trustees. Mortality risk, expense risk, and other charges imposed by Protective Life are also excluded from the expense limitation noted.

The Adviser has also contractually agreed to waive and/or reimburse a portion of each Portfolio’s management fee in an amount equal to the management fee it earns as an investment adviser to any affiliated ETFs in which the Portfolio invests. Pursuant to this agreement, the waiver amount is equal to the amount of Portfolio assets invested in the affiliated

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ETF, multiplied by an amount equal to the current daily unitary management fee of the affiliated ETF less certain asset-based operating fees and expenses incurred on a per-fund basis and paid by the Adviser with respect to the affiliated ETF (including, but not limited to custody, sub-administration, and transfer agency fees and fees paid to the administrator). The fee waiver agreement will remain in effect at least until May 1, 2027. The contractual waiver may be modified or terminated prior to this date only at the discretion of the Trustees.

Janus Henderson Protective Life Dynamic Allocation Series - Conservative Portfolio, Moderate Portfolio, and Growth Portfolio

Co-Portfolio Managers Benjamin Wang and Zoey Zhu jointly are responsible for the day-to-day management of Conservative Portfolio, Moderate Portfolio, and Growth Portfolio, with no limitation on the authority of one co-portfolio manager in relation to the other.

Benjamin Wang, CFA, is Co-Portfolio Manager of Conservative Portfolio, Moderate Portfolio, and Growth Portfolio, which he has co-managed since each Portfolio’s inception in April 2016. He is also Portfolio Manager of other Janus Henderson accounts. Mr. Wang holds a Bachelor of Science degree and a Master of Engineering in Computer Science from the Massachusetts Institute of Technology, and a Master of Science degree in Financial Engineering from Columbia University. Mr. Wang holds the Chartered Financial Analyst designation.

Zoey Zhu, CFA, is Co-Portfolio Manager of Conservative Portfolio, Moderate Portfolio, and Growth Portfolio, which she has co-managed since May 2020. She is also Portfolio Manager of other Janus Henderson accounts. Ms. Zhu joined the Adviser in 2018. She holds a Bachelor of Computing degree from National University of Singapore and a Master of Science Degree in Computational Finance from Carnegie Mellon University. Ms. Zhu holds the Chartered Financial Analyst designation.

Information about portfolio management’s compensation structure and other accounts managed, as well as the aggregate range of their individual ownership of securities (if any), is included in the SAI.

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Other Information

The Portfolios are distributed by Janus Henderson Distributors US LLC (the “Distributor”), which is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”). To obtain information about FINRA member firms and their associated persons, you may contact FINRA at www.finra.org, or 1-800-289-9999.

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Distributions and Taxes

To avoid taxation of the Portfolios, the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), requires each Portfolio to distribute all or substantially all of its net investment income and any net capital gains realized on its investments at least annually. A Portfolio’s income from certain dividends, interest, and any net realized short-term capital gains are paid to shareholders as ordinary income dividends. Net realized long-term capital gains, if any, are paid to a Portfolio’s shareholders as capital gains distributions, regardless of how long Shares of such Portfolio have been held.

Distribution Schedule

Dividends for the Portfolios are generally declared and distributed in June and December. Capital gains are normally declared and distributed in June. However, in certain situations it may be necessary for a Portfolio to declare and distribute capital gains in December. If necessary, dividends and net capital gains may be distributed at other times as well. Distributions of net investment income and net capital gains, if any, are automatically reinvested in additional Shares of the Portfolios.

How Distributions Affect a Portfolio’s NAV

Distributions are paid as of the record date of a distribution of a Portfolio, regardless of how long the Shares have been held. Undistributed dividends and net capital gains are included in each Portfolio’s daily net asset value (“NAV”). The share price of a Portfolio drops by the amount of the distribution, net of any subsequent market fluctuations. For example, assume that on December 31, a Portfolio declared a dividend in the amount of $0.25 per share. If the Portfolio’s share price was $10.00 on December 30, the Portfolio’s share price on December 31 would be $9.75, barring market fluctuations.

Taxes on Distributions

Because Shares of the Portfolios may be purchased only through variable annuity contracts, it is anticipated that any income dividends or net capital gains distributions made by a Portfolio will be exempt from current federal income taxation if left to accumulate within the variable annuity contract. Generally, withdrawals from such contracts may be subject to federal income tax at ordinary income rates and, if made before age 59 ½, a 10% penalty tax may be imposed. The federal income tax status of your investment depends on the features of your variable annuity contract. Further information may be found in Protective Life’s separate account prospectus.

