The termination came less than a week after the quant firm told clients and consultants that executives at the firm hadn’t provided timely information about a coding error discovered in the company’s computer models in June 2009.
“We did a comprehensive evaluation of the situation and decided to move on,” said Dennis MacKee, spokesman at the $142.8 billion Florida board. “We’ll be transitioning the funds into other existing accounts.” He would not elaborate.
AXA Rosenberg spokeswoman Heidi Ridley couldn’t immediately be reached for comment.
In Pennsylvania, Vanguard Group is deciding whether to keep AXA Rosenberg as manager for about $1.5 billion of its assets after that firm said a “coding error” disrupted its quantitative investment process.
“We’re taking a very hard look at that relationship, but we’re still in fact-finding mode,” Rebecca Katz, a spokeswoman for Malvern, Pa.-based Vanguard, said in a telephone interview. AXA Rosenberg, a unit of Paris-based insurer AXA SA, manages assets for three Vanguard funds.
AXA Rosenberg told clients in an April 15 letter that founder Barr Rosenberg was taking a 30-day leave of absence and Director of Research Thomas Mead will resign within a year, after an error in the model used to select investments was found in June 2009. Senior executives failed to report the error, which was corrected between September and November, in a “complete and timely manner,” according to the letter.
The firm, based in Orinda, Calif., has seen assets under management shrink 58% to $62 billion from a peak in 2007 after underperforming rival money managers. A “significant majority of our clients are continuing their relationship with AXA Rosenberg,” CEO Stephane Prunet said in an e-mailed response to questions.
The firm handles $1 billion of Vanguard’s $9.28 billion Explorer Fund, about $525 million of its U.S. Value Fund and about $34 million of its $70.6 million Market Neutral Fund.
Dan Newhall, a portfolio review executive at Vanguard, declined to comment on specific information that AXA Rosenberg had provided about the coding error or its handling.
“We’re interacting with them and clearly we want to completely understand all the circumstances and decisions they’ve been making,” he said.
AXA Rosenberg said it’s trying to establish whether the error, which affected one of three sets of risk controls that influence the selection of securities, hurt performance.
“Determining whether or not the error had any significant impact on portfolio performance is highly complex and may not be feasible to establish with precision,” Mr. Prunet said in the letter. The company is conducting an investigation with external experts, he said.
Bloomberg also contributed to this story.