Chairman and director of research, AXA Rosenberg Investment Management LLC, Orinda, Calif.
Barr Rosenberg helped speed the use of modern portfolio theory among pension fund executives.
While a finance professor at the University of California at Berkeley in 1974, he helped convert many skeptical pension fund executives to the merits of MPT, the efficient market hypothesis, the capital asset pricing model and beta in managing money, including the use of index funds.
In the early 1970s, he did econometric work at Wells Fargo Bank with William L. Fouse in helping develop an index fund.
In 1974, he set up Barr Rosenberg Associates, which because a leading-edge quantitative consulting firm, with "the help of a consulting contact from American National Bank & Trust in Chicago," according to "The Money Flood," a book by Michael J. Clowes, editorial director of Pensions & Investments. The contract called for BARRA, as the firm became known, to develop efficient portfolios, among other tasks. The work led him to predict betas, at a time when betas were based on only empirical data.
"Barr's better betas," as the predicted betas were termed, explained betas through fundamental analysis making them more acceptable to Wall Street, according to Mr. Clowes.
BARRA went on to develop a method enabling pension executives to create an efficient portfolio of managers of different risk levels. This technique, in part, helped sponsors avoid closet indexing, or paying active management fees to obtain essentially index returns.
In 1985, he left BARRA to set up Rosenberg Institutional Equity Management, a quantitative manager and one of the first money managers to set a specific performance target relative to a benchmark.
In 1998, AXA Investment Managers bought a roughly 60% interest in Rosenberg Institutional Equity, renaming it AXA Rosenberg Group.
"Barr contributed to the analytical framework of the industry," said Ronald D. Peyton, president, Callan Associates Inc., San Francisco. "He not only created ways to monitor investments, but converted his ideas into investment management products. To take the theoretical and apply it with money is more than most academics can do."