The foregoing discussion is based in part on the assumption that the assets of each Portfolio constitute a “segregated asset account” and will satisfy the diversification requirements that apply to such accounts under Section 817(h) of the Code. If a Portfolio’s assets did not satisfy those requirements, any variable annuity contract through which Shares of that Portfolio were purchased could fail to qualify as an annuity contract for federal income tax purposes. In such case, the contract owner would be subject to current taxation on the income under the contract at ordinary income tax rates, even if such income was not actually withdrawn from the contract.

The discussion above also is generally based on the assumption that Shares of a Portfolio purchased through variable annuity contracts will be respected as owned by Protective Life’s separate accounts. If this is not the case (for example, because the Internal Revenue Service finds an impermissible level of “investor control” over the investment options underlying the variable annuity contracts), the advantageous federal income tax treatment provided in respect of variable contracts under the Code will no longer be available, and the person or persons determined to own the Portfolio Shares (which could include the variable annuity contract holder) will be currently taxed under the Code on Portfolio distributions and on the gain on any redemption of Portfolio Shares.

Taxation of the Portfolios

Dividends, interest, and some capital gains received by the Portfolios on foreign securities may be subject to foreign tax withholding or other foreign taxes. If a Portfolio is eligible, it may from year to year make the election permitted under Section 853 of the Internal Revenue Code to pass through such taxes to shareholders. If such an election is not made, any foreign taxes paid or accrued will represent an expense to the Portfolios.

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The Portfolios do not expect to pay any federal income or excise taxes because they intend to meet certain requirements of the Internal Revenue Code. In addition, because the Shares of each Portfolio are sold in connection with variable insurance contracts, each Portfolio intends to satisfy the diversification requirements applicable to Protective Life’s segregated asset accounts under the Internal Revenue Code.

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Shareholder’s Guide

Investors may not purchase or redeem Shares of the Portfolios directly. Shares may be purchased or redeemed only through variable annuity contracts offered by the separate accounts of Protective Life. Refer to the prospectus for Protective Life’s separate account for instructions on purchasing or selling variable annuity contracts and on how to select specific Portfolios as an investment option.

The per share NAV is computed by dividing the total value of a Portfolio’s securities and other assets, less liabilities, by the total number of outstanding shares of the Portfolio. The value of a Portfolio’s investment in an underlying ETF is based upon the closing price of such underlying ETF on the applicable exchange. A Portfolio’s NAV is calculated as of the close of the trading session of the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. New York time) each day that the NYSE is open (“business day”). However, the time at which a Portfolio’s NAV is calculated may be changed if trading on the NYSE is restricted, the NYSE closes at a different time, or as permitted by the SEC. Foreign securities held by an underlying ETF may be traded on days and at times when the NYSE is closed and the NAV is therefore not calculated. Accordingly, the value of a Portfolio’s holdings may change on days that are not business days in the United States and on which you will not be able to purchase or redeem a Portfolio’s Shares.

All purchases and redemptions will be duly processed at the NAV next calculated after a request is received in good order by a Portfolio or its agents. In order to receive a day’s price, an order must be received in good order by a Portfolio or its agents by the close of the trading session of the NYSE.

Securities held by the Portfolios are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act, as amended, and approved by and subject to the oversight of the Trustees (the “Valuation Procedures”). To the extent available, equity securities are generally valued on the basis of readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. Most fixed-income securities are typically valued using an evaluated bid price supplied by an Adviser-approved pricing service that is intended to reflect market value. The evaluated bid price is an evaluation that may consider factors such as security prices, yields, maturities, and ratings. Certain short-term instruments maturing within 60 days or less may be valued at amortized cost, which approximates market value. If a market quotation or evaluated price for a security is not readily available or is deemed unreliable, or if an event that is expected to affect the value of the security occurs after the close of the principal exchange or market on which the security is traded, and before the close of the NYSE, a fair value of the security will be determined in good faith by the Adviser pursuant to the Valuation Procedures. Such events 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 non-significant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a non-valued security and a restricted or non-public security. This type of fair valuation may be more commonly used with foreign equity securities, but it may also be used with, among other things, thinly-traded domestic securities or fixed-income securities. 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. For valuation purposes quotations of foreign portfolio securities, other assets and liabilities, and forward contracts stated in foreign currency are generally translated into U.S. dollar equivalents at the prevailing market rates. The Valuation Procedures provide for the use of systematic fair valuation models provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.

