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Despite most existing anomaly detection studies assume the availability of normal training samples only, a few labeled anomaly examples are often available in many real-world applications, such as defect samples identified during random quality inspection, lesion images confirmed by radiologists in daily medical screening, etc. These anomaly examples provide valuable knowledge about the application-specific abnormality, enabling significantly improved detection of similar anomalies in some recent models. However, those anomalies seen during training often do not illustrate every possible class of anomaly, rendering these models ineffective in generalizing to unseen anomaly classes. This paper tackles open-set supervised anomaly detection, in which we learn detection models using the anomaly examples with the objective to detect both seen anomalies (`gray swans') and unseen anomalies (`black swans'). We propose a novel approach that learns disentangled representations of abnormalities illustrated by seen anomalies, pseudo anomalies, and latent residual anomalies (i.e., samples that have unusual residuals compared to the normal data in a latent space), with the last two abnormalities designed to detect unseen anomalies. Extensive experiments on nine real-world anomaly detection datasets show superior performance of our model in detecting seen and unseen anomalies under diverse settings. Code and data are available at: https://github.com/choubo/DRA.