Barr Rosenberg, chairman of quant manager AXA Rosenberg Investment Management, will take a 30-day leave of absence as the firm conducts a review of how its senior investment officers responded to a coding error discovered in June in AXA Rosenberg's computer models, according to a letter the firm distributed to clients and consultants Thursday, obtained by Pensions & Investments.
The letter said the error was corrected between September and mid-November. Given the complexity of the company's models, AXA Rosenberg said it “may not be feasible to establish with precision” the impact on the portfolio performance of the company's strategies. It also said the firm hired “external experts” to support of the company's own team in exploring “this question in a rigorous and thorough manner.”
The letter conceded that the issue “was not reported in a complete and timely manner by senior investment officers as required by the firm's policies,” with the company's board committed to “a full review of the facts and circumstances concerning this issue.”
The letter said Mr. Rosenberg has agreed to take the leave of absence. It also said Thomas Mead has stated his intention to resign as director of the Barr Rosenberg Research Center within a year, but it did not mention what connection, if any, the coding error and the company's response played in that decision.
AXA Rosenberg spokeswoman Heidi Ridley wasn't immediately available for comment.