Due to the subjective nature of systematic fair valuation, the value of a particular security may be different from the last quoted market price. Systematic fair valuation may reduce arbitrage activity involving the frequent buying and selling of mutual fund shares by investors seeking to take advantage of a perceived lag between a change in the value of a Portfolio’s securities and the reflection of such change in the Portfolio’s NAV, as further described in the “Excessive Trading” section of this Prospectus. While funds that invest in foreign securities may be at a greater risk for arbitrage activity, such activity may also arise in funds which do not invest in foreign securities, for example, when trading in a security held by a Portfolio is halted and does not resume prior to the time the portfolio calculates its NAV (referred to as “stale pricing”).

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Portfolios that hold thinly-traded securities, such as certain small-capitalization securities or high-yield fixed-income securities, may be subject to attempted use of arbitrage techniques. To the extent that the valuation of a security is different from the security’s market value, short-term arbitrage traders buying and/or selling shares of a Portfolio may dilute the NAV of the Portfolio, which negatively impacts long-term shareholders. The Valuation Procedures and the Trust’s excessive trading policies and procedures may not completely eliminate short-term trading.

The value of the securities of other mutual funds held by a Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation.

Distribution and Shareholder Servicing Plan

Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Shares may pay Janus Henderson Distributors US LLC, the Trust’s distributor, a fee at an annual rate of up to 0.25% of the average daily net assets of the Shares of a Portfolio. Under the terms of the Plan, the Trust is authorized to make payments to Janus Henderson Distributors US LLC for remittance to Protective Life as compensation for distribution and/or shareholder services performed by Protective Life or its agents. Because 12b-1 fees are paid out of the Portfolios’ assets on an ongoing basis, over time they will increase the cost of your investment and may cost you more than paying other types of sales charges.

Administrative Fees

Janus Henderson Services US LLC (the “Transfer Agent”) receives an administrative services fee at an annual rate of 0.10% of the average daily net assets of each Portfolio for providing, or arranging for the provision by Protective Life of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of shareholders of the Portfolios. Other shareholders services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing customers, and answering inquiries regarding accounts. The Transfer Agent expects to use this entire fee to compensate Protective Life for providing these services to its customers who invest in the Portfolios.

From its own assets, the Adviser or its affiliates pay fees to Protective Life for distribution, marketing, and/or promotion of the Portfolios or for the performance of related services for shareholders. Such payments may be based on gross sales or assets under management, or on a combination of these factors. The amount of these payments is determined from time to time by the Adviser and may be substantial. Payments based primarily on sales create an incentive to make new sales of shares, while payments based on assets create an incentive to retain previously sold shares. Asset-based payments currently range up to 10 basis points on average annual net assets of shares held through Protective Life and are subject to change. The Adviser and its affiliates consider a number of factors in making payments to Protective Life.

The Adviser or its affiliates may pay fees, from their own assets, to Protective Life for providing recordkeeping, subaccounting, transaction processing, and other shareholder or administrative services in connection with investments in the Portfolios. These fees are in addition to any fees that may be paid by the Portfolios for these types of services or other services.

In addition, the Adviser or its affiliates periodically share certain marketing expenses with Protective Life and/or other intermediaries, or pay for or sponsor informational meetings, seminars, client awareness events, support for marketing materials, sales reporting, or business building programs for such intermediaries to raise awareness of the Portfolios. The Adviser or its affiliates make payments to participate in selected intermediary marketing support programs which may provide the Adviser or its affiliates with one or more of the following benefits: attendance at sales conferences, participation in meetings or training sessions, access to or information about intermediary personnel, use of an intermediary’s marketing and communication infrastructure, fund analysis tools, data, business planning and strategy sessions with intermediary personnel, information on industry- or platform-specific developments, trends and service providers, and other marketing-related services. Such payments may be in addition to, or in lieu of, the fees described above. These payments are intended to promote the sales of Janus Henderson funds and to reimburse financial intermediaries, directly or indirectly, for the costs

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that they or their salespersons incur in connection with educational seminars, meetings, and training efforts about the Janus Henderson funds to enable the intermediaries and their salespersons to make suitable recommendations, provide useful services, and maintain the necessary infrastructure to make the Janus Henderson funds available to their customers.

The receipt of (or prospect of receiving) fees or reimbursements and other forms of compensation described above may provide Protective Life and/or other financial intermediaries and its salespersons with an incentive to favor sales of Janus Henderson funds’ shares over sales of other mutual funds (or non-mutual fund investments) with respect to which the financial intermediary does not receive such payments or receives them in a lower amount. The receipt of these payments may cause Protective Life and/or certain financial intermediaries to elevate the prominence of the Janus Henderson funds within such financial intermediary’s organization by, for example, placement on a list of preferred or recommended funds and/or the provision of preferential or enhanced opportunities to promote the Janus Henderson funds in various ways within such financial intermediary’s organization.

From time to time, certain financial intermediaries approach the Adviser to request that the Adviser make contributions to certain charitable organizations. In these cases, the Adviser’s contribution may result in the financial intermediary, or its salespersons, recommending Janus Henderson funds over other investment alternatives.

The payment arrangements described above will not change the price a shareholder pays for Shares nor the amount that a Portfolio receives to invest on behalf of the shareholder. You should consider whether such arrangements exist when evaluating any recommendations from an intermediary to purchase or sell Shares. Please contact your financial adviser for details on such arrangements.

Purchases of Shares may be made only by the separate accounts of Protective Life for the purpose of funding variable annuity contracts. Refer to the prospectus of Protective Life’s separate account for information on how to invest in the Shares of each Portfolio, including any minimum purchase requirements. Under certain circumstances, the Portfolios may permit an in-kind purchase of Shares. Protective Life and certain other designated organizations are authorized to receive purchase orders on the Portfolios’ behalf. As discussed under “Payments to Protective Life by the Adviser or its Affiliates,” the Adviser and its affiliates make payments to Protective Life, its affiliates, or other financial intermediaries that were instrumental in the acquisition or retention of accounts for the Portfolios or that provide services in connection with investments in the Portfolios. You should consider such arrangements when evaluating any recommendation of the Portfolios.

Each Portfolio reserves the right to reject any purchase order, including exchange purchases, for any reason. The Portfolios are not intended for excessive trading. For more information about the Portfolios’ policy on excessive trading, refer to “Excessive Trading.”

In compliance with the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept and Obstruct Terrorism Act of 2001 (“USA PATRIOT Act”), Protective Life is required to verify certain information on your account application as part of its Anti-Money Laundering Program. You will be required to provide your full name, date of birth, Social Security number, and permanent street address to assist in verifying your identity. You may also be asked to provide documents that may help to establish your identity. Until verification of your identity is made, Protective Life may temporarily limit additional share purchases. In addition, Protective Life may close an account if it is unable to verify a shareholder’s identity.

Please contact Protective Life if you need additional assistance when completing your application or additional information about Protective Life’s Anti-Money Laundering Program.

In an effort to ensure compliance with this law, the Adviser’s Anti-Money Laundering Program (the “Program”) provides for the development of internal practices, procedures and controls, designation of anti-money laundering compliance officers, an ongoing training program, and an independent audit function to determine the effectiveness of the Program.

Redemptions, like purchases, may be effected only through the separate accounts of Protective Life. Please refer to Protective Life’s separate account prospectus for details.

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Shares of each Portfolio may be redeemed on any business day on which the Portfolio’s NAV is calculated. Redemptions are duly processed at the NAV next calculated after your redemption order is received in good order by a Portfolio or its agents. Redemption proceeds will normally be sent within two business days following receipt of the redemption order.

Each Portfolio reserves the right to postpone payment of redemption proceeds for up to seven calendar days. Additionally, the right to require the Portfolios to redeem their Shares may be suspended, or the date of payment may be postponed beyond seven calendar days, whenever: (i) trading on the NYSE is restricted, as determined by the SEC, or the NYSE is closed (except for holidays and weekends); (ii) the SEC permits such suspension and so orders; or (iii) an emergency exists as determined by the SEC so that disposal of securities or determination of NAV is not reasonably practicable.

Large Shareholder Redemptions

Certain large shareholders may from time to time own (beneficially or of record) or control a significant percentage of a Portfolio’s shares. Redemptions by these large shareholders of their holdings may cause a Portfolio to sell securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s NAV and liquidity. Similarly, large purchases may adversely affect a Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. A large shareholder purchase or redemption may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s current expenses being allocated over a smaller asset base, which could lead to an increase in the Portfolio’s expense ratio.

Redemptions In-Kind

Shares normally will be redeemed for cash, although each Portfolio retains the right to redeem some or all of its shares in-kind under unusual circumstances, in order to protect the interests of remaining shareholders, to accommodate a request by a particular shareholder that does not adversely affect the interests of the remaining shareholders, or in connection with the liquidation of a portfolio, by delivery of securities selected from its assets at its discretion. In-kind payment means payment will be made in portfolio securities rather than cash, and may potentially include illiquid securities. Illiquid securities may not be able to be sold quickly or at a price that reflects full value, or there may not be a market for such securities, which could cause the redeeming shareholder to realize losses on the security if the security is sold at a price lower than that at which it had been valued. If a Portfolio makes an in-kind payment, the redeeming shareholder might incur brokerage or other transaction costs to convert the securities to cash, whereas such costs are borne by the Portfolio for cash redemptions.

While a Portfolio may pay redemptions in-kind, a Portfolio may instead choose to raise cash to meet redemption requests through the sale of portfolio securities or permissible borrowings. If a Portfolio is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s NAV and may increase brokerage costs.

Excessive and Short-Term Trading Policies and Procedures

The Trustees have adopted policies and procedures with respect to short-term and excessive trading of Portfolio shares (“excessive trading”). Each Portfolio is intended to provide shareholders with a long-term risk/return profile consistent with a specific overall allocation between and within global equities and/or fixed-income and the Portfolios will take reasonable steps to attempt to detect and deter excessive and short-term trading. Transactions placed in violation of the Portfolios’ excessive trading policies and procedures may be cancelled or rescinded by a Portfolio. The trading history of accounts determined to be under common ownership or control within any of the Portfolios may be considered in enforcing these policies and procedures.

The Janus Henderson funds attempt to deter excessive trading through at least the following methods:

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The Portfolios monitor for patterns of shareholder short-term trading and may suspend or permanently terminate the purchase and exchange privilege of any investor who is identified as having a pattern of short-term trading. The Portfolios at all times reserve the right to reject any purchase or exchange request and to modify or terminate the purchase and exchange privileges for any investor for any reason without prior notice, in particular, if the trading activity in the account(s) is deemed to be disruptive to a Portfolio.

The Portfolios’ Trustees may approve from time to time a redemption fee to be imposed by any Portfolio, subject to 60 days’ notice to shareholders of that Portfolio.

Investors who place transactions through the same insurance company on an omnibus basis may be deemed part of a group for the purpose of the Portfolios’ excessive trading policies and procedures and may be rejected in whole or in part by a Portfolio. Transactions accepted by an insurance company in violation of the Portfolios’ excessive trading policies may be cancelled or revoked by a Portfolio by the next business day following receipt by that Portfolio.

In an attempt to deter excessive trading in omnibus accounts, the Portfolios or their agents may require the insurance companies to impose restrictions on the trading activity of accounts traded through insurance companies. Such restrictions may include, but are not limited to, requiring that trades be placed by U.S. mail, requiring the insurance company to report information about customers who purchase and redeem large amounts, prohibiting future purchases by investors who have engaged in short-term trading, and similar restrictions. The Portfolios’ ability to impose such restrictions and to enforce these policies and procedures with respect to accounts traded through particular insurance companies may vary depending on the systems’ capabilities, applicable contractual and legal restrictions, and cooperation of those intermediaries.

Generally, the Portfolios’ excessive trading policies and procedures do not apply to (i) systematic purchases, redemptions, and exchanges; (ii) rebalancing of a shareholder’s portfolio or policy; and (iii) identifiable transactions by asset allocation programs to realign portfolio investments with existing target allocations.

The Portfolios’ policies and procedures regarding excessive trading may be modified at any time by the Portfolios’ Trustees.

Excessive Trading Risks

Excessive trading may present risks to a Portfolio’s long-term shareholders. Excessive trading into and out of a Portfolio may disrupt portfolio investment strategies, may increase capital gains distributions, and may increase Portfolio expenses, all of which may negatively impact investment returns for all remaining shareholders, including long-term shareholders.

Portfolios that invest in foreign securities may be at a greater risk for excessive trading. Investors may attempt to take advantage of anticipated price movements in securities held by a portfolio based on events occurring after the close of a foreign market that may not be reflected in the portfolio’s NAV (referred to as “price arbitrage”). Such arbitrage opportunities may also arise in portfolios which do not invest in foreign securities, for example, when trading in a security held by a portfolio is halted and does not resume prior to the time the portfolio calculates its NAV (referred to as “stale pricing”). Portfolios that hold thinly-traded securities, such as certain small-capitalization securities, may be subject to attempted use of arbitrage techniques. To the extent that a Portfolio’s valuation of a security differs from the security’s market value, short-term arbitrage traders may dilute the NAV of a Portfolio, which negatively impacts long-term shareholders. There is potential for short-term arbitrage trades to dilute the value of the shares held by a Portfolio despite the Portfolios adoption of policies and procedures intended to reduce the Portfolios’ exposure to price arbitrage, stale pricing, and other potential pricing inefficiencies.

There is no assurance that the policies and procedures adopted by the Portfolios to detect and deter excessive trading will be effective in all circumstances. For example, the Portfolios may be unable to completely eliminate the possibility of excessive trading in certain omnibus accounts and other accounts traded through intermediaries. Omnibus accounts may effectively conceal the identity of individual investors and their transactions from the Portfolios and their agents. This makes the Portfolios’ identification of excessive trading transactions in the Portfolios through an omnibus account difficult and makes the elimination of excessive trading in the account impractical without the assistance of the intermediary. Moreover, the contract between an insurance company and the owner of a variable insurance contract may govern the frequency with which the contract owner may cause the insurance company to purchase or redeem shares of a Portfolio. Although the Portfolios encourage intermediaries to take necessary actions to detect and deter excessive trading, some intermediaries may be unable or unwilling to do so, and accordingly, the Portfolios cannot eliminate completely the possibility of excessive trading.

Shareholders that invest through an omnibus account should be aware that they may be subject to the policies and procedures of their insurance company with respect to excessive trading in the Portfolios.

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The Policy on Disclosure of Portfolio Holdings adopted by the Trust is designed to protect the confidentiality of the Portfolios’ holdings, and prevent the selective disclosure and misuse of such information. The following describes policies and procedures with respect to disclosure of portfolio holdings.

The Adviser may exclude from publication on its website all or any portion of portfolio holdings or change the time periods of disclosure as deemed necessary to protect the interests of the Portfolios. Under extraordinary circumstances, exceptions to the Policy on Disclosure of Portfolio Holdings may be made by the head of the applicable investment unit or a delegate, in consultation with the Portfolios’ Chief Compliance Officer or a delegate. Such exceptions may be made without prior notice to shareholders. A summary of the Portfolios’ holdings disclosure policies and procedures, which includes a discussion of any exceptions, is contained in the Portfolios’ SAI.

Protective Life is responsible for providing annual and semiannual reports, including the financial statements of the Portfolios that you have authorized for investment. These reports show each Portfolio’s investments and the market value of such investments, as well as other information about each Portfolio and its operations. Please contact Protective Life or your financial adviser to obtain these reports. The Trust’s fiscal year ends December 31.

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Financial Highlights

The financial highlights tables are intended to help you understand the Portfolios’ financial performance for each fiscal period shown. Items “Net asset value, beginning of period” through “Net asset value, end of period” reflect financial results for a single Portfolio Share. The gross expense ratio reflects expenses prior to any expense offset arrangement and waivers (reimbursements), if applicable. The net expense ratio reflects expenses after any expense offset arrangement and waivers (reimbursements), if applicable. The information for the fiscal periods shown has been audited by PricewaterhouseCoopers LLP, whose report, along with the Portfolios’ financial statements, is included in the Portfolios’ Form N-CSR and incorporated by reference into the SAI.

The total returns in the tables represent the rate that an investor would have earned (or lost) on an investment in the Shares of the Portfolios (assuming reinvestment of all dividends and distributions) but do not include charges and expenses attributable to any insurance product. If these charges and expenses had been included, the performance for the period shown would be lower. “Total return” information may include adjustments in accordance with generally accepted accounting principles. As a result, returns may differ from returns for shareholder transactions.

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